| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 12.0% | 100.0% |
| Cumulative Return | -4.52% | 22.22% |
| CAGR﹪ | -1.77% | 8.06% |
| Sharpe | -23.36 | -10.73 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -19.97 | -9.17 |
| Sortino | -13.54 | -9.53 |
| Smart Sortino | -11.58 | -8.15 |
| Sortino/√2 | -9.57 | -6.74 |
| Smart Sortino/√2 | -8.19 | -5.76 |
| Omega | 0.04 | 0.04 |
| Max Drawdown | -10.71% | -25.5% |
| Longest DD Days | 888 | 520 |
| Volatility (ann.) | 9.0% | 18.58% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.17 | 0.32 |
| Skew | -1.26 | 0.05 |
| Kurtosis | 30.47 | 4.15 |
| Expected Daily | -0.01% | 0.03% |
| Expected Monthly | -0.14% | 0.63% |
| Expected Yearly | -1.15% | 5.15% |
| Kelly Criterion | -4.73% | 3.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.94% | -1.89% |
| Expected Shortfall (cVaR) | -0.94% | -1.89% |
| Max Consecutive Wins | 5 | 7 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | -0.07 | 0.09 |
| Gain/Pain (1M) | -0.27 | 0.45 |
| Payoff Ratio | 0.87 | 0.95 |
| Profit Factor | 0.93 | 1.09 |
| Common Sense Ratio | 0.81 | 1.05 |
| CPC Index | 0.41 | 0.55 |
| Tail Ratio | 0.87 | 0.96 |
| Outlier Win Ratio | 35.84 | 3.22 |
| Outlier Loss Ratio | 1.95 | 3.16 |
| MTD | 0.0% | -1.48% |
| 3M | 0.0% | 11.78% |
| 6M | 0.0% | 24.44% |
| YTD | 0.0% | 10.76% |
| 1Y | 0.0% | 13.6% |
| 3Y (ann.) | -1.77% | 8.06% |
| 5Y (ann.) | -1.77% | 8.06% |
| 10Y (ann.) | -1.77% | 8.06% |
| All-time (ann.) | -1.77% | 8.06% |
| Best Day | 3.43% | 7.44% |
| Worst Day | -4.97% | -4.96% |
| Best Month | 5.52% | 9.75% |
| Worst Month | -5.81% | -8.82% |
| Best Year | 3.72% | 19.19% |
| Worst Year | -7.95% | -11.9% |
| Avg. Drawdown | -3.08% | -2.71% |
| Avg. Drawdown Days | 154 | 41 |
| Recovery Factor | -0.42 | 0.87 |
| Ulcer Index | 0.1 | 0.1 |
| Serenity Index | -2.79 | -4.06 |
| Avg. Up Month | 4.21% | 5.49% |
| Avg. Down Month | -4.44% | -4.49% |
| Win Days | 51.35% | 52.91% |
| Win Month | 50.0% | 50.0% |
| Win Quarter | 66.67% | 50.0% |
| Win Year | 50.0% | 75.0% |
| Beta | 0.14 | - |
| Alpha | -0.03 | - |
| Correlation | 29.39% | - |
| Treynor Ratio | -4950.72% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 5.09 | 3.72 | 0.73 | - |
| 2022 | -11.90 | -7.95 | 0.67 | + |
| 2023 | 19.19 | 0.00 | 0.00 | - |
| 2024 | 10.76 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2024-04-23 | -10.71 | 888 |
| 2021-09-29 | 2021-10-15 | -4.72 | 16 |
| 2021-10-18 | 2021-10-25 | -1.76 | 7 |
| 2021-09-22 | 2021-09-27 | -0.50 | 5 |
| 2021-11-09 | 2021-11-12 | -0.47 | 3 |
| 2021-10-27 | 2021-11-01 | -0.29 | 5 |