| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 3.05% | 25.06% |
| CAGR﹪ | 1.14% | 8.84% |
| Sharpe | 0.2 | 0.5 |
| Prob. Sharpe Ratio | 62.57% | 79.3% |
| Smart Sharpe | 0.14 | 0.35 |
| Sortino | 0.27 | 0.76 |
| Smart Sortino | 0.19 | 0.53 |
| Sortino/√2 | 0.19 | 0.54 |
| Smart Sortino/√2 | 0.13 | 0.38 |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -51.95% | -39.65% |
| Longest DD Days | 929 | 488 |
| Volatility (ann.) | 32.39% | 22.21% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.02 | 0.22 |
| Skew | -1.32 | 1.07 |
| Kurtosis | 40.79 | 13.16 |
| Expected Daily | 0.0% | 0.03% |
| Expected Monthly | 0.09% | 0.68% |
| Expected Yearly | 0.75% | 5.75% |
| Kelly Criterion | 13.99% | -1.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.33% | -2.26% |
| Expected Shortfall (cVaR) | -3.33% | -2.26% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 9 | 7 |
| Gain/Pain Ratio | 0.05 | 0.11 |
| Gain/Pain (1M) | 0.23 | 0.44 |
| Payoff Ratio | 1.14 | 0.92 |
| Profit Factor | 1.05 | 1.11 |
| Common Sense Ratio | 1.03 | 1.02 |
| CPC Index | 0.65 | 0.53 |
| Tail Ratio | 0.99 | 0.92 |
| Outlier Win Ratio | 4.12 | 4.9 |
| Outlier Loss Ratio | 3.66 | 5.21 |
| MTD | -0.97% | -2.09% |
| 3M | 2.06% | -0.12% |
| 6M | 1.63% | -1.39% |
| YTD | 6.86% | 0.83% |
| 1Y | 34.48% | 17.74% |
| 3Y (ann.) | 1.14% | 8.84% |
| 5Y (ann.) | 1.14% | 8.84% |
| 10Y (ann.) | 1.14% | 8.84% |
| All-time (ann.) | 1.14% | 8.84% |
| Best Day | 20.38% | 10.7% |
| Worst Day | -21.92% | -6.67% |
| Best Month | 13.61% | 19.77% |
| Worst Month | -18.68% | -16.34% |
| Best Year | 57.86% | 29.27% |
| Worst Year | -37.05% | -6.4% |
| Avg. Drawdown | -8.18% | -5.19% |
| Avg. Drawdown Days | 136 | 57 |
| Recovery Factor | 0.06 | 0.63 |
| Ulcer Index | 0.28 | 0.16 |
| Serenity Index | 0.0 | 0.07 |
| Avg. Up Month | 5.14% | 5.81% |
| Avg. Down Month | -6.51% | -8.94% |
| Win Days | 54.23% | 51.4% |
| Win Month | 60.61% | 60.61% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 50.0% | 75.0% |
| Beta | -0.2 | - |
| Alpha | 0.09 | - |
| Correlation | -13.55% | - |
| Treynor Ratio | -15.42% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.51 | -2.96 | -1.18 | - |
| 2022 | -6.40 | -37.05 | 5.79 | - |
| 2023 | 29.27 | 57.86 | 1.98 | + |
| 2024 | 0.83 | 6.86 | 8.29 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2024-05-07 | -51.95 | 929 |
| 2021-09-20 | 2021-09-22 | -1.88 | 2 |
| 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 |