| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 4.52% | 3.51% |
| CAGR﹪ | 1.71% | 1.33% |
| Sharpe | -6.2 | -5.87 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.34 | -4.11 |
| Sortino | -6.58 | -6.1 |
| Smart Sortino | -4.6 | -4.28 |
| Sortino/√2 | -4.65 | -4.32 |
| Smart Sortino/√2 | -3.26 | -3.02 |
| Omega | 0.24 | 0.24 |
| Max Drawdown | -51.95% | -53.53% |
| Longest DD Days | 909 | 909 |
| Volatility (ann.) | 32.5% | 34.23% |
| R^2 | 0.74 | 0.74 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.03 | 0.02 |
| Skew | -1.31 | -4.95 |
| Kurtosis | 40.5 | 101.37 |
| Expected Daily | 0.01% | 0.01% |
| Expected Monthly | 0.14% | 0.11% |
| Expected Yearly | 1.11% | 0.87% |
| Kelly Criterion | 1.42% | 1.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.34% | -3.52% |
| Expected Shortfall (cVaR) | -3.34% | -3.52% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 9 | 5 |
| Gain/Pain Ratio | 0.05 | 0.06 |
| Gain/Pain (1M) | 0.25 | 0.24 |
| Payoff Ratio | 0.85 | 0.81 |
| Profit Factor | 1.05 | 1.06 |
| Common Sense Ratio | 1.03 | 0.97 |
| CPC Index | 0.49 | 0.48 |
| Tail Ratio | 0.98 | 0.92 |
| Outlier Win Ratio | 3.89 | 4.2 |
| Outlier Loss Ratio | 4.37 | 4.61 |
| MTD | 3.41% | 3.65% |
| 3M | 3.93% | 8.8% |
| 6M | 3.77% | 9.34% |
| YTD | 8.53% | 12.31% |
| 1Y | 39.41% | 45.1% |
| 3Y (ann.) | 1.71% | 1.33% |
| 5Y (ann.) | 1.71% | 1.33% |
| 10Y (ann.) | 1.71% | 1.33% |
| All-time (ann.) | 1.71% | 1.33% |
| Best Day | 20.38% | 20.04% |
| Worst Day | -21.92% | -33.28% |
| Best Month | 13.61% | 15.56% |
| Worst Month | -18.68% | -30.02% |
| Best Year | 57.86% | 53.84% |
| Worst Year | -37.05% | -37.26% |
| Avg. Drawdown | -8.48% | -8.53% |
| Avg. Drawdown Days | 134 | 134 |
| Recovery Factor | 0.09 | 0.07 |
| Ulcer Index | 0.28 | 0.31 |
| Serenity Index | -0.99 | -0.9 |
| Avg. Up Month | 4.75% | 4.82% |
| Avg. Down Month | -7.1% | -8.58% |
| Win Days | 54.73% | 55.94% |
| Win Month | 62.5% | 65.62% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.82 | - |
| Alpha | 0.01 | - |
| Correlation | 85.99% | - |
| Treynor Ratio | -851.81% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -4.51 | -3.08 | 0.68 | + |
| 2022 | -37.26 | -37.05 | 0.99 | + |
| 2023 | 53.84 | 57.86 | 1.07 | + |
| 2024 | 12.31 | 8.53 | 0.69 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2024-04-17 | -51.95 | 909 |
| 2021-09-16 | 2021-09-27 | -3.36 | 11 |
| 2021-09-07 | 2021-09-13 | -1.19 | 6 |
| 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 |
| 2021-10-12 | 2021-10-14 | -0.27 | 2 |