| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -5.32% | 10.8% |
| CAGR﹪ | -2.77% | 5.4% |
| Sharpe | 0.15 | 10.1 |
| Prob. Sharpe Ratio | 57.61% | 100.0% |
| Smart Sharpe | 0.15 | 10.05 |
| Sortino | 0.18 | 49.38 |
| Smart Sortino | 0.18 | 49.14 |
| Sortino/√2 | 0.13 | 34.92 |
| Smart Sortino/√2 | 0.12 | 34.75 |
| Omega | 1.03 | 1.03 |
| Max Drawdown | -43.59% | -1.25% |
| Longest DD Days | 526 | 209 |
| Volatility (ann.) | 40.24% | 0.59% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | -0.06 | 4.31 |
| Skew | -6.15 | 6.29 |
| Kurtosis | 82.11 | 68.46 |
| Expected Daily | -0.01% | 0.02% |
| Expected Monthly | -0.24% | 0.45% |
| Expected Yearly | -1.81% | 3.48% |
| Kelly Criterion | -16.07% | 75.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.15% | -0.04% |
| Expected Shortfall (cVaR) | -4.15% | -0.04% |
| Max Consecutive Wins | 8 | 256 |
| Max Consecutive Losses | 6 | 65 |
| Gain/Pain Ratio | 0.03 | 8.12 |
| Gain/Pain (1M) | 0.13 | 8.12 |
| Payoff Ratio | 0.64 | 1.53 |
| Profit Factor | 1.03 | 9.12 |
| Common Sense Ratio | 0.92 | 26.02 |
| CPC Index | 0.36 | 11.88 |
| Tail Ratio | 0.89 | 2.85 |
| Outlier Win Ratio | 2.12 | 88.06 |
| Outlier Loss Ratio | 2.15 | 175.02 |
| MTD | -6.16% | 0.87% |
| 3M | -6.67% | 2.13% |
| 6M | 3.17% | 3.2% |
| YTD | 18.32% | 4.6% |
| 1Y | 28.79% | 6.04% |
| 3Y (ann.) | -2.77% | 5.4% |
| 5Y (ann.) | -2.77% | 5.4% |
| 10Y (ann.) | -2.77% | 5.4% |
| All-time (ann.) | -2.77% | 5.4% |
| Best Day | 7.08% | 0.43% |
| Worst Day | -34.8% | -0.02% |
| Best Month | 22.67% | 1.17% |
| Worst Month | -30.05% | -0.52% |
| Best Year | 18.32% | 4.6% |
| Worst Year | -27.63% | 2.41% |
| Avg. Drawdown | -8.7% | -1.25% |
| Avg. Drawdown Days | 68 | 209 |
| Recovery Factor | -0.12 | 8.6 |
| Ulcer Index | 0.23 | 0.0 |
| Serenity Index | -0.01 | 0.83 |
| Avg. Up Month | 4.83% | 0.62% |
| Avg. Down Month | -11.17% | -0.44% |
| Win Days | 54.82% | 85.06% |
| Win Month | 65.22% | 86.96% |
| Win Quarter | 55.56% | 77.78% |
| Win Year | 66.67% | 100.0% |
| Beta | -3.12 | - |
| Alpha | 0.25 | - |
| Correlation | -4.55% | - |
| Treynor Ratio | 1.7% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.43 | 10.56 | 3.08 | + |
| 2022 | 2.41 | -27.63 | -11.46 | - |
| 2023 | 4.60 | 18.32 | 3.98 | + |
| 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 |