| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 80.0% | 100.0% |
| Cumulative Return | -20.78% | 48.15% |
| CAGR﹪ | -6.56% | 12.12% |
| Sharpe | -3.95 | -3.37 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.02 | -2.58 |
| Sortino | -4.46 | -3.99 |
| Smart Sortino | -3.41 | -3.05 |
| Sortino/√2 | -3.15 | -2.82 |
| Smart Sortino/√2 | -2.41 | -2.16 |
| Omega | 0.32 | 0.32 |
| Max Drawdown | -31.71% | -18.0% |
| Longest DD Days | 941 | 715 |
| Volatility (ann.) | 19.89% | 14.65% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.21 | 0.67 |
| Skew | -3.46 | -0.3 |
| Kurtosis | 48.06 | 1.07 |
| Expected Daily | -0.04% | 0.08% |
| Expected Monthly | -0.75% | 1.28% |
| Expected Yearly | -4.55% | 8.18% |
| Kelly Criterion | -9.39% | 12.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.1% | -1.44% |
| Expected Shortfall (cVaR) | -2.1% | -1.44% |
| Max Consecutive Wins | 4 | 11 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | -0.14 | 0.26 |
| Gain/Pain (1M) | -0.53 | 1.17 |
| Payoff Ratio | 0.86 | 1.1 |
| Profit Factor | 0.86 | 1.26 |
| Common Sense Ratio | 0.97 | 1.34 |
| CPC Index | 0.37 | 0.75 |
| Tail Ratio | 1.12 | 1.07 |
| Outlier Win Ratio | 6.68 | 3.56 |
| Outlier Loss Ratio | 4.65 | 4.45 |
| MTD | 2.0% | -5.29% |
| 3M | 3.03% | 4.28% |
| 6M | 6.25% | 16.02% |
| YTD | 4.19% | 4.58% |
| 1Y | -4.14% | 21.44% |
| 3Y (ann.) | -7.95% | 8.22% |
| 5Y (ann.) | -6.56% | 12.12% |
| 10Y (ann.) | -6.56% | 12.12% |
| All-time (ann.) | -6.56% | 12.12% |
| Best Day | 8.78% | 3.27% |
| Worst Day | -13.94% | -4.13% |
| Best Month | 2.88% | 8.69% |
| Worst Month | -17.3% | -7.91% |
| Best Year | 4.19% | 29.88% |
| Worst Year | -20.07% | -8.04% |
| Avg. Drawdown | -2.26% | -1.51% |
| Avg. Drawdown Days | 69 | 20 |
| Recovery Factor | -0.66 | 2.68 |
| Ulcer Index | 0.15 | 0.06 |
| Serenity Index | -0.38 | -0.71 |
| Avg. Up Month | 0.81% | 3.57% |
| Avg. Down Month | -5.2% | -2.71% |
| Win Days | 49.52% | 54.41% |
| Win Month | 54.84% | 67.74% |
| Win Quarter | 58.33% | 66.67% |
| Win Year | 40.0% | 80.0% |
| Beta | -0.12 | - |
| Alpha | -0.07 | - |
| Correlation | -9.1% | - |
| Treynor Ratio | 977.01% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 5.74 | 1.01 | 0.18 | - |
| 2021 | 29.88 | -0.75 | -0.03 | - |
| 2022 | -8.04 | -20.07 | 2.50 | - |
| 2023 | 12.16 | -5.12 | -0.42 | - |
| 2024 | 4.58 | 4.19 | 0.91 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-21 | 2024-04-19 | -31.71 | 941 |
| 2020-12-21 | 2021-06-21 | -1.90 | 182 |
| 2021-07-30 | 2021-08-10 | -0.55 | 11 |
| 2021-09-14 | 2021-09-20 | -0.52 | 6 |
| 2021-09-03 | 2021-09-10 | -0.50 | 7 |
| 2021-08-18 | 2021-08-19 | -0.50 | 1 |
| 2021-08-23 | 2021-08-27 | -0.42 | 4 |
| 2021-07-02 | 2021-07-07 | -0.40 | 5 |
| 2021-07-20 | 2021-07-21 | -0.40 | 1 |
| 2021-07-22 | 2021-07-23 | -0.39 | 1 |