| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -1.48% | 10.84% |
| CAGR﹪ | -0.75% | 5.32% |
| Sharpe | 0.27 | 9.2 |
| Prob. Sharpe Ratio | 62.26% | 100.0% |
| Smart Sharpe | 0.25 | 8.78 |
| Sortino | 0.33 | 46.74 |
| Smart Sortino | 0.31 | 44.59 |
| Sortino/√2 | 0.23 | 33.05 |
| Smart Sortino/√2 | 0.22 | 31.53 |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -52.08% | -1.25% |
| Longest DD Days | 648 | 208 |
| Volatility (ann.) | 49.65% | 0.75% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -0.01 | 4.24 |
| Skew | -5.33 | 8.95 |
| Kurtosis | 68.82 | 132.33 |
| Expected Daily | -0.0% | 0.03% |
| Expected Monthly | -0.06% | 0.45% |
| Expected Yearly | -0.5% | 3.49% |
| Kelly Criterion | 7.83% | 77.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.09% | -0.05% |
| Expected Shortfall (cVaR) | -5.09% | -0.05% |
| Max Consecutive Wins | 4 | 272 |
| Max Consecutive Losses | 11 | 51 |
| Gain/Pain Ratio | 0.06 | 8.15 |
| Gain/Pain (1M) | 0.24 | 8.15 |
| Payoff Ratio | 1.24 | 1.51 |
| Profit Factor | 1.06 | 9.15 |
| Common Sense Ratio | 1.17 | 25.83 |
| CPC Index | 0.65 | 11.94 |
| Tail Ratio | 1.1 | 2.82 |
| Outlier Win Ratio | 1.69 | 84.77 |
| Outlier Loss Ratio | 1.99 | 138.97 |
| MTD | 1.4% | 0.73% |
| 3M | -10.22% | 3.46% |
| 6M | 7.67% | 4.88% |
| YTD | 34.78% | 7.42% |
| 1Y | 44.52% | 8.17% |
| 3Y (ann.) | -0.75% | 5.32% |
| 5Y (ann.) | -0.75% | 5.32% |
| 10Y (ann.) | -0.75% | 5.32% |
| All-time (ann.) | -0.75% | 5.32% |
| Best Day | 12.72% | 0.73% |
| Worst Day | -39.53% | -0.03% |
| Best Month | 16.76% | 1.17% |
| Worst Month | -37.68% | -0.52% |
| Best Year | 34.78% | 7.42% |
| Worst Year | -27.16% | 0.76% |
| Avg. Drawdown | -10.73% | -1.25% |
| Avg. Drawdown Days | 118 | 208 |
| Recovery Factor | -0.03 | 8.64 |
| Ulcer Index | 0.29 | 0.0 |
| Serenity Index | -0.0 | 1.1 |
| Avg. Up Month | 6.08% | 0.65% |
| Avg. Down Month | -11.67% | -0.43% |
| Win Days | 48.9% | 86.47% |
| Win Month | 65.22% | 86.96% |
| Win Quarter | 55.56% | 77.78% |
| Win Year | 66.67% | 100.0% |
| Beta | 2.24 | - |
| Alpha | -0.02 | - |
| Correlation | 3.36% | - |
| Treynor Ratio | -0.66% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.76 | 0.36 | 0.47 | - |
| 2022 | 2.41 | -27.16 | -11.27 | - |
| 2023 | 7.42 | 34.78 | 4.69 | + |
| 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 |