| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | -65.23% | 11.84% |
| CAGR﹪ | -30.86% | 3.99% |
| Sharpe | -1.37 | 12.74 |
| Prob. Sharpe Ratio | 0.91% | 100.0% |
| Smart Sharpe | -0.96 | 8.98 |
| Sortino | -1.38 | - |
| Smart Sortino | -0.98 | - |
| Sortino/√2 | -0.98 | - |
| Smart Sortino/√2 | -0.69 | - |
| Omega | 0.48 | 0.48 |
| Max Drawdown | -70.32% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 57.85% | 0.85% |
| R^2 | 0.79 | 0.79 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | -0.44 | - |
| Skew | -9.84 | 9.47 |
| Kurtosis | 104.86 | 99.86 |
| Expected Daily | -0.4% | 0.04% |
| Expected Monthly | -7.27% | 0.8% |
| Expected Yearly | -23.21% | 2.84% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.31% | -0.04% |
| Expected Shortfall (cVaR) | -6.31% | -0.04% |
| Max Consecutive Wins | 6 | 261 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | -0.52 | - |
| Gain/Pain (1M) | -0.86 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.48 | - |
| Common Sense Ratio | 0.38 | - |
| CPC Index | - | - |
| Tail Ratio | 0.8 | 3.9 |
| Outlier Win Ratio | 1.88 | 22.34 |
| Outlier Loss Ratio | 2.95 | - |
| MTD | 3.09% | 1.24% |
| 3M | 4.63% | 4.3% |
| 6M | -63.16% | 6.33% |
| YTD | 0.57% | 5.04% |
| 1Y | -63.16% | 6.33% |
| 3Y (ann.) | -30.86% | 3.99% |
| 5Y (ann.) | -30.86% | 3.99% |
| 10Y (ann.) | -30.86% | 3.99% |
| All-time (ann.) | -30.86% | 3.99% |
| Best Day | 6.74% | 0.61% |
| Worst Day | -42.23% | 0.0% |
| Best Month | 3.73% | 1.24% |
| Worst Month | -63.37% | 0.41% |
| Best Year | 7.45% | 5.04% |
| Worst Year | -63.37% | 1.23% |
| Avg. Drawdown | -6.41% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.93 | - |
| Ulcer Index | 0.38 | 0.0 |
| Serenity Index | -0.09 | - |
| Avg. Up Month | 1.64% | 0.7% |
| Avg. Down Month | - | - |
| Win Days | 54.03% | 100.0% |
| Win Month | 57.14% | 100.0% |
| Win Quarter | 57.14% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -60.68 | - |
| Alpha | 5.75 | - |
| Correlation | -88.7% | - |
| Treynor Ratio | 1.08% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.77 | 7.45 | 1.98 | + |
| 2022 | 1.36 | -12.17 | -8.92 | - |
| 2023 | 1.23 | -63.37 | -51.54 | - |
| 2024 | 5.04 | 0.57 | 0.11 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2024-04-19 | -70.32 | 892 |
| 2021-07-08 | 2021-08-10 | -3.46 | 33 |
| 2021-09-07 | 2021-10-05 | -2.26 | 28 |
| 2021-10-21 | 2021-11-08 | -1.56 | 18 |
| 2021-10-12 | 2021-10-19 | -1.29 | 7 |
| 2021-06-15 | 2021-06-30 | -1.20 | 15 |
| 2021-08-18 | 2021-08-30 | -1.18 | 12 |
| 2021-10-06 | 2021-10-07 | -0.82 | 1 |
| 2021-06-10 | 2021-06-14 | -0.44 | 4 |
| 2021-09-03 | 2021-09-06 | -0.28 | 3 |