| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 53.0% | 99.0% |
| Cumulative Return | 24.67% | 78.02% |
| CAGR﹪ | 4.56% | 12.36% |
| Sharpe | -0.1 | -13.15 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -0.09 | -11.92 |
| Sortino | -0.96 | -10.66 |
| Smart Sortino | -0.87 | -9.65 |
| Sortino/√2 | -0.68 | -7.54 |
| Smart Sortino/√2 | -0.62 | -6.83 |
| Omega | 0.82 | 0.82 |
| Max Drawdown | -91.38% | -21.5% |
| Longest DD Days | 1356 | 1211 |
| Volatility (ann.) | 404.53% | 14.92% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.05 | 0.57 |
| Skew | 35.0 | 0.2 |
| Kurtosis | 1240.9 | 4.35 |
| Expected Daily | 0.02% | 0.05% |
| Expected Monthly | 0.37% | 0.97% |
| Expected Yearly | 3.74% | 10.09% |
| Kelly Criterion | 47.39% | 7.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -41.26% | -1.5% |
| Expected Shortfall (cVaR) | -41.26% | -1.5% |
| Max Consecutive Wins | 9 | 10 |
| Max Consecutive Losses | 6 | 10 |
| Gain/Pain Ratio | 2.57 | 0.16 |
| Gain/Pain (1M) | 20.49 | 0.87 |
| Payoff Ratio | 5.17 | 1.11 |
| Profit Factor | 3.57 | 1.16 |
| Common Sense Ratio | 3.69 | 1.23 |
| CPC Index | 10.31 | 0.67 |
| Tail Ratio | 1.03 | 1.06 |
| Outlier Win Ratio | 2.0 | 3.44 |
| Outlier Loss Ratio | 2.13 | 3.61 |
| MTD | 0.0% | 4.77% |
| 3M | 0.0% | 14.08% |
| 6M | 0.0% | 16.73% |
| YTD | 0.0% | 12.12% |
| 1Y | 0.0% | 16.42% |
| 3Y (ann.) | -3.93% | 7.39% |
| 5Y (ann.) | 4.79% | 12.84% |
| 10Y (ann.) | 4.56% | 12.36% |
| All-time (ann.) | 4.56% | 12.36% |
| Best Day | 902.48% | 7.03% |
| Worst Day | -89.96% | -5.26% |
| Best Month | 10.56% | 11.52% |
| Worst Month | -7.23% | -7.12% |
| Best Year | 22.82% | 24.17% |
| Worst Year | -7.7% | -3.75% |
| Avg. Drawdown | -5.91% | -2.89% |
| Avg. Drawdown Days | 71 | 54 |
| Recovery Factor | 0.27 | 3.63 |
| Ulcer Index | 0.15 | 0.09 |
| Serenity Index | -44.52 | -3.82 |
| Avg. Up Month | 4.45% | 4.75% |
| Avg. Down Month | -3.4% | -3.42% |
| Win Days | 55.92% | 51.52% |
| Win Month | 55.88% | 51.67% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 50.0% | 66.67% |
| Beta | 0.66 | - |
| Alpha | 1.58 | - |
| Correlation | 2.44% | - |
| Treynor Ratio | -1021.89% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 17.25 | 15.38 | 0.89 | - |
| 2020 | 24.17 | 22.82 | 0.94 | - |
| 2021 | -3.75 | -4.68 | 1.25 | - |
| 2022 | -0.43 | -7.70 | 18.08 | - |
| 2023 | 13.80 | 0.00 | 0.00 | - |
| 2024 | 12.12 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-08-07 | 2024-04-24 | -91.38 | 1356 |
| 2020-03-06 | 2020-04-09 | -10.98 | 34 |
| 2019-09-05 | 2020-01-06 | -6.63 | 123 |
| 2020-02-26 | 2020-03-05 | -4.31 | 8 |
| 2020-05-21 | 2020-06-22 | -4.16 | 32 |
| 2020-04-15 | 2020-05-15 | -3.43 | 30 |
| 2019-06-26 | 2019-07-19 | -2.73 | 23 |
| 2020-01-09 | 2020-01-27 | -2.12 | 18 |
| 2020-02-03 | 2020-02-18 | -2.11 | 15 |
| 2019-05-16 | 2019-05-31 | -1.99 | 15 |