| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | 17.02% | 24.58% |
| CAGR﹪ | 5.95% | 8.41% |
| Sharpe | -6.97 | -7.08 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -5.82 | -5.91 |
| Sortino | -6.99 | -7.13 |
| Smart Sortino | -5.84 | -5.96 |
| Sortino/√2 | -4.94 | -5.04 |
| Smart Sortino/√2 | -4.13 | -4.21 |
| Omega | 0.24 | 0.24 |
| Max Drawdown | -45.18% | -44.32% |
| Longest DD Days | 683 | 652 |
| Volatility (ann.) | 28.52% | 27.73% |
| R^2 | 0.68 | 0.68 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.13 | 0.19 |
| Skew | -3.03 | -3.94 |
| Kurtosis | 42.65 | 90.65 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.48% | 0.67% |
| Expected Yearly | 4.01% | 5.65% |
| Kelly Criterion | -0.32% | 3.15% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.91% | -2.82% |
| Expected Shortfall (cVaR) | -2.91% | -2.82% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.08 | 0.12 |
| Gain/Pain (1M) | 0.42 | 0.56 |
| Payoff Ratio | 0.86 | 0.8 |
| Profit Factor | 1.08 | 1.12 |
| Common Sense Ratio | 1.12 | 1.19 |
| CPC Index | 0.5 | 0.51 |
| Tail Ratio | 1.04 | 1.07 |
| Outlier Win Ratio | 3.56 | 4.11 |
| Outlier Loss Ratio | 3.69 | 4.42 |
| MTD | 0.76% | 2.29% |
| 3M | 7.69% | 9.74% |
| 6M | 9.37% | 11.63% |
| YTD | 12.36% | 14.33% |
| 1Y | 39.14% | 44.11% |
| 3Y (ann.) | 5.95% | 8.41% |
| 5Y (ann.) | 5.95% | 8.41% |
| 10Y (ann.) | 5.95% | 8.41% |
| All-time (ann.) | 5.95% | 8.41% |
| Best Day | 12.19% | 17.72% |
| Worst Day | -22.27% | -26.02% |
| Best Month | 18.05% | 17.06% |
| Worst Month | -21.38% | -19.65% |
| Best Year | 50.35% | 51.42% |
| Worst Year | -29.89% | -28.27% |
| Avg. Drawdown | -3.39% | -3.46% |
| Avg. Drawdown Days | 39 | 39 |
| Recovery Factor | 0.38 | 0.55 |
| Ulcer Index | 0.22 | 0.21 |
| Serenity Index | -1.37 | -1.44 |
| Avg. Up Month | 4.14% | 4.23% |
| Avg. Down Month | -6.06% | -5.73% |
| Win Days | 53.65% | 56.91% |
| Win Month | 66.67% | 66.67% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 50.0% | 75.0% |
| Beta | 0.85 | - |
| Alpha | -0.0 | - |
| Correlation | 82.51% | - |
| Treynor Ratio | -805.08% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.32 | -1.21 | -3.79 | - |
| 2022 | -28.27 | -29.89 | 1.06 | - |
| 2023 | 51.42 | 50.35 | 0.98 | - |
| 2024 | 14.33 | 12.36 | 0.86 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2023-09-04 | -45.18 | 683 |
| 2023-10-26 | 2024-01-12 | -8.57 | 78 |
| 2023-09-05 | 2023-10-17 | -7.17 | 42 |
| 2024-02-20 | 2024-03-01 | -3.42 | 10 |
| 2021-09-10 | 2021-10-05 | -2.99 | 25 |
| 2024-03-12 | 2024-03-28 | -2.65 | 16 |
| 2024-04-17 | 2024-04-24 | -2.62 | 7 |
| 2021-08-12 | 2021-08-30 | -1.83 | 18 |
| 2024-01-23 | 2024-01-30 | -0.99 | 7 |
| 2021-10-12 | 2021-10-18 | -0.76 | 6 |