| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 36.0% | 100.0% |
| Cumulative Return | -5.38% | -2.11% |
| CAGR﹪ | -2.14% | -0.83% |
| Sharpe | -0.37 | -0.62 |
| Prob. Sharpe Ratio | 4.09% | 4.07% |
| Smart Sharpe | -0.34 | -0.57 |
| Sortino | -0.54 | -0.82 |
| Smart Sortino | -0.5 | -0.74 |
| Sortino/√2 | -0.39 | -0.58 |
| Smart Sortino/√2 | -0.35 | -0.53 |
| Omega | 0.9 | 0.9 |
| Max Drawdown | -22.23% | -21.99% |
| Longest DD Days | 913 | 919 |
| Volatility (ann.) | 19.51% | 11.32% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.1 | -0.04 |
| Skew | 0.71 | -0.92 |
| Kurtosis | 11.58 | 8.7 |
| Expected Daily | -0.01% | -0.0% |
| Expected Monthly | -0.17% | -0.07% |
| Expected Yearly | -1.37% | -0.53% |
| Kelly Criterion | -2.01% | -6.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.02% | -1.17% |
| Expected Shortfall (cVaR) | -2.02% | -1.17% |
| Max Consecutive Wins | 4 | 7 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | -0.01 | -0.0 |
| Gain/Pain (1M) | -0.03 | -0.01 |
| Payoff Ratio | 1.18 | 0.84 |
| Profit Factor | 0.99 | 1.0 |
| Common Sense Ratio | 0.92 | 0.97 |
| CPC Index | 0.52 | 0.43 |
| Tail Ratio | 0.92 | 0.98 |
| Outlier Win Ratio | 10.62 | 6.76 |
| Outlier Loss Ratio | 2.42 | 5.98 |
| MTD | 0.0% | 0.96% |
| 3M | 0.0% | 1.71% |
| 6M | 0.0% | 7.61% |
| YTD | 0.0% | 5.65% |
| 1Y | 0.99% | 8.22% |
| 3Y (ann.) | -2.14% | -0.83% |
| 5Y (ann.) | -2.14% | -0.83% |
| 10Y (ann.) | -2.14% | -0.83% |
| All-time (ann.) | -2.14% | -0.83% |
| Best Day | 8.38% | 2.55% |
| Worst Day | -5.56% | -5.93% |
| Best Month | 10.48% | 7.24% |
| Worst Month | -6.25% | -6.11% |
| Best Year | 12.7% | 8.7% |
| Worst Year | -17.58% | -15.17% |
| Avg. Drawdown | -22.23% | -11.64% |
| Avg. Drawdown Days | 913 | 464 |
| Recovery Factor | -0.24 | -0.1 |
| Ulcer Index | 0.12 | 0.12 |
| Serenity Index | -0.07 | -0.03 |
| Avg. Up Month | 4.08% | 3.68% |
| Avg. Down Month | -3.4% | -3.44% |
| Win Days | 44.76% | 51.27% |
| Win Month | 39.13% | 50.0% |
| Win Quarter | 55.56% | 66.67% |
| Win Year | 66.67% | 75.0% |
| Beta | 0.41 | - |
| Alpha | -0.0 | - |
| Correlation | 23.6% | - |
| Treynor Ratio | -30.43% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.49 | 1.86 | 3.82 | + |
| 2022 | -15.17 | -17.58 | 1.16 | - |
| 2023 | 8.70 | 12.70 | 1.46 | + |
| 2024 | 5.65 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-04 | 2024-07-05 | -22.23 | 913 |