| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -5.32% | 15.9% |
| CAGR﹪ | -2.77% | 7.87% |
| Sharpe | 0.15 | 18.62 |
| Prob. Sharpe Ratio | 57.61% | 100.0% |
| Smart Sharpe | 0.15 | 18.52 |
| Sortino | 0.18 | - |
| Smart Sortino | 0.18 | - |
| Sortino/√2 | 0.13 | - |
| Smart Sortino/√2 | 0.12 | - |
| Omega | 1.03 | 1.03 |
| Max Drawdown | -43.59% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 40.24% | 0.46% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.06 | - |
| Skew | -6.15 | 10.96 |
| Kurtosis | 82.11 | 137.99 |
| Expected Daily | -0.01% | 0.03% |
| Expected Monthly | -0.24% | 0.64% |
| Expected Yearly | -1.81% | 5.04% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.15% | -0.01% |
| Expected Shortfall (cVaR) | -4.15% | -0.01% |
| Max Consecutive Wins | 8 | 435 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.03 | - |
| Gain/Pain (1M) | 0.13 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.03 | - |
| Common Sense Ratio | 0.92 | - |
| CPC Index | - | - |
| Tail Ratio | 0.89 | 1.6 |
| Outlier Win Ratio | 2.13 | 81.0 |
| Outlier Loss Ratio | 2.13 | - |
| MTD | -6.16% | 0.83% |
| 3M | -6.67% | 2.92% |
| 6M | 3.17% | 4.89% |
| YTD | 18.32% | 6.36% |
| 1Y | 28.79% | 8.88% |
| 3Y (ann.) | -2.77% | 7.87% |
| 5Y (ann.) | -2.77% | 7.87% |
| 10Y (ann.) | -2.77% | 7.87% |
| All-time (ann.) | -2.77% | 7.87% |
| Best Day | 7.08% | 0.42% |
| Worst Day | -34.8% | 0.0% |
| Best Month | 22.67% | 0.83% |
| Worst Month | -30.05% | 0.44% |
| Best Year | 18.32% | 6.57% |
| Worst Year | -27.63% | 2.26% |
| Avg. Drawdown | -8.7% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.12 | - |
| Ulcer Index | 0.23 | 0.0 |
| Serenity Index | -0.01 | - |
| Avg. Up Month | 6.02% | 0.63% |
| Avg. Down Month | - | - |
| Win Days | 54.82% | 100.0% |
| Win Month | 65.22% | 100.0% |
| Win Quarter | 55.56% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -12.77 | - |
| Alpha | 1.15 | - |
| Correlation | -14.55% | - |
| Treynor Ratio | 0.42% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.26 | 10.56 | 4.68 | + |
| 2022 | 6.57 | -27.63 | -4.21 | - |
| 2023 | 6.36 | 18.32 | 2.88 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2023-06-16 | -43.59 | 526 |
| 2023-07-25 | 2023-09-04 | -21.36 | 41 |
| 2023-06-19 | 2023-07-11 | -8.02 | 22 |
| 2021-11-23 | 2021-12-30 | -5.67 | 37 |
| 2021-09-24 | 2021-10-29 | -3.87 | 35 |
| 2021-11-08 | 2021-11-12 | -1.48 | 4 |
| 2021-11-17 | 2021-11-19 | -1.33 | 2 |
| 2023-07-20 | 2023-07-24 | -0.85 | 4 |
| 2023-07-12 | 2023-07-17 | -0.40 | 5 |
| 2022-01-03 | 2022-01-04 | -0.39 | 1 |