| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 47.0% | 100.0% |
| Cumulative Return | -39.55% | 2.48% |
| CAGR﹪ | -24.56% | 1.38% |
| Sharpe | -8.24 | -12.21 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -6.84 | -10.13 |
| Sortino | -7.35 | -10.19 |
| Smart Sortino | -6.09 | -8.46 |
| Sortino/√2 | -5.19 | -7.21 |
| Smart Sortino/√2 | -4.31 | -5.98 |
| Omega | 0.03 | 0.03 |
| Max Drawdown | -44.24% | -26.62% |
| Longest DD Days | 512 | 383 |
| Volatility (ann.) | 28.02% | 16.88% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.56 | 0.05 |
| Skew | -16.62 | 0.05 |
| Kurtosis | 322.06 | 1.55 |
| Expected Daily | -0.11% | 0.01% |
| Expected Monthly | -2.16% | 0.11% |
| Expected Yearly | -15.45% | 0.82% |
| Kelly Criterion | -18.16% | -10.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.99% | -1.74% |
| Expected Shortfall (cVaR) | -2.99% | -1.74% |
| Max Consecutive Wins | 5 | 6 |
| Max Consecutive Losses | 6 | 11 |
| Gain/Pain Ratio | -0.36 | 0.03 |
| Gain/Pain (1M) | -0.71 | 0.11 |
| Payoff Ratio | 0.72 | 0.84 |
| Profit Factor | 0.64 | 1.03 |
| Common Sense Ratio | 0.59 | 1.04 |
| CPC Index | 0.23 | 0.43 |
| Tail Ratio | 0.92 | 1.02 |
| Outlier Win Ratio | 9.97 | 2.53 |
| Outlier Loss Ratio | 2.47 | 3.37 |
| MTD | 0.0% | 0.37% |
| 3M | 0.0% | 19.7% |
| 6M | 0.0% | 10.43% |
| YTD | 0.0% | 8.87% |
| 1Y | -41.63% | -1.14% |
| 3Y (ann.) | -24.56% | 1.38% |
| 5Y (ann.) | -24.56% | 1.38% |
| 10Y (ann.) | -24.56% | 1.38% |
| All-time (ann.) | -24.56% | 1.38% |
| Best Day | 2.95% | 4.05% |
| Worst Day | -34.76% | -3.89% |
| Best Month | 4.96% | 10.99% |
| Worst Month | -41.63% | -9.51% |
| Best Year | 6.83% | 8.87% |
| Worst Year | -43.42% | -12.46% |
| Avg. Drawdown | -4.79% | -3.71% |
| Avg. Drawdown Days | 52 | 41 |
| Recovery Factor | -0.89 | 0.09 |
| Ulcer Index | 0.32 | 0.12 |
| Serenity Index | -0.69 | -3.03 |
| Avg. Up Month | 2.72% | 2.66% |
| Avg. Down Month | -10.79% | -2.7% |
| Win Days | 50.46% | 49.79% |
| Win Month | 54.55% | 56.52% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 66.67% |
| Beta | -0.0 | - |
| Alpha | -0.22 | - |
| Correlation | -0.24% | - |
| Treynor Ratio | 188377.12% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.53 | 6.83 | 0.91 | - |
| 2022 | -12.46 | -43.42 | 3.48 | - |
| 2023 | 8.87 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-07 | 2023-02-01 | -44.24 | 512 |
| 2021-06-16 | 2021-08-13 | -4.70 | 58 |
| 2021-08-16 | 2021-09-02 | -2.79 | 17 |
| 2021-05-10 | 2021-05-20 | -2.76 | 10 |
| 2021-04-27 | 2021-05-06 | -1.33 | 9 |
| 2021-06-03 | 2021-06-04 | -0.62 | 1 |
| 2021-05-25 | 2021-05-27 | -0.31 | 2 |
| 2021-06-09 | 2021-06-10 | -0.27 | 1 |
| 2021-05-28 | 2021-05-31 | -0.15 | 3 |
| 2021-06-07 | 2021-06-08 | -0.12 | 1 |