| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -72.89% | -72.97% |
| CAGR﹪ | -36.89% | -36.96% |
| Sharpe | -4.14 | -3.54 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.86 | -2.44 |
| Sortino | -4.04 | -3.47 |
| Smart Sortino | -2.79 | -2.4 |
| Sortino/√2 | -2.86 | -2.45 |
| Smart Sortino/√2 | -1.97 | -1.69 |
| Omega | 0.07 | 0.07 |
| Max Drawdown | -76.99% | -77.43% |
| Longest DD Days | 925 | 790 |
| Volatility (ann.) | 72.06% | 76.8% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.48 | -0.48 |
| Skew | -10.45 | -15.24 |
| Kurtosis | 117.58 | 239.36 |
| Expected Daily | -0.51% | -0.51% |
| Expected Monthly | -8.9% | -8.92% |
| Expected Yearly | -27.84% | -27.9% |
| Kelly Criterion | -81.24% | -61.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -7.82% | -8.21% |
| Expected Shortfall (cVaR) | -7.82% | -8.21% |
| Max Consecutive Wins | 8 | 9 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | -0.53 | -0.47 |
| Gain/Pain (1M) | -0.88 | -0.79 |
| Payoff Ratio | 0.32 | 0.37 |
| Profit Factor | 0.47 | 0.53 |
| Common Sense Ratio | 0.41 | 0.55 |
| CPC Index | 0.09 | 0.11 |
| Tail Ratio | 0.87 | 1.04 |
| Outlier Win Ratio | 4.03 | 4.42 |
| Outlier Loss Ratio | 2.68 | 3.57 |
| MTD | 2.83% | 1.76% |
| 3M | 4.41% | 4.12% |
| 6M | -74.29% | -75.7% |
| YTD | 1.11% | 1.1% |
| 1Y | -74.29% | -75.7% |
| 3Y (ann.) | -36.89% | -36.96% |
| 5Y (ann.) | -36.89% | -36.96% |
| 10Y (ann.) | -36.89% | -36.96% |
| All-time (ann.) | -36.89% | -36.96% |
| Best Day | 9.28% | 6.02% |
| Worst Day | -55.92% | -75.93% |
| Best Month | 3.24% | 4.92% |
| Worst Month | -74.58% | -75.97% |
| Best Year | 6.1% | 6.46% |
| Worst Year | -74.58% | -75.97% |
| Avg. Drawdown | -7.29% | -8.74% |
| Avg. Drawdown Days | 84 | 91 |
| Recovery Factor | -0.95 | -0.94 |
| Ulcer Index | 0.43 | 0.44 |
| Serenity Index | -0.97 | -1.02 |
| Avg. Up Month | 1.51% | 1.43% |
| Avg. Down Month | -26.36% | -26.7% |
| Win Days | 55.7% | 56.52% |
| Win Month | 64.29% | 71.43% |
| Win Quarter | 42.86% | 71.43% |
| Win Year | 50.0% | 75.0% |
| Beta | 0.55 | - |
| Alpha | -0.55 | - |
| Correlation | 58.23% | - |
| Treynor Ratio | -1414.77% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 6.46 | 6.10 | 0.94 | - |
| 2022 | 4.49 | -0.62 | -0.14 | - |
| 2023 | -75.97 | -74.58 | 0.98 | + |
| 2024 | 1.10 | 1.11 | 1.01 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2024-04-25 | -76.99 | 925 |
| 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 |
| 2021-09-08 | 2021-09-14 | -0.41 | 6 |
| 2021-06-29 | 2021-07-01 | -0.40 | 2 |
| 2021-09-03 | 2021-09-06 | -0.38 | 3 |
| 2021-08-12 | 2021-08-16 | -0.31 | 4 |