| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 34.0% | 100.0% |
| Cumulative Return | -16.2% | 103.82% |
| CAGR﹪ | -2.88% | 12.52% |
| Sharpe | -0.43 | 0.37 |
| Prob. Sharpe Ratio | 0.16% | 21.66% |
| Smart Sharpe | -0.4 | 0.34 |
| Sortino | -0.53 | 0.5 |
| Smart Sortino | -0.49 | 0.47 |
| Sortino/√2 | -0.38 | 0.36 |
| Smart Sortino/√2 | -0.35 | 0.33 |
| Omega | 0.87 | 0.87 |
| Max Drawdown | -43.46% | -30.96% |
| Longest DD Days | 1567 | 796 |
| Volatility (ann.) | 18.19% | 16.04% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.07 | 0.4 |
| Skew | -3.69 | -0.77 |
| Kurtosis | 53.23 | 10.79 |
| Expected Daily | -0.01% | 0.05% |
| Expected Monthly | -0.24% | 0.97% |
| Expected Yearly | -2.49% | 10.71% |
| Kelly Criterion | -4.64% | 2.08% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.89% | -1.61% |
| Expected Shortfall (cVaR) | -1.89% | -1.61% |
| Max Consecutive Wins | 9 | 12 |
| Max Consecutive Losses | 5 | 9 |
| Gain/Pain Ratio | -0.02 | 0.16 |
| Gain/Pain (1M) | -0.08 | 0.81 |
| Payoff Ratio | 0.76 | 0.87 |
| Profit Factor | 0.98 | 1.16 |
| Common Sense Ratio | 0.96 | 1.29 |
| CPC Index | 0.41 | 0.55 |
| Tail Ratio | 0.98 | 1.11 |
| Outlier Win Ratio | 10.57 | 4.02 |
| Outlier Loss Ratio | 2.21 | 4.65 |
| MTD | 0.0% | 1.79% |
| 3M | 0.0% | 7.11% |
| 6M | 0.0% | 11.87% |
| YTD | 0.0% | 5.1% |
| 1Y | 0.0% | 26.82% |
| 3Y (ann.) | 0.0% | 23.57% |
| 5Y (ann.) | -3.61% | 11.39% |
| 10Y (ann.) | -2.88% | 12.52% |
| All-time (ann.) | -2.88% | 12.52% |
| Best Day | 6.18% | 7.58% |
| Worst Day | -18.26% | -8.52% |
| Best Month | 15.1% | 11.45% |
| Worst Month | -22.96% | -10.81% |
| Best Year | 18.59% | 27.43% |
| Worst Year | -26.74% | -20.51% |
| Avg. Drawdown | -5.39% | -2.32% |
| Avg. Drawdown Days | 103 | 24 |
| Recovery Factor | -0.37 | 3.35 |
| Ulcer Index | 0.26 | 0.1 |
| Serenity Index | -0.02 | 0.49 |
| Avg. Up Month | 5.56% | 4.13% |
| Avg. Down Month | -8.28% | -4.07% |
| Win Days | 54.67% | 54.4% |
| Win Month | 53.85% | 66.22% |
| Win Quarter | 66.67% | 68.0% |
| Win Year | 33.33% | 85.71% |
| Beta | 0.49 | - |
| Alpha | -0.07 | - |
| Correlation | 43.59% | - |
| Treynor Ratio | -46.9% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 16.68 | -3.54 | -0.21 | - |
| 2021 | 11.67 | 18.59 | 1.59 | + |
| 2022 | -20.51 | -26.74 | 1.30 | - |
| 2023 | 27.43 | 0.00 | 0.00 | - |
| 2024 | 17.56 | 0.00 | 0.00 | - |
| 2025 | 25.00 | 0.00 | 0.00 | - |
| 2026 | 5.10 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-13 | 2021-02-11 | -43.46 | 364 |
| 2021-10-27 | 2026-02-10 | -31.33 | 1567 |
| 2021-02-16 | 2021-04-28 | -7.63 | 71 |
| 2021-09-16 | 2021-10-14 | -5.11 | 28 |
| 2021-05-10 | 2021-05-27 | -4.97 | 17 |
| 2021-06-29 | 2021-09-01 | -4.89 | 64 |
| 2020-01-30 | 2020-02-04 | -2.89 | 5 |
| 2021-06-16 | 2021-06-24 | -2.40 | 8 |
| 2020-02-07 | 2020-02-12 | -2.14 | 5 |
| 2021-04-29 | 2021-05-07 | -1.94 | 8 |