| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 1.84% | 20.05% |
| CAGR﹪ | 0.85% | 8.86% |
| Sharpe | 0.2 | 15.0 |
| Prob. Sharpe Ratio | 60.73% | 100.0% |
| Smart Sharpe | 0.16 | 12.27 |
| Sortino | 0.25 | - |
| Smart Sortino | 0.21 | - |
| Sortino/√2 | 0.18 | - |
| Smart Sortino/√2 | 0.14 | - |
| Omega | 1.04 | 1.04 |
| Max Drawdown | -45.18% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 32.23% | 0.61% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.02 | - |
| Skew | -2.78 | 11.52 |
| Kurtosis | 34.37 | 139.71 |
| Expected Daily | 0.0% | 0.04% |
| Expected Monthly | 0.07% | 0.68% |
| Expected Yearly | 0.61% | 6.28% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.31% | -0.03% |
| Expected Shortfall (cVaR) | -3.31% | -0.03% |
| Max Consecutive Wins | 7 | 501 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.04 | - |
| Gain/Pain (1M) | 0.19 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.04 | - |
| Common Sense Ratio | 0.99 | - |
| CPC Index | - | - |
| Tail Ratio | 0.95 | 2.01 |
| Outlier Win Ratio | 1.86 | 60.13 |
| Outlier Loss Ratio | 2.07 | - |
| MTD | -4.93% | 0.81% |
| 3M | 7.7% | 2.52% |
| 6M | 30.23% | 4.53% |
| YTD | 44.82% | 6.34% |
| 1Y | 48.51% | 8.52% |
| 3Y (ann.) | 0.85% | 8.86% |
| 5Y (ann.) | 0.85% | 8.86% |
| 10Y (ann.) | 0.85% | 8.86% |
| All-time (ann.) | 0.85% | 8.86% |
| Best Day | 12.19% | 0.51% |
| Worst Day | -22.27% | 0.0% |
| Best Month | 18.05% | 1.55% |
| Worst Month | -21.38% | 0.31% |
| Best Year | 44.82% | 9.41% |
| Worst Year | -29.89% | 3.19% |
| Avg. Drawdown | -7.38% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.04 | - |
| Ulcer Index | 0.25 | 0.0 |
| Serenity Index | 0.0 | - |
| Avg. Up Month | 4.68% | 0.66% |
| Avg. Down Month | - | - |
| Win Days | 51.03% | 100.0% |
| Win Month | 62.96% | 100.0% |
| Win Quarter | 55.56% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | 3.86 | - |
| Alpha | -0.29 | - |
| Correlation | 7.33% | - |
| Treynor Ratio | 0.48% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.19 | 0.29 | 0.09 | - |
| 2022 | 9.41 | -29.89 | -3.18 | - |
| 2023 | 6.34 | 44.82 | 7.07 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2023-09-04 | -45.18 | 683 |
| 2023-09-05 | 2023-09-22 | -7.17 | 17 |
| 2021-09-10 | 2021-10-05 | -2.99 | 25 |
| 2021-08-12 | 2021-08-30 | -1.83 | 18 |
| 2021-10-12 | 2021-10-18 | -0.76 | 6 |
| 2021-07-30 | 2021-08-11 | -0.75 | 12 |
| 2021-08-31 | 2021-09-02 | -0.22 | 2 |
| 2021-09-07 | 2021-09-08 | -0.11 | 1 |