| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 52.9% | 66.08% |
| CAGR﹪ | 11.61% | 14.02% |
| Sharpe | -8.17 | -6.49 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -7.82 | -6.22 |
| Sortino | -7.83 | -6.64 |
| Smart Sortino | -7.5 | -6.36 |
| Sortino/√2 | -5.54 | -4.69 |
| Smart Sortino/√2 | -5.3 | -4.49 |
| Omega | 0.2 | 0.2 |
| Max Drawdown | -52.41% | -53.53% |
| Longest DD Days | 907 | 907 |
| Volatility (ann.) | 23.84% | 29.38% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.22 | 0.26 |
| Skew | -1.59 | -5.24 |
| Kurtosis | 19.45 | 126.47 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.91% | 1.09% |
| Expected Yearly | 8.86% | 10.68% |
| Kelly Criterion | 2.3% | 3.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.41% | -2.97% |
| Expected Shortfall (cVaR) | -2.41% | -2.97% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.12 | 0.16 |
| Gain/Pain (1M) | 0.53 | 0.77 |
| Payoff Ratio | 0.85 | 0.81 |
| Profit Factor | 1.12 | 1.16 |
| Common Sense Ratio | 1.06 | 1.2 |
| CPC Index | 0.52 | 0.54 |
| Tail Ratio | 0.94 | 1.03 |
| Outlier Win Ratio | 3.51 | 3.63 |
| Outlier Loss Ratio | 4.18 | 4.25 |
| MTD | 5.38% | 4.19% |
| 3M | 10.88% | 9.17% |
| 6M | 16.5% | 11.38% |
| YTD | 17.08% | 12.89% |
| 1Y | 51.34% | 45.86% |
| 3Y (ann.) | 4.58% | 5.91% |
| 5Y (ann.) | 11.61% | 14.02% |
| 10Y (ann.) | 11.61% | 14.02% |
| All-time (ann.) | 11.61% | 14.02% |
| 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 | 39 | 34 |
| Recovery Factor | 1.01 | 1.23 |
| Ulcer Index | 0.26 | 0.25 |
| Serenity Index | -0.8 | -0.97 |
| Avg. Up Month | 5.17% | 5.36% |
| Avg. Down Month | -7.01% | -6.71% |
| Win Days | 55.14% | 56.96% |
| Win Month | 68.09% | 65.96% |
| Win Quarter | 76.47% | 70.59% |
| Win Year | 80.0% | 80.0% |
| Beta | 0.62 | - |
| Alpha | 0.03 | - |
| Correlation | 76.81% | - |
| Treynor Ratio | -1038.11% | - |
| 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 | 12.89 | 17.08 | 1.32 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2024-04-15 | -52.41 | 907 |
| 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 |