| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -78.66% | 25.0% |
| CAGR﹪ | -41.76% | 8.12% |
| Sharpe | -2.3 | -2.44 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -1.66 | -1.76 |
| Sortino | -2.32 | -3.76 |
| Smart Sortino | -1.68 | -2.71 |
| Sortino/√2 | -1.64 | -2.66 |
| Smart Sortino/√2 | -1.18 | -1.92 |
| Omega | 0.29 | 0.29 |
| Max Drawdown | -82.4% | -10.4% |
| Longest DD Days | 911 | 723 |
| Volatility (ann.) | 77.41% | 18.55% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | -0.51 | 0.78 |
| Skew | -9.55 | 4.64 |
| Kurtosis | 101.2 | 49.6 |
| Expected Daily | -0.61% | 0.09% |
| Expected Monthly | -10.45% | 1.61% |
| Expected Yearly | -32.03% | 5.74% |
| Kelly Criterion | -59.88% | -0.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -8.45% | -1.83% |
| Expected Shortfall (cVaR) | -8.45% | -1.83% |
| Max Consecutive Wins | 5 | 7 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | -0.51 | 0.31 |
| Gain/Pain (1M) | -0.88 | 1.39 |
| Payoff Ratio | 0.44 | 0.82 |
| Profit Factor | 0.49 | 1.31 |
| Common Sense Ratio | 0.38 | 1.23 |
| CPC Index | 0.11 | 0.59 |
| Tail Ratio | 0.77 | 0.94 |
| Outlier Win Ratio | 2.76 | 3.03 |
| Outlier Loss Ratio | 3.41 | 8.64 |
| MTD | 3.26% | -3.85% |
| 3M | 0.62% | 4.07% |
| 6M | -76.79% | 19.23% |
| YTD | -0.62% | 6.3% |
| 1Y | -76.79% | 19.23% |
| 3Y (ann.) | -41.76% | 8.12% |
| 5Y (ann.) | -41.76% | 8.12% |
| 10Y (ann.) | -41.76% | 8.12% |
| All-time (ann.) | -41.76% | 8.12% |
| Best Day | 12.24% | 12.48% |
| Worst Day | -56.41% | -2.43% |
| Best Month | 4.26% | 12.16% |
| Worst Month | -76.65% | -5.42% |
| Best Year | 2.83% | 14.0% |
| Worst Year | -76.65% | -8.04% |
| Avg. Drawdown | -8.31% | -1.44% |
| Avg. Drawdown Days | 85 | 26 |
| Recovery Factor | -0.95 | 2.4 |
| Ulcer Index | 0.46 | 0.03 |
| Serenity Index | -0.21 | -5.5 |
| Avg. Up Month | 2.96% | 4.14% |
| Avg. Down Month | -5.68% | -2.96% |
| Win Days | 51.2% | 54.8% |
| Win Month | 35.71% | 64.29% |
| Win Quarter | 28.57% | 71.43% |
| Win Year | 25.0% | 75.0% |
| Beta | -1.34 | - |
| Alpha | -0.77 | - |
| Correlation | -32.16% | - |
| Treynor Ratio | 133.12% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 14.00 | 2.83 | 0.20 | - |
| 2022 | -8.04 | -10.58 | 1.32 | - |
| 2023 | 12.16 | -76.65 | -6.30 | - |
| 2024 | 6.30 | -0.62 | -0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-27 | 2024-04-25 | -82.40 | 911 |
| 2021-09-16 | 2021-10-05 | -3.67 | 19 |
| 2021-06-29 | 2021-07-29 | -3.57 | 30 |
| 2021-10-13 | 2021-10-25 | -3.05 | 12 |
| 2021-08-18 | 2021-08-30 | -2.34 | 12 |
| 2021-06-18 | 2021-06-24 | -1.14 | 6 |
| 2021-08-06 | 2021-08-11 | -0.97 | 5 |
| 2021-10-06 | 2021-10-07 | -0.89 | 1 |
| 2021-08-12 | 2021-08-13 | -0.61 | 1 |
| 2021-07-30 | 2021-08-04 | -0.58 | 5 |