| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | -2.24% | 35.64% |
| CAGR﹪ | -0.57% | 8.03% |
| Sharpe | 0.1 | 10.6 |
| Prob. Sharpe Ratio | 56.99% | 99.36% |
| Smart Sharpe | 0.09 | 8.75 |
| Sortino | 0.15 | - |
| Smart Sortino | 0.12 | - |
| Sortino/√2 | 0.1 | - |
| Smart Sortino/√2 | 0.09 | - |
| Omega | 1.02 | 1.02 |
| Max Drawdown | -25.15% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 26.57% | 0.99% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.02 | - |
| Skew | 0.52 | 23.52 |
| Kurtosis | 18.96 | 607.07 |
| Expected Daily | -0.0% | 0.04% |
| Expected Monthly | -0.06% | 0.81% |
| Expected Yearly | -0.45% | 6.29% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.74% | -0.06% |
| Expected Shortfall (cVaR) | -2.74% | -0.06% |
| Max Consecutive Wins | 9 | 733 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.02 | - |
| Gain/Pain (1M) | 0.14 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.02 | - |
| Common Sense Ratio | 1.02 | - |
| CPC Index | - | - |
| Tail Ratio | 1.0 | 4.15 |
| Outlier Win Ratio | 2.32 | 51.45 |
| Outlier Loss Ratio | 2.44 | - |
| MTD | 0.0% | 1.65% |
| 3M | 12.78% | 6.22% |
| 6M | 3.89% | 10.36% |
| YTD | 8.09% | 14.5% |
| 1Y | -8.69% | 18.4% |
| 3Y (ann.) | 1.43% | 8.95% |
| 5Y (ann.) | -0.57% | 8.03% |
| 10Y (ann.) | -0.57% | 8.03% |
| All-time (ann.) | -0.57% | 8.03% |
| Best Day | 14.07% | 1.65% |
| Worst Day | -10.56% | 0.0% |
| Best Month | 15.83% | 1.65% |
| Worst Month | -13.05% | 0.32% |
| Best Year | 8.09% | 14.5% |
| Worst Year | -10.84% | 1.07% |
| Avg. Drawdown | -11.37% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.09 | - |
| Ulcer Index | 0.11 | 0.0 |
| Serenity Index | -0.02 | - |
| Avg. Up Month | 3.29% | 0.74% |
| Avg. Down Month | - | - |
| Win Days | 50.43% | 100.0% |
| Win Month | 51.35% | 100.0% |
| Win Quarter | 46.15% | 100.0% |
| Win Year | 40.0% | 100.0% |
| Beta | -0.08 | - |
| Alpha | 0.04 | - |
| Correlation | -0.31% | - |
| Treynor Ratio | 26.65% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.07 | -1.13 | -1.05 | - |
| 2021 | 5.82 | -0.91 | -0.16 | - |
| 2022 | 1.36 | -10.84 | -7.94 | - |
| 2023 | 9.27 | 3.55 | 0.38 | - |
| 2024 | 14.50 | 8.09 | 0.56 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-09-08 | 2024-10-01 | -25.15 | 389 |
| 2020-11-03 | 2023-08-08 | -24.05 | 1008 |
| 2023-08-14 | 2023-09-05 | -5.70 | 22 |
| 2023-09-06 | 2023-09-07 | -1.60 | 1 |
| 2020-10-22 | 2020-10-26 | -0.35 | 4 |