| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 24.52% | 10.67% |
| CAGR﹪ | 7.97% | 3.61% |
| Sharpe | -13.41 | -6.05 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -12.45 | -5.62 |
| Sortino | -12.29 | -6.27 |
| Smart Sortino | -11.42 | -5.82 |
| Sortino/√2 | -8.69 | -4.43 |
| Smart Sortino/√2 | -8.07 | -4.12 |
| Omega | 0.04 | 0.04 |
| Max Drawdown | -14.95% | -53.53% |
| Longest DD Days | 264 | 917 |
| Volatility (ann.) | 14.91% | 32.91% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.53 | 0.07 |
| Skew | 5.45 | -5.06 |
| Kurtosis | 265.03 | 107.92 |
| Expected Daily | 0.03% | 0.01% |
| Expected Monthly | 0.63% | 0.29% |
| Expected Yearly | 5.63% | 2.57% |
| Kelly Criterion | -16.73% | -3.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.51% | -3.37% |
| Expected Shortfall (cVaR) | -1.51% | -3.37% |
| Max Consecutive Wins | 8 | 9 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.47 | 0.08 |
| Gain/Pain (1M) | 1.75 | 0.33 |
| Payoff Ratio | 0.48 | 0.72 |
| Profit Factor | 1.47 | 1.08 |
| Common Sense Ratio | 2.09 | 1.07 |
| CPC Index | 0.44 | 0.44 |
| Tail Ratio | 1.43 | 1.0 |
| Outlier Win Ratio | 11.99 | 2.21 |
| Outlier Loss Ratio | 12.88 | 2.44 |
| MTD | 1.13% | 3.22% |
| 3M | 3.94% | 8.94% |
| 6M | 7.17% | 7.81% |
| YTD | 4.73% | 11.85% |
| 1Y | 7.95% | 40.09% |
| 3Y (ann.) | 7.97% | 3.61% |
| 5Y (ann.) | 7.97% | 3.61% |
| 10Y (ann.) | 7.97% | 3.61% |
| All-time (ann.) | 7.97% | 3.61% |
| Best Day | 18.08% | 20.04% |
| Worst Day | -13.96% | -33.28% |
| Best Month | 17.8% | 15.56% |
| Worst Month | -13.68% | -30.02% |
| Best Year | 10.05% | 53.84% |
| Worst Year | 2.8% | -37.26% |
| Avg. Drawdown | -0.39% | -5.74% |
| Avg. Drawdown Days | 9 | 84 |
| Recovery Factor | 1.64 | 0.2 |
| Ulcer Index | 0.02 | 0.3 |
| Serenity Index | -97.73 | -0.92 |
| Avg. Up Month | 1.39% | 4.74% |
| Avg. Down Month | -6.95% | -16.48% |
| Win Days | 61.91% | 56.45% |
| Win Month | 91.43% | 65.71% |
| Win Quarter | 92.31% | 69.23% |
| Win Year | 100.0% | 75.0% |
| Beta | 0.15 | - |
| Alpha | 0.08 | - |
| Correlation | 32.04% | - |
| Treynor Ratio | -4654.22% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.52 | 2.80 | 1.11 | + |
| 2022 | -37.26 | 10.05 | -0.27 | + |
| 2023 | 53.84 | 5.09 | 0.09 | - |
| 2024 | 11.85 | 4.73 | 0.40 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-07-08 | 2022-03-29 | -14.95 | 264 |
| 2022-04-05 | 2022-06-14 | -3.12 | 70 |
| 2023-08-03 | 2023-11-21 | -1.44 | 110 |
| 2023-11-27 | 2023-12-28 | -1.33 | 31 |
| 2021-07-01 | 2021-07-02 | -0.53 | 1 |
| 2022-12-02 | 2022-12-06 | -0.34 | 4 |
| 2022-09-16 | 2022-09-23 | -0.33 | 7 |
| 2024-03-27 | 2024-04-01 | -0.32 | 5 |
| 2022-09-28 | 2022-09-29 | -0.32 | 1 |
| 2022-07-01 | 2022-07-05 | -0.29 | 4 |