| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -12.02% | 1.34% |
| CAGR﹪ | -6.11% | 0.66% |
| Sharpe | -2.88 | -3.29 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.49 | -2.84 |
| Sortino | -3.61 | -4.03 |
| Smart Sortino | -3.11 | -3.47 |
| Sortino/√2 | -2.55 | -2.85 |
| Smart Sortino/√2 | -2.2 | -2.46 |
| Omega | 0.56 | 0.56 |
| Max Drawdown | -46.24% | -24.49% |
| Longest DD Days | 419 | 597 |
| Volatility (ann.) | 25.3% | 20.26% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.13 | 0.03 |
| Skew | -0.46 | 0.09 |
| Kurtosis | 10.44 | 2.14 |
| Expected Daily | -0.03% | 0.0% |
| Expected Monthly | -0.51% | 0.05% |
| Expected Yearly | -4.18% | 0.44% |
| Kelly Criterion | -9.8% | 4.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.64% | -2.09% |
| Expected Shortfall (cVaR) | -2.64% | -2.09% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 9 | 6 |
| Gain/Pain Ratio | -0.03 | 0.02 |
| Gain/Pain (1M) | -0.09 | 0.09 |
| Payoff Ratio | 0.89 | 1.18 |
| Profit Factor | 0.97 | 1.02 |
| Common Sense Ratio | 1.25 | 1.02 |
| CPC Index | 0.42 | 0.58 |
| Tail Ratio | 1.28 | 1.0 |
| Outlier Win Ratio | 3.89 | 3.97 |
| Outlier Loss Ratio | 4.08 | 4.38 |
| MTD | -4.27% | -4.51% |
| 3M | -16.31% | 5.98% |
| 6M | -21.34% | 10.56% |
| YTD | -25.95% | 15.2% |
| 1Y | -35.02% | 7.81% |
| 3Y (ann.) | -6.11% | 0.66% |
| 5Y (ann.) | -6.11% | 0.66% |
| 10Y (ann.) | -6.11% | 0.66% |
| All-time (ann.) | -6.11% | 0.66% |
| Best Day | 8.53% | 5.76% |
| Worst Day | -10.82% | -4.55% |
| Best Month | 20.46% | 9.22% |
| Worst Month | -15.91% | -9.21% |
| Best Year | 17.61% | 15.2% |
| Worst Year | -25.95% | -18.32% |
| Avg. Drawdown | -5.16% | -3.01% |
| Avg. Drawdown Days | 38 | 50 |
| Recovery Factor | -0.26 | 0.05 |
| Ulcer Index | 0.21 | 0.13 |
| Serenity Index | -0.22 | -0.46 |
| Avg. Up Month | 3.98% | 4.0% |
| Avg. Down Month | -5.95% | -3.6% |
| Win Days | 48.31% | 48.31% |
| Win Month | 44.0% | 56.0% |
| Win Quarter | 22.22% | 44.44% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.06 | - |
| Alpha | -0.04 | - |
| Correlation | 4.9% | - |
| Treynor Ratio | -1828.88% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.69 | 1.01 | 0.13 | - |
| 2022 | -18.32 | 17.61 | -0.96 | + |
| 2023 | 15.20 | -25.95 | -1.71 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-07-01 | 2023-08-24 | -46.24 | 419 |
| 2021-10-27 | 2022-04-25 | -16.45 | 180 |
| 2022-05-25 | 2022-06-10 | -14.75 | 16 |
| 2022-05-05 | 2022-05-12 | -4.18 | 7 |
| 2022-06-29 | 2022-06-30 | -2.67 | 1 |
| 2022-05-13 | 2022-05-16 | -1.80 | 3 |
| 2021-09-16 | 2021-10-05 | -1.50 | 19 |
| 2021-08-16 | 2021-08-31 | -1.34 | 15 |
| 2021-09-07 | 2021-09-13 | -0.70 | 6 |
| 2022-06-15 | 2022-06-16 | -0.60 | 1 |