| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | 17.23% | 9.63% |
| CAGR﹪ | 6.01% | 3.44% |
| Sharpe | -19.99 | -5.98 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -14.76 | -4.41 |
| Sortino | -12.9 | -6.17 |
| Smart Sortino | -9.53 | -4.55 |
| Sortino/√2 | -9.12 | -4.36 |
| Smart Sortino/√2 | -6.74 | -3.22 |
| Omega | 0.03 | 0.03 |
| Max Drawdown | -13.53% | -53.53% |
| Longest DD Days | 170 | 918 |
| Volatility (ann.) | 10.12% | 33.33% |
| R^2 | 0.43 | 0.43 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.44 | 0.06 |
| Skew | -4.61 | -5.26 |
| Kurtosis | 133.08 | 109.37 |
| Expected Daily | 0.02% | 0.01% |
| Expected Monthly | 0.5% | 0.29% |
| Expected Yearly | 4.05% | 2.33% |
| Kelly Criterion | 1.69% | -6.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.02% | -3.42% |
| Expected Shortfall (cVaR) | -1.02% | -3.42% |
| Max Consecutive Wins | 14 | 9 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.22 | 0.08 |
| Gain/Pain (1M) | 1.42 | 0.35 |
| Payoff Ratio | 0.82 | 0.69 |
| Profit Factor | 1.22 | 1.08 |
| Common Sense Ratio | 1.25 | 1.09 |
| CPC Index | 0.56 | 0.42 |
| Tail Ratio | 1.02 | 1.01 |
| Outlier Win Ratio | 10.24 | 2.69 |
| Outlier Loss Ratio | 11.5 | 2.93 |
| MTD | 0.51% | 3.52% |
| 3M | 2.08% | 9.41% |
| 6M | 4.24% | 8.12% |
| YTD | 1.86% | 12.17% |
| 1Y | 3.69% | 40.96% |
| 3Y (ann.) | 6.01% | 3.44% |
| 5Y (ann.) | 6.01% | 3.44% |
| 10Y (ann.) | 6.01% | 3.44% |
| All-time (ann.) | 6.01% | 3.44% |
| Best Day | 7.09% | 20.04% |
| Worst Day | -10.42% | -33.28% |
| Best Month | 4.96% | 15.56% |
| Worst Month | -5.9% | -30.02% |
| Best Year | 9.9% | 53.84% |
| Worst Year | 0.83% | -37.26% |
| Avg. Drawdown | -0.72% | -6.99% |
| Avg. Drawdown Days | 12 | 107 |
| Recovery Factor | 1.27 | 0.18 |
| Ulcer Index | 0.01 | 0.3 |
| Serenity Index | -112.63 | -0.9 |
| Avg. Up Month | 0.86% | 5.02% |
| Avg. Down Month | -2.14% | -12.74% |
| Win Days | 55.7% | 56.52% |
| Win Month | 68.75% | 65.62% |
| Win Quarter | 83.33% | 66.67% |
| Win Year | 100.0% | 75.0% |
| Beta | 0.2 | - |
| Alpha | 0.05 | - |
| Correlation | 65.5% | - |
| Treynor Ratio | -3434.29% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.26 | 0.83 | 0.66 | - |
| 2022 | -37.26 | 9.90 | -0.27 | + |
| 2023 | 53.84 | 3.85 | 0.07 | - |
| 2024 | 12.17 | 1.86 | 0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-10 | 2022-05-26 | -13.53 | 136 |
| 2022-09-19 | 2022-10-19 | -4.13 | 30 |
| 2023-07-17 | 2024-01-03 | -3.19 | 170 |
| 2023-01-09 | 2023-03-31 | -2.07 | 81 |
| 2022-06-09 | 2022-06-10 | -1.71 | 1 |
| 2021-09-10 | 2021-12-30 | -1.69 | 111 |
| 2022-05-27 | 2022-06-02 | -1.45 | 6 |
| 2022-07-14 | 2022-07-15 | -1.28 | 1 |
| 2022-07-05 | 2022-07-08 | -1.12 | 3 |
| 2022-06-14 | 2022-06-29 | -1.06 | 15 |