| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 52.14% | 55.18% |
| CAGR﹪ | 11.38% | 11.95% |
| Sharpe | -8.2 | -6.55 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -7.67 | -6.13 |
| Sortino | -7.85 | -6.66 |
| Smart Sortino | -7.34 | -6.23 |
| Sortino/√2 | -5.55 | -4.71 |
| Smart Sortino/√2 | -5.19 | -4.4 |
| Omega | 0.2 | 0.2 |
| Max Drawdown | -52.41% | -53.27% |
| Longest DD Days | 910 | 910 |
| Volatility (ann.) | 23.77% | 29.39% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.22 | 0.22 |
| Skew | -1.59 | -5.18 |
| Kurtosis | 19.48 | 123.44 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.88% | 0.92% |
| Expected Yearly | 8.75% | 9.19% |
| Kelly Criterion | 2.34% | 2.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.41% | -2.98% |
| Expected Shortfall (cVaR) | -2.41% | -2.98% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.12 | 0.14 |
| Gain/Pain (1M) | 0.51 | 0.63 |
| Payoff Ratio | 0.85 | 0.8 |
| Profit Factor | 1.12 | 1.14 |
| Common Sense Ratio | 1.05 | 1.14 |
| CPC Index | 0.52 | 0.52 |
| Tail Ratio | 0.94 | 1.0 |
| Outlier Win Ratio | 3.58 | 3.6 |
| Outlier Loss Ratio | 4.18 | 4.14 |
| MTD | 5.41% | 4.45% |
| 3M | 12.88% | 9.0% |
| 6M | 14.4% | 9.58% |
| YTD | 17.12% | 13.18% |
| 1Y | 48.95% | 45.57% |
| 3Y (ann.) | 4.47% | 4.79% |
| 5Y (ann.) | 11.38% | 11.95% |
| 10Y (ann.) | 11.38% | 11.95% |
| All-time (ann.) | 11.38% | 11.95% |
| Best Day | 11.38% | 20.14% |
| Worst Day | -15.34% | -33.2% |
| Best Month | 15.01% | 15.76% |
| Worst Month | -29.84% | -29.79% |
| Best Year | 47.81% | 51.86% |
| Worst Year | -38.05% | -37.8% |
| Avg. Drawdown | -3.25% | -3.7% |
| Avg. Drawdown Days | 37 | 43 |
| Recovery Factor | 0.99 | 1.04 |
| Ulcer Index | 0.26 | 0.26 |
| Serenity Index | -0.8 | -0.98 |
| Avg. Up Month | 5.06% | 5.26% |
| Avg. Down Month | -6.29% | -6.46% |
| Win Days | 55.1% | 56.54% |
| Win Month | 66.67% | 64.58% |
| Win Quarter | 76.47% | 70.59% |
| Win Year | 80.0% | 80.0% |
| Beta | 0.62 | - |
| Alpha | 0.04 | - |
| Correlation | 76.75% | - |
| Treynor Ratio | -1043.84% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 25.33 | 23.88 | 0.94 | - |
| 2021 | 15.83 | 14.51 | 0.92 | - |
| 2022 | -37.80 | -38.05 | 1.01 | - |
| 2023 | 51.86 | 47.81 | 0.92 | - |
| 2024 | 13.18 | 17.12 | 1.30 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2024-04-18 | -52.41 | 910 |
| 2020-08-14 | 2020-11-16 | -11.45 | 94 |
| 2021-01-15 | 2021-03-15 | -7.04 | 59 |
| 2021-03-16 | 2021-05-07 | -4.55 | 52 |
| 2021-07-08 | 2021-08-17 | -3.97 | 40 |
| 2020-06-08 | 2020-07-06 | -3.65 | 28 |
| 2020-07-07 | 2020-07-17 | -2.80 | 10 |
| 2020-12-18 | 2020-12-29 | -2.50 | 11 |
| 2021-08-18 | 2021-09-01 | -2.33 | 14 |
| 2020-06-04 | 2020-06-05 | -2.13 | 1 |