| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -6.85% | 19.7% |
| CAGR﹪ | -2.57% | 6.82% |
| Sharpe | -1.67 | -3.19 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -1.63 | -3.11 |
| Sortino | -2.02 | -3.92 |
| Smart Sortino | -1.96 | -3.82 |
| Sortino/√2 | -1.43 | -2.77 |
| Smart Sortino/√2 | -1.39 | -2.7 |
| Omega | 0.71 | 0.71 |
| Max Drawdown | -48.74% | -24.49% |
| Longest DD Days | 910 | 708 |
| Volatility (ann.) | 38.56% | 18.9% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.05 | 0.28 |
| Skew | -2.67 | 0.07 |
| Kurtosis | 33.94 | 2.47 |
| Expected Daily | -0.01% | 0.03% |
| Expected Monthly | -0.21% | 0.55% |
| Expected Yearly | -1.76% | 4.6% |
| Kelly Criterion | -10.22% | 1.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.98% | -1.92% |
| Expected Shortfall (cVaR) | -3.98% | -1.92% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.03 | 0.09 |
| Gain/Pain (1M) | 0.12 | 0.35 |
| Payoff Ratio | 0.73 | 0.98 |
| Profit Factor | 1.03 | 1.09 |
| Common Sense Ratio | 1.17 | 1.14 |
| CPC Index | 0.4 | 0.55 |
| Tail Ratio | 1.13 | 1.05 |
| Outlier Win Ratio | 3.04 | 4.82 |
| Outlier Loss Ratio | 3.2 | 5.91 |
| MTD | 1.9% | -3.41% |
| 3M | 3.55% | 4.63% |
| 6M | 11.95% | 21.19% |
| YTD | 10.06% | 6.78% |
| 1Y | 23.23% | 24.62% |
| 3Y (ann.) | -2.57% | 6.82% |
| 5Y (ann.) | -2.57% | 6.82% |
| 10Y (ann.) | -2.57% | 6.82% |
| All-time (ann.) | -2.57% | 6.82% |
| Best Day | 15.23% | 5.76% |
| Worst Day | -28.15% | -4.55% |
| Best Month | 16.39% | 9.22% |
| Worst Month | -26.76% | -9.21% |
| Best Year | 16.31% | 26.29% |
| Worst Year | -25.09% | -18.32% |
| Avg. Drawdown | -6.86% | -1.96% |
| Avg. Drawdown Days | 108 | 29 |
| Recovery Factor | -0.14 | 0.8 |
| Ulcer Index | 0.25 | 0.11 |
| Serenity Index | -0.25 | -0.44 |
| Avg. Up Month | 4.58% | 4.03% |
| Avg. Down Month | -11.67% | -4.44% |
| Win Days | 53.39% | 51.05% |
| Win Month | 66.67% | 57.58% |
| Win Quarter | 66.67% | 50.0% |
| Win Year | 50.0% | 75.0% |
| Beta | 0.26 | - |
| Alpha | 0.03 | - |
| Correlation | 12.82% | - |
| Treynor Ratio | -408.53% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 8.67 | -2.86 | -0.33 | - |
| 2022 | -18.32 | -25.09 | 1.37 | - |
| 2023 | 26.29 | 16.31 | 0.62 | - |
| 2024 | 6.78 | 10.06 | 1.48 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-27 | 2024-04-24 | -48.74 | 910 |
| 2021-09-16 | 2021-10-05 | -4.31 | 19 |
| 2021-08-12 | 2021-08-31 | -2.94 | 19 |
| 2021-08-06 | 2021-08-11 | -1.61 | 5 |
| 2021-09-07 | 2021-09-13 | -1.48 | 6 |
| 2021-09-14 | 2021-09-15 | -0.97 | 1 |
| 2021-10-12 | 2021-10-14 | -0.91 | 2 |
| 2021-10-21 | 2021-10-25 | -0.74 | 4 |
| 2021-10-08 | 2021-10-11 | -0.01 | 3 |