| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -1.48% | 17.92% |
| CAGR﹪ | -0.75% | 8.65% |
| Sharpe | 0.27 | 10.75 |
| Prob. Sharpe Ratio | 62.26% | 99.59% |
| Smart Sharpe | 0.25 | 10.26 |
| Sortino | 0.33 | - |
| Smart Sortino | 0.31 | - |
| Sortino/√2 | 0.23 | - |
| Smart Sortino/√2 | 0.22 | - |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -52.08% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 49.65% | 1.02% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | -0.01 | - |
| Skew | -5.33 | 16.71 |
| Kurtosis | 68.82 | 306.41 |
| Expected Daily | -0.0% | 0.04% |
| Expected Monthly | -0.06% | 0.72% |
| Expected Yearly | -0.5% | 5.65% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.09% | -0.06% |
| Expected Shortfall (cVaR) | -5.09% | -0.06% |
| Max Consecutive Wins | 4 | 377 |
| Max Consecutive Losses | 11 | 0 |
| Gain/Pain Ratio | 0.06 | - |
| Gain/Pain (1M) | 0.24 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.06 | - |
| Common Sense Ratio | 1.17 | - |
| CPC Index | - | - |
| Tail Ratio | 1.1 | 2.88 |
| Outlier Win Ratio | 1.69 | 68.95 |
| Outlier Loss Ratio | 1.98 | - |
| MTD | 1.4% | 1.23% |
| 3M | -10.22% | 4.15% |
| 6M | 7.67% | 6.44% |
| YTD | 34.78% | 10.0% |
| 1Y | 44.52% | 10.68% |
| 3Y (ann.) | -0.75% | 8.65% |
| 5Y (ann.) | -0.75% | 8.65% |
| 10Y (ann.) | -0.75% | 8.65% |
| All-time (ann.) | -0.75% | 8.65% |
| Best Day | 12.72% | 1.23% |
| Worst Day | -39.53% | 0.0% |
| Best Month | 16.76% | 1.23% |
| Worst Month | -37.68% | 0.55% |
| Best Year | 34.78% | 10.0% |
| Worst Year | -27.16% | 0.6% |
| Avg. Drawdown | -10.73% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.03 | - |
| Ulcer Index | 0.29 | 0.0 |
| Serenity Index | -0.0 | - |
| Avg. Up Month | 6.79% | 0.71% |
| Avg. Down Month | - | - |
| Win Days | 48.9% | 100.0% |
| Win Month | 65.22% | 100.0% |
| Win Quarter | 55.56% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -1.44 | - |
| Alpha | 0.29 | - |
| Correlation | -2.97% | - |
| Treynor Ratio | 1.03% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.60 | 0.36 | 0.60 | - |
| 2022 | 6.57 | -27.16 | -4.14 | - |
| 2023 | 10.00 | 34.78 | 3.48 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2023-12-05 | -52.08 | 648 |
| 2022-01-25 | 2022-02-24 | -6.72 | 30 |
| 2022-01-10 | 2022-01-13 | -2.68 | 3 |
| 2021-12-21 | 2022-01-06 | -1.72 | 16 |
| 2022-01-17 | 2022-01-24 | -0.85 | 7 |
| 2021-12-13 | 2021-12-17 | -0.34 | 4 |