| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -3.19% | 28.26% |
| CAGR﹪ | -1.14% | 9.17% |
| Sharpe | 0.09 | 0.53 |
| Prob. Sharpe Ratio | 55.98% | 81.32% |
| Smart Sharpe | 0.08 | 0.48 |
| Sortino | 0.12 | 0.8 |
| Smart Sortino | 0.11 | 0.73 |
| Sortino/√2 | 0.08 | 0.57 |
| Smart Sortino/√2 | 0.07 | 0.51 |
| Omega | 1.02 | 1.02 |
| Max Drawdown | -54.81% | -39.65% |
| Longest DD Days | 916 | 488 |
| Volatility (ann.) | 26.41% | 21.4% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.02 | 0.23 |
| Skew | -2.05 | 1.11 |
| Kurtosis | 23.34 | 14.37 |
| Expected Daily | -0.0% | 0.04% |
| Expected Monthly | -0.09% | 0.71% |
| Expected Yearly | -0.81% | 6.42% |
| Kelly Criterion | 9.55% | -10.15% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.73% | -2.17% |
| Expected Shortfall (cVaR) | -2.73% | -2.17% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.02 | 0.11 |
| Gain/Pain (1M) | 0.07 | 0.49 |
| Payoff Ratio | 0.9 | 0.78 |
| Profit Factor | 1.02 | 1.11 |
| Common Sense Ratio | 0.83 | 1.07 |
| CPC Index | 0.53 | 0.45 |
| Tail Ratio | 0.81 | 0.96 |
| Outlier Win Ratio | 4.3 | 4.64 |
| Outlier Loss Ratio | 3.17 | 4.8 |
| MTD | 3.96% | 0.7% |
| 3M | 8.38% | 6.07% |
| 6M | 7.95% | -2.3% |
| YTD | 16.06% | 3.06% |
| 1Y | 41.96% | 13.99% |
| 3Y (ann.) | -1.14% | 9.17% |
| 5Y (ann.) | -1.14% | 9.17% |
| 10Y (ann.) | -1.14% | 9.17% |
| All-time (ann.) | -1.14% | 9.17% |
| Best Day | 10.89% | 10.7% |
| Worst Day | -16.81% | -6.67% |
| Best Month | 15.49% | 19.77% |
| Worst Month | -26.79% | -16.34% |
| Best Year | 42.49% | 29.27% |
| Worst Year | -41.49% | -6.4% |
| Avg. Drawdown | -7.68% | -4.75% |
| Avg. Drawdown Days | 112 | 55 |
| Recovery Factor | -0.06 | 0.71 |
| Ulcer Index | 0.31 | 0.16 |
| Serenity Index | -0.0 | 0.08 |
| Avg. Up Month | 5.25% | 3.66% |
| Avg. Down Month | -7.4% | -8.7% |
| Win Days | 57.06% | 51.66% |
| Win Month | 60.0% | 65.71% |
| Win Quarter | 61.54% | 76.92% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.01 | - |
| Alpha | 0.02 | - |
| Correlation | 0.49% | - |
| Treynor Ratio | -522.64% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.85 | 0.06 | 0.02 | - |
| 2022 | -6.40 | -41.49 | 6.48 | - |
| 2023 | 29.27 | 42.49 | 1.45 | + |
| 2024 | 3.06 | 16.06 | 5.24 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2024-04-23 | -54.81 | 916 |
| 2021-09-08 | 2021-10-19 | -6.25 | 41 |
| 2021-07-13 | 2021-08-04 | -3.13 | 22 |
| 2021-08-18 | 2021-08-31 | -2.22 | 13 |
| 2021-06-24 | 2021-06-30 | -1.27 | 6 |
| 2021-08-11 | 2021-08-16 | -0.52 | 5 |
| 2021-07-06 | 2021-07-08 | -0.46 | 2 |
| 2021-08-06 | 2021-08-10 | -0.33 | 4 |
| 2021-07-09 | 2021-07-12 | -0.08 | 3 |