| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 25.19% | 42.07% |
| CAGR﹪ | 5.33% | 8.45% |
| Sharpe | -8.41 | -6.85 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -8.02 | -6.53 |
| Sortino | -8.03 | -6.92 |
| Smart Sortino | -7.66 | -6.6 |
| Sortino/√2 | -5.68 | -4.9 |
| Smart Sortino/√2 | -5.41 | -4.67 |
| Omega | 0.2 | 0.2 |
| Max Drawdown | -52.41% | -53.53% |
| Longest DD Days | 1076 | 1076 |
| Volatility (ann.) | 23.87% | 28.64% |
| R^2 | 0.6 | 0.6 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.1 | 0.16 |
| Skew | -1.33 | -5.01 |
| Kurtosis | 17.27 | 124.34 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.42% | 0.66% |
| Expected Yearly | 4.6% | 7.28% |
| Kelly Criterion | -0.29% | 2.48% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.44% | -2.92% |
| Expected Shortfall (cVaR) | -2.44% | -2.92% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | 0.07 | 0.11 |
| Gain/Pain (1M) | 0.27 | 0.48 |
| Payoff Ratio | 0.86 | 0.82 |
| Profit Factor | 1.07 | 1.11 |
| Common Sense Ratio | 0.98 | 1.08 |
| CPC Index | 0.49 | 0.51 |
| Tail Ratio | 0.92 | 0.97 |
| Outlier Win Ratio | 3.64 | 3.81 |
| Outlier Loss Ratio | 3.92 | 3.99 |
| MTD | -0.95% | -1.52% |
| 3M | -9.61% | -7.58% |
| 6M | -13.72% | -10.87% |
| YTD | -4.14% | -3.43% |
| 1Y | -2.42% | -2.59% |
| 3Y (ann.) | -6.87% | -5.07% |
| 5Y (ann.) | 5.33% | 8.45% |
| 10Y (ann.) | 5.33% | 8.45% |
| All-time (ann.) | 5.33% | 8.45% |
| Best Day | 11.38% | 20.04% |
| Worst Day | -15.34% | -33.28% |
| Best Month | 15.01% | 15.56% |
| Worst Month | -29.84% | -30.02% |
| Best Year | 47.81% | 53.84% |
| Worst Year | -38.05% | -37.26% |
| Avg. Drawdown | -3.33% | -3.11% |
| Avg. Drawdown Days | 45 | 38 |
| Recovery Factor | 0.48 | 0.79 |
| Ulcer Index | 0.25 | 0.24 |
| Serenity Index | -0.9 | -1.07 |
| Avg. Up Month | 5.21% | 5.44% |
| Avg. Down Month | -6.48% | -6.13% |
| Win Days | 53.77% | 55.96% |
| Win Month | 62.26% | 60.38% |
| Win Quarter | 63.16% | 57.89% |
| Win Year | 60.0% | 60.0% |
| Beta | 0.65 | - |
| Alpha | -0.0 | - |
| Correlation | 77.43% | - |
| Treynor Ratio | -1045.78% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 25.14 | 24.54 | 0.98 | - |
| 2021 | 21.79 | 14.51 | 0.67 | - |
| 2022 | -37.26 | -38.05 | 1.02 | - |
| 2023 | 53.84 | 47.81 | 0.89 | - |
| 2024 | -3.43 | -4.14 | 1.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2024-10-01 | -52.41 | 1076 |
| 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 |
| 2021-09-15 | 2021-09-27 | -2.11 | 12 |