| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 94.0% |
| Cumulative Return | -7.88% | -15.81% |
| CAGR﹪ | -5.99% | -12.15% |
| Sharpe | -0.12 | -0.6 |
| Prob. Sharpe Ratio | 21.58% | 12.21% |
| Smart Sharpe | -0.11 | -0.52 |
| Sortino | -0.16 | -0.67 |
| Smart Sortino | -0.13 | -0.58 |
| Sortino/√2 | -0.11 | -0.48 |
| Smart Sortino/√2 | -0.1 | -0.41 |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -45.88% | -43.09% |
| Longest DD Days | 473 | 466 |
| Volatility (ann.) | 56.24% | 47.98% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | -0.13 | -0.28 |
| Skew | -1.24 | -3.5 |
| Kurtosis | 5.29 | 19.32 |
| Expected Daily | -0.06% | -0.14% |
| Expected Monthly | -0.58% | -1.22% |
| Expected Yearly | -4.02% | -8.25% |
| Kelly Criterion | -5.03% | -12.96% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.83% | -5.06% |
| Expected Shortfall (cVaR) | -5.83% | -5.06% |
| Max Consecutive Wins | 6 | 5 |
| Max Consecutive Losses | 8 | 6 |
| Gain/Pain Ratio | -0.0 | -0.1 |
| Gain/Pain (1M) | -0.0 | -0.19 |
| Payoff Ratio | 0.84 | 0.65 |
| Profit Factor | 1.0 | 0.9 |
| Common Sense Ratio | 0.85 | 1.08 |
| CPC Index | 0.44 | 0.32 |
| Tail Ratio | 0.85 | 1.2 |
| Outlier Win Ratio | 2.72 | 4.78 |
| Outlier Loss Ratio | 4.65 | 5.87 |
| MTD | 12.19% | 3.31% |
| 3M | 29.81% | 19.26% |
| 6M | 33.63% | 22.27% |
| YTD | 29.92% | 20.75% |
| 1Y | 23.06% | 15.48% |
| 3Y (ann.) | -5.99% | -12.15% |
| 5Y (ann.) | -5.99% | -12.15% |
| 10Y (ann.) | -5.99% | -12.15% |
| All-time (ann.) | -5.99% | -12.15% |
| Best Day | 9.88% | 6.29% |
| Worst Day | -17.74% | -20.0% |
| Best Month | 17.42% | 15.94% |
| Worst Month | -30.16% | -29.15% |
| Best Year | 29.92% | 20.75% |
| Worst Year | -29.09% | -30.28% |
| Avg. Drawdown | -45.88% | -22.43% |
| Avg. Drawdown Days | 473 | 234 |
| Recovery Factor | -0.17 | -0.37 |
| Ulcer Index | 0.33 | 0.3 |
| Serenity Index | -0.03 | -0.05 |
| Avg. Up Month | 7.75% | 5.62% |
| Avg. Down Month | -14.26% | -13.59% |
| Win Days | 52.0% | 55.46% |
| Win Month | 57.14% | 71.43% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.85 | - |
| Alpha | 0.19 | - |
| Correlation | 72.79% | - |
| Treynor Ratio | -17.44% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -30.28 | -29.09 | 0.96 | + |
| 2023 | 20.75 | 29.92 | 1.44 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-07 | 2023-05-26 | -45.88 | 473 |