| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 92.0% |
| Cumulative Return | -8.47% | 53.83% |
| CAGR﹪ | -1.84% | 9.46% |
| Sharpe | -15.83 | -18.38 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -10.27 | -11.93 |
| Sortino | -12.41 | -12.26 |
| Smart Sortino | -8.05 | -7.95 |
| Sortino/√2 | -8.78 | -8.67 |
| Smart Sortino/√2 | -5.7 | -5.62 |
| Omega | 0.04 | 0.04 |
| Max Drawdown | -27.13% | -20.43% |
| Longest DD Days | 1415 | 521 |
| Volatility (ann.) | 13.26% | 10.83% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.07 | 0.46 |
| Skew | 3.23 | -3.23 |
| Kurtosis | 243.56 | 55.34 |
| Expected Daily | -0.01% | 0.04% |
| Expected Monthly | -0.15% | 0.75% |
| Expected Yearly | -1.75% | 9.0% |
| Kelly Criterion | -4.18% | 4.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.38% | -1.08% |
| Expected Shortfall (cVaR) | -1.38% | -1.08% |
| Max Consecutive Wins | 9 | 11 |
| Max Consecutive Losses | 10 | 6 |
| Gain/Pain Ratio | -0.02 | 0.2 |
| Gain/Pain (1M) | -0.09 | 1.05 |
| Payoff Ratio | 0.96 | 0.85 |
| Profit Factor | 0.98 | 1.2 |
| Common Sense Ratio | 1.0 | 1.3 |
| CPC Index | 0.46 | 0.58 |
| Tail Ratio | 1.02 | 1.08 |
| Outlier Win Ratio | 4.44 | 3.81 |
| Outlier Loss Ratio | 4.64 | 3.24 |
| MTD | -1.96% | 0.88% |
| 3M | -2.66% | 5.52% |
| 6M | -8.92% | 1.9% |
| YTD | -11.33% | 8.51% |
| 1Y | -8.44% | 8.66% |
| 3Y (ann.) | -2.23% | 9.51% |
| 5Y (ann.) | -1.84% | 9.46% |
| 10Y (ann.) | -1.84% | 9.46% |
| All-time (ann.) | -1.84% | 9.46% |
| 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 | -11.33% | -5.83% |
| Avg. Drawdown | -2.99% | -1.65% |
| Avg. Drawdown Days | 112 | 31 |
| Recovery Factor | -0.31 | 2.63 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | -10.0 | -6.48 |
| Avg. Up Month | 1.73% | 3.06% |
| Avg. Down Month | -2.56% | -2.89% |
| Win Days | 49.1% | 56.27% |
| Win Month | 39.66% | 68.42% |
| Win Quarter | 45.0% | 65.0% |
| Win Year | 40.0% | 80.0% |
| Beta | 0.66 | - |
| Alpha | -0.07 | - |
| Correlation | 54.05% | - |
| Treynor Ratio | -1070.5% | - |
| 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 | 8.51 | -11.33 | -1.33 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-12-09 | 2024-10-24 | -27.13 | 1415 |
| 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 |