| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -22.86% | 23.33% |
| CAGR﹪ | -8.75% | 7.67% |
| Sharpe | -2.18 | -3.35 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.12 | -3.26 |
| Sortino | -2.59 | -4.04 |
| Smart Sortino | -2.52 | -3.93 |
| Sortino/√2 | -1.83 | -2.85 |
| Smart Sortino/√2 | -1.78 | -2.78 |
| Omega | 0.66 | 0.66 |
| Max Drawdown | -48.64% | -24.49% |
| Longest DD Days | 909 | 708 |
| Volatility (ann.) | 33.71% | 17.91% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.18 | 0.31 |
| Skew | -1.28 | -0.11 |
| Kurtosis | 8.6 | 2.21 |
| Expected Daily | -0.04% | 0.03% |
| Expected Monthly | -0.74% | 0.6% |
| Expected Yearly | -6.28% | 5.38% |
| Kelly Criterion | -10.66% | 4.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.51% | -1.82% |
| Expected Shortfall (cVaR) | -3.51% | -1.82% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 10 | 6 |
| Gain/Pain Ratio | -0.02 | 0.1 |
| Gain/Pain (1M) | -0.08 | 0.39 |
| Payoff Ratio | 0.72 | 1.06 |
| Profit Factor | 0.98 | 1.1 |
| Common Sense Ratio | 0.87 | 1.2 |
| CPC Index | 0.38 | 0.59 |
| Tail Ratio | 0.89 | 1.1 |
| Outlier Win Ratio | 2.89 | 4.48 |
| Outlier Loss Ratio | 3.26 | 6.31 |
| MTD | 5.38% | -4.58% |
| 3M | 5.36% | 3.9% |
| 6M | 12.38% | 19.52% |
| YTD | 14.54% | 5.5% |
| 1Y | 26.67% | 23.12% |
| 3Y (ann.) | -8.75% | 7.67% |
| 5Y (ann.) | -8.75% | 7.67% |
| 10Y (ann.) | -8.75% | 7.67% |
| All-time (ann.) | -8.75% | 7.67% |
| Best Day | 10.62% | 5.55% |
| Worst Day | -14.56% | -4.55% |
| Best Month | 14.36% | 9.22% |
| Worst Month | -31.8% | -9.21% |
| Best Year | 14.54% | 26.29% |
| Worst Year | -37.49% | -18.32% |
| Avg. Drawdown | -5.36% | -1.78% |
| Avg. Drawdown Days | 77 | 25 |
| Recovery Factor | -0.47 | 0.95 |
| Ulcer Index | 0.35 | 0.11 |
| Serenity Index | -0.13 | -0.41 |
| Avg. Up Month | 4.77% | 3.93% |
| Avg. Down Month | -11.92% | -4.46% |
| Win Days | 53.8% | 51.12% |
| Win Month | 60.0% | 60.0% |
| Win Quarter | 53.85% | 61.54% |
| Win Year | 50.0% | 75.0% |
| Beta | 0.3 | - |
| Alpha | -0.07 | - |
| Correlation | 16.2% | - |
| Treynor Ratio | -402.94% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 13.33 | -2.26 | -0.17 | - |
| 2022 | -18.32 | -37.49 | 2.05 | - |
| 2023 | 26.29 | 10.22 | 0.39 | - |
| 2024 | 5.50 | 14.54 | 2.65 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-26 | 2024-04-22 | -48.64 | 909 |
| 2021-09-14 | 2021-10-12 | -5.91 | 28 |
| 2021-07-06 | 2021-07-28 | -3.71 | 22 |
| 2021-08-18 | 2021-08-31 | -3.13 | 13 |
| 2021-10-20 | 2021-10-25 | -2.28 | 5 |
| 2021-06-29 | 2021-07-02 | -1.69 | 3 |
| 2021-07-30 | 2021-08-03 | -1.19 | 4 |
| 2021-08-06 | 2021-08-11 | -1.12 | 5 |
| 2021-09-08 | 2021-09-13 | -1.04 | 5 |
| 2021-06-24 | 2021-06-28 | -0.31 | 4 |