| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 116.96% | 11.52% |
| CAGR﹪ | 21.19% | 2.74% |
| Sharpe | -2.77 | -6.19 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.05 | -4.58 |
| Sortino | -3.45 | -6.28 |
| Smart Sortino | -2.56 | -4.65 |
| Sortino/√2 | -2.44 | -4.44 |
| Smart Sortino/√2 | -1.81 | -3.29 |
| Omega | 0.48 | 0.48 |
| Max Drawdown | -60.1% | -55.29% |
| Longest DD Days | 650 | 743 |
| Volatility (ann.) | 59.94% | 32.31% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.35 | 0.05 |
| Skew | -1.83 | -5.61 |
| Kurtosis | 71.46 | 108.27 |
| Expected Daily | 0.09% | 0.01% |
| Expected Monthly | 1.78% | 0.25% |
| Expected Yearly | 16.75% | 2.21% |
| Kelly Criterion | 2.45% | -4.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.04% | -3.31% |
| Expected Shortfall (cVaR) | -6.04% | -3.31% |
| Max Consecutive Wins | 8 | 11 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.22 | 0.07 |
| Gain/Pain (1M) | 1.6 | 0.32 |
| Payoff Ratio | 0.92 | 0.73 |
| Profit Factor | 1.22 | 1.07 |
| Common Sense Ratio | 1.51 | 1.03 |
| CPC Index | 0.59 | 0.44 |
| Tail Ratio | 1.24 | 0.96 |
| Outlier Win Ratio | 2.66 | 5.12 |
| Outlier Loss Ratio | 3.3 | 5.22 |
| MTD | 1.11% | 0.24% |
| 3M | -5.71% | 3.29% |
| 6M | 37.63% | 21.77% |
| YTD | 100.37% | 48.95% |
| 1Y | 108.81% | 47.6% |
| 3Y (ann.) | 5.38% | 0.2% |
| 5Y (ann.) | 21.19% | 2.74% |
| 10Y (ann.) | 21.19% | 2.74% |
| All-time (ann.) | 21.19% | 2.74% |
| Best Day | 32.07% | 20.04% |
| Worst Day | -53.07% | -33.28% |
| Best Month | 22.61% | 15.5% |
| Worst Month | -52.11% | -30.02% |
| Best Year | 100.37% | 48.95% |
| Worst Year | -53.26% | -43.12% |
| Avg. Drawdown | -5.94% | -4.42% |
| Avg. Drawdown Days | 36 | 44 |
| Recovery Factor | 1.95 | 0.21 |
| Ulcer Index | 0.22 | 0.25 |
| Serenity Index | -2.31 | -1.22 |
| Avg. Up Month | 7.19% | 4.42% |
| Avg. Down Month | -10.63% | -6.43% |
| Win Days | 53.37% | 56.18% |
| Win Month | 68.18% | 70.45% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 80.0% | 80.0% |
| Beta | 0.41 | - |
| Alpha | 0.39 | - |
| Correlation | 22.31% | - |
| Treynor Ratio | -1408.56% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 5.87 | 2.57 | 0.44 | - |
| 2020 | 7.98 | 85.91 | 10.76 | + |
| 2021 | 15.15 | 21.50 | 1.42 | + |
| 2022 | -43.12 | -53.26 | 1.24 | - |
| 2023 | 48.95 | 100.37 | 2.05 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2023-09-04 | -60.10 | 650 |
| 2020-05-25 | 2020-08-26 | -27.18 | 93 |
| 2023-09-05 | 2023-11-03 | -14.83 | 59 |
| 2020-02-21 | 2020-03-27 | -13.74 | 35 |
| 2020-09-03 | 2020-10-14 | -13.68 | 41 |
| 2021-02-17 | 2021-04-09 | -11.84 | 51 |
| 2021-09-09 | 2021-11-22 | -11.22 | 74 |
| 2021-04-14 | 2021-06-24 | -10.73 | 71 |
| 2020-10-15 | 2021-02-11 | -9.85 | 119 |
| 2020-03-30 | 2020-04-14 | -7.36 | 15 |