| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -7.02% | 2.86% |
| CAGR﹪ | -2.76% | 1.09% |
| Sharpe | -12.9 | -5.86 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -11.93 | -5.42 |
| Sortino | -11.5 | -6.11 |
| Smart Sortino | -10.64 | -5.65 |
| Sortino/√2 | -8.13 | -4.32 |
| Smart Sortino/√2 | -7.52 | -3.99 |
| Omega | 0.05 | 0.05 |
| Max Drawdown | -25.42% | -53.53% |
| Longest DD Days | 624 | 917 |
| Volatility (ann.) | 16.32% | 34.31% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.11 | 0.02 |
| Skew | 3.13 | -4.96 |
| Kurtosis | 149.29 | 101.74 |
| Expected Daily | -0.01% | 0.0% |
| Expected Monthly | -0.23% | 0.09% |
| Expected Yearly | -1.8% | 0.71% |
| Kelly Criterion | -6.26% | -6.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.7% | -3.53% |
| Expected Shortfall (cVaR) | -1.7% | -3.53% |
| Max Consecutive Wins | 13 | 9 |
| Max Consecutive Losses | 10 | 5 |
| Gain/Pain Ratio | -0.03 | 0.06 |
| Gain/Pain (1M) | -0.08 | 0.26 |
| Payoff Ratio | 0.97 | 0.71 |
| Profit Factor | 0.97 | 1.06 |
| Common Sense Ratio | 0.9 | 1.0 |
| CPC Index | 0.45 | 0.42 |
| Tail Ratio | 0.93 | 0.94 |
| Outlier Win Ratio | 6.54 | 2.65 |
| Outlier Loss Ratio | 9.05 | 3.04 |
| MTD | -0.17% | 3.22% |
| 3M | -4.65% | 8.94% |
| 6M | -0.15% | 7.81% |
| YTD | -4.42% | 11.85% |
| 1Y | -5.33% | 40.09% |
| 3Y (ann.) | -2.76% | 1.09% |
| 5Y (ann.) | -2.76% | 1.09% |
| 10Y (ann.) | -2.76% | 1.09% |
| All-time (ann.) | -2.76% | 1.09% |
| Best Day | 16.67% | 20.04% |
| Worst Day | -12.11% | -33.28% |
| Best Month | 24.19% | 15.56% |
| Worst Month | -22.9% | -30.02% |
| Best Year | -0.33% | 53.84% |
| Worst Year | -4.42% | -37.26% |
| Avg. Drawdown | -5.62% | -8.36% |
| Avg. Drawdown Days | 133 | 134 |
| Recovery Factor | -0.28 | 0.05 |
| Ulcer Index | 0.06 | 0.31 |
| Serenity Index | -13.35 | -0.91 |
| Avg. Up Month | 1.23% | 5.74% |
| Avg. Down Month | -7.46% | -12.74% |
| Win Days | 47.65% | 55.85% |
| Win Month | 45.16% | 64.52% |
| Win Quarter | 33.33% | 66.67% |
| Win Year | 0.0% | 50.0% |
| Beta | 0.15 | - |
| Alpha | -0.03 | - |
| Correlation | 30.7% | - |
| Treynor Ratio | -4843.38% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -4.72 | -1.62 | 0.34 | + |
| 2022 | -37.26 | -0.33 | 0.01 | + |
| 2023 | 53.84 | -0.79 | -0.01 | - |
| 2024 | 11.85 | -4.42 | -0.37 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-20 | 2022-06-24 | -25.42 | 277 |
| 2022-08-10 | 2024-04-25 | -10.60 | 624 |
| 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 |