| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 18.21% | 9.86% |
| CAGR﹪ | 6.25% | 3.47% |
| Sharpe | -6.86 | -5.76 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -5.65 | -4.74 |
| Sortino | -6.9 | -6.05 |
| Smart Sortino | -5.69 | -4.99 |
| Sortino/√2 | -4.88 | -4.28 |
| Smart Sortino/√2 | -4.02 | -3.53 |
| Omega | 0.24 | 0.24 |
| Max Drawdown | -45.18% | -53.53% |
| Longest DD Days | 683 | 929 |
| Volatility (ann.) | 28.87% | 34.51% |
| R^2 | 0.67 | 0.67 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.14 | 0.06 |
| Skew | -3.0 | -4.62 |
| Kurtosis | 41.53 | 97.07 |
| Expected Daily | 0.03% | 0.01% |
| Expected Monthly | 0.49% | 0.28% |
| Expected Yearly | 4.27% | 2.38% |
| Kelly Criterion | -1.17% | 0.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.95% | -3.54% |
| Expected Shortfall (cVaR) | -2.95% | -3.54% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.08 | 0.08 |
| Gain/Pain (1M) | 0.43 | 0.32 |
| Payoff Ratio | 0.84 | 0.76 |
| Profit Factor | 1.08 | 1.08 |
| Common Sense Ratio | 1.12 | 0.97 |
| CPC Index | 0.49 | 0.47 |
| Tail Ratio | 1.03 | 0.9 |
| Outlier Win Ratio | 3.76 | 3.91 |
| Outlier Loss Ratio | 4.32 | 4.26 |
| MTD | -0.91% | -0.24% |
| 3M | 7.13% | 7.05% |
| 6M | 12.13% | 9.5% |
| YTD | 13.4% | 12.55% |
| 1Y | 47.67% | 46.03% |
| 3Y (ann.) | 6.25% | 3.47% |
| 5Y (ann.) | 6.25% | 3.47% |
| 10Y (ann.) | 6.25% | 3.47% |
| All-time (ann.) | 6.25% | 3.47% |
| Best Day | 12.19% | 20.04% |
| Worst Day | -22.27% | -33.28% |
| Best Month | 18.05% | 15.56% |
| Worst Month | -21.38% | -30.02% |
| Best Year | 50.35% | 53.84% |
| Worst Year | -29.89% | -37.26% |
| Avg. Drawdown | -3.39% | -5.75% |
| Avg. Drawdown Days | 39 | 89 |
| Recovery Factor | 0.4 | 0.18 |
| Ulcer Index | 0.22 | 0.3 |
| Serenity Index | -1.43 | -0.95 |
| Avg. Up Month | 4.49% | 5.34% |
| Avg. Down Month | -6.31% | -8.44% |
| Win Days | 53.75% | 56.81% |
| Win Month | 64.71% | 64.71% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 50.0% | 75.0% |
| Beta | 0.69 | - |
| Alpha | 0.04 | - |
| Correlation | 81.99% | - |
| Treynor Ratio | -993.79% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.12 | -1.11 | -0.99 | - |
| 2022 | -37.26 | -29.89 | 0.80 | + |
| 2023 | 53.84 | 50.35 | 0.94 | - |
| 2024 | 12.55 | 13.40 | 1.07 | + |
| 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 | 2024-05-07 | -2.62 | 20 |
| 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 |