| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 112.37% | 158.57% |
| CAGR﹪ | 10.28% | 13.14% |
| Sharpe | -0.29 | -8.13 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -0.26 | -7.35 |
| Sortino | -2.41 | -7.88 |
| Smart Sortino | -2.18 | -7.12 |
| Sortino/√2 | -1.7 | -5.57 |
| Smart Sortino/√2 | -1.54 | -5.04 |
| Omega | 0.61 | 0.61 |
| Max Drawdown | -90.76% | -51.26% |
| Longest DD Days | 1300 | 309 |
| Volatility (ann.) | 322.76% | 23.78% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.11 | 0.26 |
| Skew | 42.86 | -4.89 |
| Kurtosis | 1865.81 | 147.6 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.81% | 1.03% |
| Expected Yearly | 8.73% | 11.13% |
| Kelly Criterion | -17.2% | 6.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -32.98% | -2.4% |
| Expected Shortfall (cVaR) | -32.98% | -2.4% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 9 | 9 |
| Gain/Pain Ratio | 1.27 | 0.15 |
| Gain/Pain (1M) | 10.97 | 0.97 |
| Payoff Ratio | 0.71 | 0.97 |
| Profit Factor | 2.27 | 1.15 |
| Common Sense Ratio | 2.53 | 1.21 |
| CPC Index | 0.83 | 0.61 |
| Tail Ratio | 1.11 | 1.05 |
| Outlier Win Ratio | 2.0 | 3.5 |
| Outlier Loss Ratio | 3.79 | 3.44 |
| MTD | -23.26% | -30.02% |
| 3M | -25.32% | -36.5% |
| 6M | -25.19% | -35.02% |
| YTD | -24.55% | -34.42% |
| 1Y | -24.22% | -22.51% |
| 3Y (ann.) | -0.97% | 6.53% |
| 5Y (ann.) | 3.47% | 10.73% |
| 10Y (ann.) | 10.28% | 13.14% |
| All-time (ann.) | 10.28% | 13.14% |
| Best Day | 884.07% | 20.04% |
| Worst Day | -89.97% | -33.28% |
| Best Month | 19.06% | 17.99% |
| Worst Month | -23.26% | -30.02% |
| Best Year | 50.32% | 38.45% |
| Worst Year | -24.55% | -34.42% |
| Avg. Drawdown | -4.97% | -3.06% |
| Avg. Drawdown Days | 55 | 24 |
| Recovery Factor | 1.24 | 3.09 |
| Ulcer Index | 0.11 | 0.07 |
| Serenity Index | -54.99 | -8.11 |
| Avg. Up Month | 3.88% | 2.95% |
| Avg. Down Month | -4.87% | -7.86% |
| Win Days | 51.53% | 53.99% |
| Win Month | 60.22% | 72.04% |
| Win Quarter | 50.0% | 75.0% |
| Win Year | 55.56% | 66.67% |
| Beta | 0.03 | - |
| Alpha | 1.16 | - |
| Correlation | 0.25% | - |
| Treynor Ratio | -17218.06% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | -2.45 | 38.58 | -15.72 | + |
| 2015 | 32.28 | 50.32 | 1.56 | + |
| 2016 | 32.78 | -10.83 | -0.33 | - |
| 2017 | -0.19 | 2.88 | -15.46 | + |
| 2018 | 19.09 | 20.82 | 1.09 | + |
| 2019 | 38.45 | -2.20 | -0.06 | - |
| 2020 | 14.82 | 25.78 | 1.74 | + |
| 2021 | 21.79 | -0.90 | -0.04 | - |
| 2022 | -34.42 | -24.55 | 0.71 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-11-03 | 2022-02-25 | -90.76 | 479 |
| 2016-01-22 | 2019-08-14 | -24.46 | 1300 |
| 2015-02-02 | 2015-07-28 | -19.60 | 176 |
| 2014-12-17 | 2015-01-29 | -18.37 | 43 |
| 2015-08-25 | 2015-12-04 | -9.41 | 101 |
| 2020-04-22 | 2020-07-31 | -7.66 | 100 |
| 2020-03-13 | 2020-03-30 | -7.65 | 17 |
| 2019-09-04 | 2020-02-27 | -6.78 | 176 |
| 2014-11-18 | 2014-11-28 | -5.26 | 10 |
| 2014-12-03 | 2014-12-15 | -4.70 | 12 |