| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -17.35% | 37.08% |
| CAGR﹪ | -5.98% | 10.75% |
| Sharpe | -0.34 | 43.56 |
| Prob. Sharpe Ratio | 28.75% | - |
| Smart Sharpe | -0.32 | 40.8 |
| Sortino | -0.5 | - |
| Smart Sortino | -0.47 | - |
| Sortino/√2 | -0.35 | - |
| Smart Sortino/√2 | -0.33 | - |
| Omega | 0.9 | 0.9 |
| Max Drawdown | -25.49% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 15.35% | 0.24% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.23 | - |
| Skew | 3.18 | 0.62 |
| Kurtosis | 159.43 | -1.03 |
| Expected Daily | -0.03% | 0.04% |
| Expected Monthly | -0.51% | 0.86% |
| Expected Yearly | -4.65% | 8.2% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.61% | -0.02% |
| Expected Shortfall (cVaR) | -1.61% | -0.02% |
| Max Consecutive Wins | 13 | 757 |
| Max Consecutive Losses | 10 | 0 |
| Gain/Pain Ratio | -0.1 | - |
| Gain/Pain (1M) | -0.24 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.9 | - |
| Common Sense Ratio | 0.85 | - |
| CPC Index | - | - |
| Tail Ratio | 0.94 | 2.84 |
| Outlier Win Ratio | 2.11 | 19.97 |
| Outlier Loss Ratio | 1.75 | - |
| MTD | -2.32% | 0.37% |
| 3M | -4.06% | 4.57% |
| 6M | -10.36% | 8.68% |
| YTD | -14.95% | 13.06% |
| 1Y | -10.88% | 16.65% |
| 3Y (ann.) | -5.92% | 10.98% |
| 5Y (ann.) | -5.98% | 10.75% |
| 10Y (ann.) | -5.98% | 10.75% |
| All-time (ann.) | -5.98% | 10.75% |
| Best Day | 16.67% | 0.07% |
| Worst Day | -12.11% | 0.0% |
| Best Month | 24.19% | 1.56% |
| Worst Month | -22.9% | 0.37% |
| Best Year | -0.33% | 13.06% |
| Worst Year | -14.95% | 2.32% |
| Avg. Drawdown | -6.88% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.68 | - |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | -0.15 | - |
| Avg. Up Month | 3.56% | 0.8% |
| Avg. Down Month | - | - |
| Win Days | 46.4% | 100.0% |
| Win Month | 37.84% | 100.0% |
| Win Quarter | 28.57% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | 1.09 | - |
| Alpha | -0.17 | - |
| Correlation | 1.71% | - |
| Treynor Ratio | -15.93% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.32 | -1.72 | -0.74 | - |
| 2022 | 7.72 | -0.33 | -0.04 | - |
| 2023 | 10.00 | -0.79 | -0.08 | - |
| 2024 | 13.06 | -14.95 | -1.14 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-07 | 2022-06-24 | -25.49 | 290 |
| 2022-08-10 | 2024-10-07 | -19.36 | 789 |
| 2022-06-29 | 2022-07-22 | -2.40 | 23 |
| 2022-07-28 | 2022-08-03 | -0.33 | 6 |
| 2022-08-04 | 2022-08-05 | -0.27 | 1 |
| 2022-08-08 | 2022-08-09 | -0.17 | 1 |
| 2022-07-25 | 2022-07-27 | -0.12 | 2 |