| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 80.0% | 100.0% |
| Cumulative Return | 22.42% | 72.14% |
| CAGR﹪ | 4.39% | 12.24% |
| Sharpe | -12.64 | -4.43 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -9.5 | -3.33 |
| Sortino | -10.65 | -4.87 |
| Smart Sortino | -8.0 | -3.66 |
| Sortino/√2 | -7.53 | -3.44 |
| Smart Sortino/√2 | -5.66 | -2.59 |
| Omega | 0.11 | 0.11 |
| Max Drawdown | -16.05% | -53.41% |
| Longest DD Days | 529 | 892 |
| Volatility (ann.) | 15.78% | 40.19% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.27 | 0.23 |
| Skew | -1.33 | -3.4 |
| Kurtosis | 28.13 | 57.22 |
| Expected Daily | 0.03% | 0.09% |
| Expected Monthly | 0.36% | 0.96% |
| Expected Yearly | 3.43% | 9.48% |
| Kelly Criterion | 5.03% | 1.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.6% | -4.04% |
| Expected Shortfall (cVaR) | -1.6% | -4.04% |
| Max Consecutive Wins | 8 | 13 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.19 |
| Gain/Pain (1M) | 0.78 | 0.79 |
| Payoff Ratio | 0.9 | 0.75 |
| Profit Factor | 1.16 | 1.19 |
| Common Sense Ratio | 1.35 | 1.29 |
| CPC Index | 0.57 | 0.52 |
| Tail Ratio | 1.16 | 1.09 |
| Outlier Win Ratio | 10.3 | 3.28 |
| Outlier Loss Ratio | 8.45 | 3.59 |
| MTD | -0.48% | 2.86% |
| 3M | -0.32% | 10.79% |
| 6M | -1.28% | 13.55% |
| YTD | -0.32% | 10.79% |
| 1Y | -0.32% | 48.78% |
| 3Y (ann.) | 1.99% | 6.65% |
| 5Y (ann.) | 4.39% | 12.24% |
| 10Y (ann.) | 4.39% | 12.24% |
| All-time (ann.) | 4.39% | 12.24% |
| Best Day | 6.29% | 20.04% |
| Worst Day | -10.58% | -33.28% |
| Best Month | 5.59% | 14.73% |
| Worst Month | -7.06% | -30.02% |
| Best Year | 9.58% | 54.34% |
| Worst Year | -2.12% | -37.46% |
| Avg. Drawdown | -1.77% | -4.5% |
| Avg. Drawdown Days | 41 | 53 |
| Recovery Factor | 1.4 | 1.35 |
| Ulcer Index | 0.03 | 0.21 |
| Serenity Index | -30.99 | -1.87 |
| Avg. Up Month | 1.25% | 4.65% |
| Avg. Down Month | -2.55% | -9.05% |
| Win Days | 55.13% | 57.95% |
| Win Month | 63.64% | 69.64% |
| Win Quarter | 60.0% | 75.0% |
| Win Year | 50.0% | 83.33% |
| Beta | -0.05 | - |
| Alpha | 0.11 | - |
| Correlation | -13.62% | - |
| Treynor Ratio | 12670.4% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 15.11 | 6.65 | 0.44 | - |
| 2020 | 14.82 | 9.58 | 0.65 | - |
| 2021 | 21.79 | -2.12 | -0.10 | - |
| 2022 | -37.46 | 8.59 | -0.23 | + |
| 2023 | 54.34 | -1.12 | -0.02 | - |
| 2024 | 10.79 | -0.32 | -0.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-01-14 | 2022-06-27 | -16.05 | 529 |
| 2023-06-22 | 2024-04-04 | -7.72 | 287 |
| 2020-02-18 | 2020-04-29 | -5.48 | 71 |
| 2022-06-29 | 2022-12-13 | -4.95 | 167 |
| 2020-08-13 | 2020-09-08 | -4.35 | 26 |
| 2023-01-24 | 2023-04-17 | -3.02 | 83 |
| 2022-12-14 | 2022-12-19 | -2.24 | 5 |
| 2020-10-12 | 2020-12-15 | -1.79 | 64 |
| 2023-01-04 | 2023-01-16 | -1.76 | 12 |
| 2023-04-18 | 2023-05-03 | -1.74 | 15 |