| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 67.0% | 96.0% |
| Cumulative Return | -26.36% | -56.52% |
| CAGR﹪ | -6.47% | -16.65% |
| Sharpe | -7.63 | -7.44 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -6.81 | -6.64 |
| Sortino | -8.04 | -6.78 |
| Smart Sortino | -7.17 | -6.04 |
| Sortino/√2 | -5.69 | -4.79 |
| Smart Sortino/√2 | -5.07 | -4.27 |
| Omega | 0.17 | 0.17 |
| Max Drawdown | -34.64% | -62.6% |
| Longest DD Days | 1547 | 941 |
| Volatility (ann.) | 28.21% | 30.97% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | -0.19 | -0.27 |
| Skew | -1.56 | -23.39 |
| Kurtosis | 40.85 | 594.78 |
| Expected Daily | -0.04% | -0.11% |
| Expected Monthly | -0.8% | -2.17% |
| Expected Yearly | -4.97% | -12.96% |
| Kelly Criterion | -11.45% | -67.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.95% | -3.29% |
| Expected Shortfall (cVaR) | -2.95% | -3.29% |
| Max Consecutive Wins | 6 | 11 |
| Max Consecutive Losses | 5 | 12 |
| Gain/Pain Ratio | -0.08 | -0.51 |
| Gain/Pain (1M) | -0.39 | -0.77 |
| Payoff Ratio | 0.88 | 0.35 |
| Profit Factor | 0.92 | 0.49 |
| Common Sense Ratio | 0.76 | 0.43 |
| CPC Index | 0.39 | 0.1 |
| Tail Ratio | 0.83 | 0.89 |
| Outlier Win Ratio | 8.39 | 26.7 |
| Outlier Loss Ratio | 4.29 | 9.68 |
| MTD | 0.0% | 0.73% |
| 3M | 0.0% | 2.08% |
| 6M | 0.0% | 4.31% |
| YTD | 0.0% | 2.55% |
| 1Y | 0.0% | 4.31% |
| 3Y (ann.) | -9.24% | -26.15% |
| 5Y (ann.) | -6.47% | -16.65% |
| 10Y (ann.) | -6.47% | -16.65% |
| All-time (ann.) | -6.47% | -16.65% |
| Best Day | 14.52% | 6.62% |
| Worst Day | -20.11% | -50.05% |
| Best Month | 7.45% | 3.73% |
| Worst Month | -21.37% | -48.47% |
| Best Year | 5.48% | 4.43% |
| Worst Year | -23.86% | -60.53% |
| Avg. Drawdown | -13.05% | -1.53% |
| Avg. Drawdown Days | 329 | 29 |
| Recovery Factor | -0.76 | -0.9 |
| Ulcer Index | 0.13 | 0.24 |
| Serenity Index | -4.05 | -1.33 |
| Avg. Up Month | 1.97% | 1.13% |
| Avg. Down Month | -3.12% | -2.58% |
| Win Days | 47.93% | 56.67% |
| Win Month | 43.33% | 52.63% |
| Win Quarter | 45.45% | 60.0% |
| Win Year | 25.0% | 66.67% |
| Beta | 0.07 | - |
| Alpha | -0.05 | - |
| Correlation | 8.2% | - |
| Treynor Ratio | -9725.1% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 1.47 | -4.76 | -3.23 | - |
| 2020 | 4.43 | 5.48 | 1.23 | + |
| 2021 | -0.35 | -3.72 | 10.77 | - |
| 2022 | -60.53 | -23.86 | 0.39 | + |
| 2023 | 1.72 | 0.00 | 0.00 | - |
| 2024 | 2.55 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-23 | 2024-04-18 | -34.64 | 1547 |
| 2019-11-11 | 2019-12-18 | -8.57 | 37 |
| 2019-12-20 | 2020-01-14 | -8.23 | 25 |
| 2020-01-15 | 2020-01-22 | -7.34 | 7 |
| 2019-09-26 | 2019-10-23 | -6.46 | 27 |