| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 51.0% | 97.0% |
| Cumulative Return | 34.58% | 103.02% |
| CAGR﹪ | 5.74% | 14.24% |
| Sharpe | -13.02 | -9.35 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -12.61 | -9.06 |
| Sortino | -10.57 | -8.77 |
| Smart Sortino | -10.24 | -8.5 |
| Sortino/√2 | -7.47 | -6.2 |
| Smart Sortino/√2 | -7.24 | -6.01 |
| Omega | 0.09 | 0.09 |
| Max Drawdown | -32.48% | -33.97% |
| Longest DD Days | 981 | 720 |
| Volatility (ann.) | 15.52% | 20.72% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.18 | 0.42 |
| Skew | -2.16 | -0.56 |
| Kurtosis | 23.98 | 13.57 |
| Expected Daily | 0.02% | 0.05% |
| Expected Monthly | 0.46% | 1.1% |
| Expected Yearly | 5.07% | 12.53% |
| Kelly Criterion | 8.95% | 3.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.58% | -2.09% |
| Expected Shortfall (cVaR) | -1.58% | -2.09% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.13 | 0.15 |
| Gain/Pain (1M) | 0.59 | 0.83 |
| Payoff Ratio | 0.86 | 0.88 |
| Profit Factor | 1.13 | 1.15 |
| Common Sense Ratio | 1.23 | 1.11 |
| CPC Index | 0.56 | 0.56 |
| Tail Ratio | 1.09 | 0.96 |
| Outlier Win Ratio | 9.85 | 3.63 |
| Outlier Loss Ratio | 3.52 | 3.84 |
| MTD | 0.0% | -4.26% |
| 3M | 0.0% | 1.34% |
| 6M | 0.0% | 6.95% |
| YTD | 0.0% | 14.0% |
| 1Y | 0.0% | 21.66% |
| 3Y (ann.) | -5.2% | 8.29% |
| 5Y (ann.) | 5.47% | 14.43% |
| 10Y (ann.) | 5.74% | 14.24% |
| All-time (ann.) | 5.74% | 14.24% |
| Best Day | 5.18% | 9.37% |
| Worst Day | -10.18% | -12.05% |
| Best Month | 11.85% | 13.01% |
| Worst Month | -16.68% | -12.53% |
| Best Year | 27.39% | 27.11% |
| Worst Year | -22.25% | -20.16% |
| Avg. Drawdown | -2.04% | -1.88% |
| Avg. Drawdown Days | 24 | 18 |
| Recovery Factor | 1.06 | 3.03 |
| Ulcer Index | 0.16 | 0.1 |
| Serenity Index | -1.35 | -4.26 |
| Avg. Up Month | 4.45% | 4.5% |
| Avg. Down Month | -6.21% | -4.66% |
| Win Days | 58.02% | 54.71% |
| Win Month | 67.65% | 64.62% |
| Win Quarter | 75.0% | 72.73% |
| Win Year | 75.0% | 83.33% |
| Beta | 0.27 | - |
| Alpha | 0.03 | - |
| Correlation | 36.43% | - |
| Treynor Ratio | -2438.28% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 14.84 | 14.35 | 0.97 | - |
| 2020 | 20.64 | 18.82 | 0.91 | - |
| 2021 | 26.68 | 27.39 | 1.03 | + |
| 2022 | -20.16 | -22.25 | 1.10 | - |
| 2023 | 27.11 | 0.00 | 0.00 | - |
| 2024 | 14.00 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-21 | 2020-08-07 | -32.48 | 168 |
| 2021-12-30 | 2024-09-06 | -22.61 | 981 |
| 2020-09-03 | 2020-10-12 | -8.34 | 39 |
| 2020-10-13 | 2020-11-09 | -7.92 | 27 |
| 2019-07-30 | 2019-10-28 | -6.36 | 90 |
| 2021-09-07 | 2021-10-22 | -5.37 | 45 |
| 2021-02-16 | 2021-04-01 | -5.21 | 44 |
| 2021-11-23 | 2021-12-27 | -4.66 | 34 |
| 2019-05-20 | 2019-06-10 | -3.81 | 21 |
| 2021-04-30 | 2021-05-28 | -3.80 | 28 |