| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 3.99% | 4.56% |
| CAGR﹪ | 1.53% | 1.75% |
| Sharpe | -6.17 | -5.91 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.31 | -4.13 |
| Sortino | -6.55 | -6.13 |
| Smart Sortino | -4.57 | -4.28 |
| Sortino/√2 | -4.63 | -4.34 |
| Smart Sortino/√2 | -3.23 | -3.03 |
| Omega | 0.25 | 0.25 |
| Max Drawdown | -51.95% | -51.37% |
| Longest DD Days | 910 | 910 |
| Volatility (ann.) | 32.72% | 33.93% |
| R^2 | 0.75 | 0.75 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.03 | 0.03 |
| Skew | -1.31 | -5.08 |
| Kurtosis | 40.12 | 102.94 |
| Expected Daily | 0.01% | 0.01% |
| Expected Monthly | 0.12% | 0.14% |
| Expected Yearly | 0.98% | 1.12% |
| Kelly Criterion | 0.92% | 2.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.36% | -3.48% |
| Expected Shortfall (cVaR) | -3.36% | -3.48% |
| Max Consecutive Wins | 9 | 12 |
| Max Consecutive Losses | 9 | 7 |
| Gain/Pain Ratio | 0.05 | 0.06 |
| Gain/Pain (1M) | 0.24 | 0.25 |
| Payoff Ratio | 0.84 | 0.81 |
| Profit Factor | 1.05 | 1.06 |
| Common Sense Ratio | 1.02 | 1.07 |
| CPC Index | 0.48 | 0.48 |
| Tail Ratio | 0.97 | 1.01 |
| Outlier Win Ratio | 3.89 | 4.23 |
| Outlier Loss Ratio | 4.29 | 4.43 |
| MTD | 3.32% | 3.38% |
| 3M | 3.42% | 3.41% |
| 6M | 3.16% | 3.38% |
| YTD | 8.43% | 7.61% |
| 1Y | 37.25% | 37.56% |
| 3Y (ann.) | 1.53% | 1.75% |
| 5Y (ann.) | 1.53% | 1.75% |
| 10Y (ann.) | 1.53% | 1.75% |
| All-time (ann.) | 1.53% | 1.75% |
| Best Day | 20.38% | 19.55% |
| Worst Day | -21.92% | -33.06% |
| Best Month | 13.61% | 15.23% |
| Worst Month | -18.68% | -29.7% |
| Best Year | 57.86% | 59.1% |
| Worst Year | -37.05% | -37.05% |
| Avg. Drawdown | -9.23% | -9.14% |
| Avg. Drawdown Days | 155 | 154 |
| Recovery Factor | 0.08 | 0.09 |
| Ulcer Index | 0.29 | 0.29 |
| Serenity Index | -0.99 | -1.03 |
| Avg. Up Month | 4.49% | 4.63% |
| Avg. Down Month | -6.61% | -7.92% |
| Win Days | 54.74% | 56.48% |
| Win Month | 62.5% | 65.62% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.83 | - |
| Alpha | 0.0 | - |
| Correlation | 86.33% | - |
| Treynor Ratio | -836.23% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -3.00 | -3.48 | 1.16 | - |
| 2022 | -37.05 | -37.05 | 1.00 | - |
| 2023 | 59.10 | 57.86 | 0.98 | - |
| 2024 | 7.61 | 8.43 | 1.11 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2024-04-18 | -51.95 | 910 |
| 2021-10-06 | 2021-10-08 | -1.00 | 2 |
| 2021-09-28 | 2021-10-05 | -0.92 | 7 |
| 2021-10-15 | 2021-10-19 | -0.64 | 4 |
| 2021-09-24 | 2021-09-27 | -0.57 | 3 |
| 2021-10-12 | 2021-10-14 | -0.27 | 2 |