| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | -65.45% | 26.7% |
| CAGR﹪ | -31.03% | 8.63% |
| Sharpe | -1.38 | 1.51 |
| Prob. Sharpe Ratio | 0.84% | 96.74% |
| Smart Sharpe | -0.97 | 1.07 |
| Sortino | -1.4 | 3.32 |
| Smart Sortino | -0.99 | 2.34 |
| Sortino/√2 | -0.99 | 2.35 |
| Smart Sortino/√2 | -0.7 | 1.65 |
| Omega | 0.47 | 0.47 |
| Max Drawdown | -70.32% | -7.0% |
| Longest DD Days | 898 | 671 |
| Volatility (ann.) | 57.96% | 15.91% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | -0.44 | 1.23 |
| Skew | -9.82 | 3.83 |
| Kurtosis | 104.42 | 27.98 |
| Expected Daily | -0.41% | 0.09% |
| Expected Monthly | -7.31% | 1.7% |
| Expected Yearly | -23.33% | 6.1% |
| Kelly Criterion | 3.22% | -5.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.32% | -1.55% |
| Expected Shortfall (cVaR) | -6.32% | -1.55% |
| Max Consecutive Wins | 6 | 5 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | -0.53 | 0.38 |
| Gain/Pain (1M) | -0.87 | 6.31 |
| Payoff Ratio | 0.91 | 0.94 |
| Profit Factor | 0.47 | 1.38 |
| Common Sense Ratio | 0.38 | 1.9 |
| CPC Index | 0.23 | 0.64 |
| Tail Ratio | 0.8 | 1.38 |
| Outlier Win Ratio | 4.76 | 3.46 |
| Outlier Loss Ratio | 3.63 | 10.11 |
| MTD | 2.21% | -0.59% |
| 3M | 4.05% | 3.76% |
| 6M | -63.47% | 10.77% |
| YTD | -0.29% | 1.75% |
| 1Y | -63.47% | 10.77% |
| 3Y (ann.) | -31.03% | 8.63% |
| 5Y (ann.) | -31.03% | 8.63% |
| 10Y (ann.) | -31.03% | 8.63% |
| All-time (ann.) | -31.03% | 8.63% |
| Best Day | 6.74% | 8.19% |
| Worst Day | -42.23% | -2.64% |
| Best Month | 3.73% | 8.87% |
| Worst Month | -63.37% | -2.45% |
| Best Year | 7.7% | 11.14% |
| Worst Year | -63.37% | 1.75% |
| Avg. Drawdown | -6.37% | -2.01% |
| Avg. Drawdown Days | 78 | 52 |
| Recovery Factor | -0.93 | 3.81 |
| Ulcer Index | 0.39 | 0.03 |
| Serenity Index | -0.08 | 2.32 |
| Avg. Up Month | 1.47% | 0.64% |
| Avg. Down Month | -3.3% | -0.38% |
| Win Days | 53.85% | 49.03% |
| Win Month | 57.14% | 71.43% |
| Win Quarter | 57.14% | 71.43% |
| Win Year | 25.0% | 100.0% |
| Beta | -1.73 | - |
| Alpha | -0.38 | - |
| Correlation | -47.36% | - |
| Treynor Ratio | 37.93% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.92 | 7.70 | 2.64 | + |
| 2022 | 11.14 | -12.17 | -1.09 | - |
| 2023 | 8.87 | -63.37 | -7.15 | - |
| 2024 | 1.75 | -0.29 | -0.16 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2024-04-25 | -70.32 | 898 |
| 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 |
| 2021-08-18 | 2021-08-30 | -1.18 | 12 |
| 2021-10-06 | 2021-10-07 | -0.82 | 1 |
| 2021-06-17 | 2021-06-22 | -0.77 | 5 |
| 2021-06-23 | 2021-06-30 | -0.35 | 7 |
| 2021-09-03 | 2021-09-06 | -0.28 | 3 |