| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 42.0% | 98.0% |
| Cumulative Return | -23.37% | -59.39% |
| CAGR﹪ | -5.25% | -16.69% |
| Sharpe | -14.18 | -7.57 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -10.81 | -5.77 |
| Sortino | -10.99 | -7.57 |
| Smart Sortino | -8.37 | -5.77 |
| Sortino/√2 | -7.77 | -5.35 |
| Smart Sortino/√2 | -5.92 | -4.08 |
| Omega | 0.05 | 0.05 |
| Max Drawdown | -33.8% | -81.82% |
| Longest DD Days | 1213 | 947 |
| Volatility (ann.) | 15.01% | 29.31% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | -0.16 | -0.2 |
| Skew | -8.83 | -5.91 |
| Kurtosis | 194.93 | 128.55 |
| Expected Daily | -0.02% | -0.07% |
| Expected Monthly | -0.44% | -1.49% |
| Expected Yearly | -4.34% | -13.95% |
| Kelly Criterion | -26.84% | 7.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.57% | -3.09% |
| Expected Shortfall (cVaR) | -1.57% | -3.09% |
| Max Consecutive Wins | 4 | 65 |
| Max Consecutive Losses | 5 | 11 |
| Gain/Pain Ratio | -0.11 | -0.26 |
| Gain/Pain (1M) | -0.47 | -0.51 |
| Payoff Ratio | 0.65 | 0.35 |
| Profit Factor | 0.89 | 0.74 |
| Common Sense Ratio | 0.96 | 0.87 |
| CPC Index | 0.29 | 0.2 |
| Tail Ratio | 1.07 | 1.18 |
| Outlier Win Ratio | 10.59 | 9.6 |
| Outlier Loss Ratio | 4.73 | 4.09 |
| MTD | 0.0% | 0.42% |
| 3M | 0.0% | 1.91% |
| 6M | 0.0% | 3.42% |
| YTD | 0.0% | 2.26% |
| 1Y | 0.0% | 6.58% |
| 3Y (ann.) | -11.88% | -30.0% |
| 5Y (ann.) | -5.29% | -16.72% |
| 10Y (ann.) | -5.25% | -16.69% |
| All-time (ann.) | -5.25% | -16.69% |
| Best Day | 7.87% | 23.15% |
| Worst Day | -20.58% | -29.02% |
| Best Month | 2.89% | 24.4% |
| Worst Month | -24.49% | -49.16% |
| Best Year | 7.15% | 9.0% |
| Worst Year | -30.94% | -67.66% |
| Avg. Drawdown | -3.57% | -2.54% |
| Avg. Drawdown Days | 84 | 38 |
| Recovery Factor | -0.69 | -0.73 |
| Ulcer Index | 0.22 | 0.45 |
| Serenity Index | -0.73 | -0.37 |
| Avg. Up Month | 1.16% | 1.3% |
| Avg. Down Month | -4.31% | -6.55% |
| Win Days | 50.09% | 76.08% |
| Win Month | 58.82% | 76.67% |
| Win Quarter | 50.0% | 80.95% |
| Win Year | 50.0% | 66.67% |
| Beta | 0.12 | - |
| Alpha | -0.02 | - |
| Correlation | 24.22% | - |
| Treynor Ratio | -5832.8% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 9.00 | 7.15 | 0.79 | - |
| 2020 | 6.39 | 6.53 | 1.02 | + |
| 2021 | -0.34 | -2.78 | 8.09 | - |
| 2022 | -67.66 | -30.94 | 0.46 | + |
| 2023 | 6.25 | 0.00 | 0.00 | - |
| 2024 | 2.26 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-12-28 | 2024-04-24 | -33.80 | 1213 |
| 2020-03-10 | 2020-04-13 | -12.61 | 34 |
| 2019-10-10 | 2020-03-04 | -6.14 | 146 |
| 2020-04-16 | 2020-05-19 | -3.38 | 33 |
| 2020-09-02 | 2020-12-10 | -2.40 | 99 |
| 2019-09-20 | 2019-10-07 | -1.82 | 17 |
| 2020-05-25 | 2020-07-31 | -1.70 | 67 |
| 2019-09-17 | 2019-09-19 | -1.18 | 2 |
| 2020-12-18 | 2020-12-25 | -1.14 | 7 |
| 2020-08-14 | 2020-09-01 | -1.08 | 18 |