| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | -76.72% | 24.15% |
| CAGR﹪ | -34.24% | 6.42% |
| Sharpe | -1.11 | 18.66 |
| Prob. Sharpe Ratio | 0.62% | 100.0% |
| Smart Sharpe | -0.77 | 13.01 |
| Sortino | -1.13 | - |
| Smart Sortino | -0.79 | - |
| Sortino/√2 | -0.8 | - |
| Smart Sortino/√2 | -0.56 | - |
| Omega | 0.56 | 0.56 |
| Max Drawdown | -79.57% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 56.82% | 0.7% |
| R^2 | 0.71 | 0.71 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | -0.43 | - |
| Skew | -12.91 | 10.03 |
| Kurtosis | 185.16 | 127.27 |
| Expected Daily | -0.35% | 0.05% |
| Expected Monthly | -6.7% | 1.04% |
| Expected Yearly | -30.54% | 5.56% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.14% | -0.02% |
| Expected Shortfall (cVaR) | -6.14% | -0.02% |
| Max Consecutive Wins | 8 | 419 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.44 | - |
| Gain/Pain (1M) | -0.84 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.56 | - |
| Common Sense Ratio | 0.46 | - |
| CPC Index | - | - |
| Tail Ratio | 0.82 | 4.04 |
| Outlier Win Ratio | 2.08 | 23.6 |
| Outlier Loss Ratio | 1.09 | - |
| MTD | 1.52% | 1.79% |
| 3M | -2.49% | 5.25% |
| 6M | -11.51% | 9.81% |
| YTD | -12.99% | 16.59% |
| 1Y | -77.88% | 18.03% |
| 3Y (ann.) | -40.4% | 6.35% |
| 5Y (ann.) | -34.24% | 6.42% |
| 10Y (ann.) | -34.24% | 6.42% |
| All-time (ann.) | -34.24% | 6.42% |
| Best Day | 9.28% | 0.61% |
| Worst Day | -55.92% | 0.0% |
| Best Month | 4.84% | 1.79% |
| Worst Month | -74.58% | 0.41% |
| Best Year | 5.9% | 16.59% |
| Worst Year | -74.58% | 1.23% |
| Avg. Drawdown | -6.95% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.96 | - |
| Ulcer Index | 0.58 | 0.0 |
| Serenity Index | -0.04 | - |
| Avg. Up Month | 1.87% | 0.92% |
| Avg. Down Month | - | - |
| Win Days | 51.16% | 100.0% |
| Win Month | 47.62% | 100.0% |
| Win Quarter | 11.11% | 100.0% |
| Win Year | 25.0% | 100.0% |
| Beta | -68.91 | - |
| Alpha | 8.32 | - |
| Correlation | -84.39% | - |
| Treynor Ratio | 1.11% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.77 | 5.90 | 1.56 | + |
| 2022 | 1.36 | -0.62 | -0.45 | - |
| 2023 | 1.23 | -74.58 | -60.66 | - |
| 2024 | 16.59 | -12.99 | -0.78 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2024-11-29 | -79.57 | 1143 |
| 2021-07-13 | 2021-08-10 | -3.12 | 28 |
| 2021-09-16 | 2021-09-27 | -2.14 | 11 |
| 2021-08-19 | 2021-08-30 | -1.55 | 11 |
| 2021-10-06 | 2021-10-07 | -0.86 | 1 |
| 2021-09-28 | 2021-10-05 | -0.72 | 7 |
| 2021-06-15 | 2021-07-01 | -0.61 | 16 |
| 2021-09-08 | 2021-09-14 | -0.41 | 6 |
| 2021-09-03 | 2021-09-06 | -0.38 | 3 |
| 2021-08-12 | 2021-08-16 | -0.31 | 4 |