| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | -72.75% | 10.17% |
| CAGR﹪ | -36.5% | 3.44% |
| Sharpe | -1.22 | 17.82 |
| Prob. Sharpe Ratio | 2.01% | 100.0% |
| Smart Sharpe | -0.84 | 12.3 |
| Sortino | -1.23 | - |
| Smart Sortino | -0.85 | - |
| Sortino/√2 | -0.87 | - |
| Smart Sortino/√2 | -0.6 | - |
| Omega | 0.48 | 0.48 |
| Max Drawdown | -76.99% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 70.95% | 0.52% |
| R^2 | 0.71 | 0.71 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | -0.47 | - |
| Skew | -10.61 | 7.51 |
| Kurtosis | 121.38 | 73.47 |
| Expected Daily | -0.49% | 0.04% |
| Expected Monthly | -8.87% | 0.69% |
| Expected Yearly | -27.75% | 2.45% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -7.69% | -0.02% |
| Expected Shortfall (cVaR) | -7.69% | -0.02% |
| Max Consecutive Wins | 8 | 261 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | -0.52 | - |
| Gain/Pain (1M) | -0.87 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.48 | - |
| Common Sense Ratio | 0.42 | - |
| CPC Index | - | - |
| Tail Ratio | 0.87 | 8.37 |
| Outlier Win Ratio | 2.26 | 32.21 |
| Outlier Loss Ratio | 1.81 | - |
| MTD | 3.58% | 0.29% |
| 3M | 5.17% | 1.74% |
| 6M | -74.1% | 2.99% |
| YTD | 1.86% | 2.24% |
| 1Y | -74.1% | 2.99% |
| 3Y (ann.) | -36.5% | 3.44% |
| 5Y (ann.) | -36.5% | 3.44% |
| 10Y (ann.) | -36.5% | 3.44% |
| All-time (ann.) | -36.5% | 3.44% |
| Best Day | 9.28% | 0.36% |
| Worst Day | -55.92% | 0.0% |
| Best Month | 3.58% | 1.17% |
| Worst Month | -74.58% | 0.17% |
| Best Year | 5.9% | 4.71% |
| Worst Year | -74.58% | 0.73% |
| Avg. Drawdown | -6.75% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.94 | - |
| Ulcer Index | 0.42 | 0.0 |
| Serenity Index | -0.1 | - |
| Avg. Up Month | 1.62% | 0.59% |
| Avg. Down Month | - | - |
| Win Days | 55.56% | 100.0% |
| Win Month | 57.14% | 100.0% |
| Win Quarter | 28.57% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -114.24 | - |
| Alpha | 9.79 | - |
| Correlation | -84.22% | - |
| Treynor Ratio | 0.64% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.71 | 5.90 | 1.25 | + |
| 2022 | 2.17 | -0.62 | -0.28 | - |
| 2023 | 0.73 | -74.58 | -102.16 | - |
| 2024 | 2.24 | 1.86 | 0.83 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2024-04-19 | -76.99 | 919 |
| 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 |