| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 50.0% | 100.0% |
| Cumulative Return | -14.24% | 35.34% |
| CAGR﹪ | -3.06% | 6.31% |
| Sharpe | -3.35 | -5.16 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.29 | -3.53 |
| Sortino | -4.34 | -5.58 |
| Smart Sortino | -2.97 | -3.81 |
| Sortino/√2 | -3.07 | -3.94 |
| Smart Sortino/√2 | -2.1 | -2.7 |
| Omega | 0.44 | 0.44 |
| Max Drawdown | -59.82% | -60.7% |
| Longest DD Days | 1019 | 909 |
| Volatility (ann.) | 58.19% | 37.77% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.05 | 0.1 |
| Skew | 0.46 | -3.24 |
| Kurtosis | 23.52 | 75.88 |
| Expected Daily | -0.01% | 0.02% |
| Expected Monthly | -0.26% | 0.51% |
| Expected Yearly | -2.53% | 5.17% |
| Kelly Criterion | -3.66% | -8.18% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.97% | -3.86% |
| Expected Shortfall (cVaR) | -5.97% | -3.86% |
| Max Consecutive Wins | 6 | 11 |
| Max Consecutive Losses | 8 | 11 |
| Gain/Pain Ratio | 0.08 | 0.09 |
| Gain/Pain (1M) | 0.53 | 0.41 |
| Payoff Ratio | 0.94 | 0.69 |
| Profit Factor | 1.08 | 1.09 |
| Common Sense Ratio | 1.1 | 1.11 |
| CPC Index | 0.5 | 0.42 |
| Tail Ratio | 1.03 | 1.02 |
| Outlier Win Ratio | 9.31 | 7.61 |
| Outlier Loss Ratio | 3.13 | 6.18 |
| MTD | 0.0% | 3.28% |
| 3M | 0.0% | 4.06% |
| 6M | 0.0% | 11.13% |
| YTD | 0.0% | 9.2% |
| 1Y | 0.0% | 23.66% |
| 3Y (ann.) | -13.62% | -2.58% |
| 5Y (ann.) | -3.76% | 5.69% |
| 10Y (ann.) | -3.06% | 6.31% |
| All-time (ann.) | -3.06% | 6.31% |
| Best Day | 39.33% | 26.12% |
| Worst Day | -27.47% | -39.44% |
| Best Month | 35.14% | 20.21% |
| Worst Month | -31.49% | -34.72% |
| Best Year | 27.85% | 33.54% |
| Worst Year | -37.76% | -32.91% |
| Avg. Drawdown | -11.89% | -5.38% |
| Avg. Drawdown Days | 116 | 52 |
| Recovery Factor | -0.24 | 0.58 |
| Ulcer Index | 0.43 | 0.28 |
| Serenity Index | -0.83 | -1.18 |
| Avg. Up Month | 8.17% | 6.36% |
| Avg. Down Month | -12.05% | -11.37% |
| Win Days | 49.75% | 55.85% |
| Win Month | 61.76% | 68.33% |
| Win Quarter | 50.0% | 66.67% |
| Win Year | 50.0% | 66.67% |
| Beta | 0.45 | - |
| Alpha | 0.08 | - |
| Correlation | 28.89% | - |
| Treynor Ratio | -1604.75% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 33.54 | 27.85 | 0.83 | - |
| 2020 | -4.75 | -7.48 | 1.58 | - |
| 2021 | 21.65 | 16.48 | 0.76 | - |
| 2022 | -32.91 | -37.76 | 1.15 | - |
| 2023 | 19.37 | 0.00 | 0.00 | - |
| 2024 | 9.20 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-07-08 | 2024-04-22 | -59.82 | 1019 |
| 2019-12-27 | 2021-06-14 | -51.19 | 535 |
| 2021-06-25 | 2021-07-07 | -21.61 | 12 |
| 2021-06-17 | 2021-06-21 | -12.17 | 4 |
| 2021-06-15 | 2021-06-16 | -10.01 | 1 |
| 2019-07-08 | 2019-09-16 | -7.68 | 70 |
| 2019-09-18 | 2019-10-22 | -4.80 | 34 |
| 2021-06-22 | 2021-06-23 | -4.44 | 1 |
| 2019-11-12 | 2019-12-20 | -3.01 | 38 |
| 2019-05-24 | 2019-06-06 | -1.96 | 13 |