| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 92.0% |
| Cumulative Return | 0.19% | 53.26% |
| CAGR﹪ | 0.04% | 10.58% |
| Sharpe | -15.03 | -18.0 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -9.49 | -11.36 |
| Sortino | -12.21 | -12.17 |
| Smart Sortino | -7.71 | -7.68 |
| Sortino/√2 | -8.64 | -8.6 |
| Smart Sortino/√2 | -5.45 | -5.43 |
| Omega | 0.04 | 0.04 |
| Max Drawdown | -27.13% | -20.43% |
| Longest DD Days | 1226 | 521 |
| Volatility (ann.) | 13.82% | 10.99% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.0 | 0.52 |
| Skew | 3.18 | -3.47 |
| Kurtosis | 231.88 | 58.73 |
| Expected Daily | 0.0% | 0.04% |
| Expected Monthly | 0.0% | 0.82% |
| Expected Yearly | 0.04% | 8.91% |
| Kelly Criterion | -3.4% | 4.79% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.43% | -1.1% |
| Expected Shortfall (cVaR) | -1.43% | -1.1% |
| Max Consecutive Wins | 9 | 11 |
| Max Consecutive Losses | 10 | 6 |
| Gain/Pain Ratio | 0.02 | 0.23 |
| Gain/Pain (1M) | 0.1 | 1.17 |
| Payoff Ratio | 0.92 | 0.84 |
| Profit Factor | 1.02 | 1.23 |
| Common Sense Ratio | 1.11 | 1.35 |
| CPC Index | 0.47 | 0.59 |
| Tail Ratio | 1.09 | 1.1 |
| Outlier Win Ratio | 4.66 | 3.93 |
| Outlier Loss Ratio | 4.92 | 3.49 |
| MTD | -0.13% | 2.7% |
| 3M | -2.83% | 7.82% |
| 6M | -0.04% | 8.25% |
| YTD | -2.95% | 8.11% |
| 1Y | -3.92% | 20.12% |
| 3Y (ann.) | -0.91% | 10.16% |
| 5Y (ann.) | 0.04% | 10.58% |
| 10Y (ann.) | 0.04% | 10.58% |
| All-time (ann.) | 0.04% | 10.58% |
| Best Day | 17.61% | 4.59% |
| Worst Day | -14.34% | -10.6% |
| Best Month | 9.16% | 9.22% |
| Worst Month | -5.81% | -9.74% |
| Best Year | 5.84% | 27.37% |
| Worst Year | -5.45% | -5.83% |
| Avg. Drawdown | -2.99% | -1.5% |
| Avg. Drawdown Days | 100 | 28 |
| Recovery Factor | 0.01 | 2.61 |
| Ulcer Index | 0.05 | 0.06 |
| Serenity Index | -15.39 | -6.21 |
| Avg. Up Month | 1.73% | 3.06% |
| Avg. Down Month | -2.37% | -2.75% |
| Win Days | 50.58% | 56.46% |
| Win Month | 42.31% | 68.63% |
| Win Quarter | 50.0% | 66.67% |
| Win Year | 40.0% | 80.0% |
| Beta | 0.7 | - |
| Alpha | -0.07 | - |
| Correlation | 55.79% | - |
| Treynor Ratio | -997.62% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 14.21 | 5.84 | 0.41 | - |
| 2021 | 3.49 | -5.45 | -1.56 | - |
| 2022 | -5.83 | 3.31 | -0.57 | + |
| 2023 | 27.37 | -0.15 | -0.01 | - |
| 2024 | 8.11 | -2.95 | -0.36 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-12-09 | 2024-04-18 | -27.13 | 1226 |
| 2020-02-25 | 2020-04-23 | -10.79 | 58 |
| 2020-06-22 | 2020-11-12 | -2.42 | 143 |
| 2020-05-27 | 2020-06-18 | -1.13 | 22 |
| 2020-11-24 | 2020-12-08 | -0.62 | 14 |
| 2020-05-14 | 2020-05-15 | -0.46 | 1 |
| 2020-11-17 | 2020-11-23 | -0.41 | 6 |
| 2020-01-21 | 2020-02-05 | -0.37 | 15 |
| 2020-05-19 | 2020-05-22 | -0.32 | 3 |
| 2020-04-29 | 2020-04-30 | -0.28 | 1 |