| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 48.0% | 100.0% |
| Cumulative Return | 3.81% | 38.59% |
| CAGR﹪ | 0.89% | 7.99% |
| Sharpe | -11.95 | -11.65 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -9.86 | -9.61 |
| Sortino | -10.06 | -9.93 |
| Smart Sortino | -8.3 | -8.2 |
| Sortino/√2 | -7.12 | -7.02 |
| Smart Sortino/√2 | -5.87 | -5.8 |
| Omega | 0.11 | 0.11 |
| Max Drawdown | -31.09% | -30.96% |
| Longest DD Days | 900 | 796 |
| Volatility (ann.) | 17.28% | 17.16% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.03 | 0.26 |
| Skew | -2.9 | -0.63 |
| Kurtosis | 42.64 | 10.33 |
| Expected Daily | 0.0% | 0.03% |
| Expected Monthly | 0.07% | 0.63% |
| Expected Yearly | 0.75% | 6.74% |
| Kelly Criterion | -2.52% | -0.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.78% | -1.74% |
| Expected Shortfall (cVaR) | -1.78% | -1.74% |
| Max Consecutive Wins | 6 | 12 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.04 | 0.1 |
| Gain/Pain (1M) | 0.22 | 0.44 |
| Payoff Ratio | 0.79 | 0.87 |
| Profit Factor | 1.04 | 1.1 |
| Common Sense Ratio | 1.07 | 1.18 |
| CPC Index | 0.45 | 0.51 |
| Tail Ratio | 1.03 | 1.07 |
| Outlier Win Ratio | 8.26 | 3.65 |
| Outlier Loss Ratio | 2.93 | 4.38 |
| MTD | 0.0% | -3.2% |
| 3M | 0.0% | 2.99% |
| 6M | 0.0% | 20.53% |
| YTD | 0.0% | 5.11% |
| 1Y | 0.0% | 21.5% |
| 3Y (ann.) | -5.99% | 3.41% |
| 5Y (ann.) | 0.89% | 7.99% |
| 10Y (ann.) | 0.89% | 7.99% |
| All-time (ann.) | 0.89% | 7.99% |
| Best Day | 7.62% | 7.58% |
| Worst Day | -15.29% | -8.52% |
| Best Month | 11.23% | 11.45% |
| Worst Month | -15.75% | -10.81% |
| Best Year | 16.54% | 27.43% |
| Worst Year | -19.44% | -20.51% |
| Avg. Drawdown | -2.94% | -2.71% |
| Avg. Drawdown Days | 41 | 31 |
| Recovery Factor | 0.12 | 1.25 |
| Ulcer Index | 0.16 | 0.12 |
| Serenity Index | -1.71 | -2.64 |
| Avg. Up Month | 3.84% | 4.04% |
| Avg. Down Month | -4.95% | -4.08% |
| Win Days | 54.77% | 53.26% |
| Win Month | 57.69% | 61.54% |
| Win Quarter | 66.67% | 61.11% |
| Win Year | 66.67% | 80.0% |
| Beta | 0.47 | - |
| Alpha | -0.02 | - |
| Correlation | 47.09% | - |
| Treynor Ratio | -1468.29% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 16.57 | 16.54 | 1.00 | - |
| 2021 | 11.67 | 10.57 | 0.91 | - |
| 2022 | -20.51 | -19.44 | 0.95 | + |
| 2023 | 27.43 | 0.00 | 0.00 | - |
| 2024 | 5.11 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-13 | 2020-08-12 | -31.09 | 181 |
| 2021-11-08 | 2024-04-26 | -22.95 | 900 |
| 2020-08-28 | 2020-11-09 | -7.56 | 73 |
| 2021-02-18 | 2021-04-16 | -5.90 | 57 |
| 2021-09-16 | 2021-11-05 | -5.64 | 50 |
| 2021-01-27 | 2021-02-08 | -3.99 | 12 |
| 2021-07-15 | 2021-09-01 | -3.35 | 48 |
| 2021-04-19 | 2021-06-01 | -3.34 | 43 |
| 2021-07-06 | 2021-07-14 | -1.81 | 8 |
| 2020-08-20 | 2020-08-24 | -1.81 | 4 |