| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -72.71% | 11.67% |
| CAGR﹪ | -36.66% | 3.96% |
| Sharpe | -4.14 | -2.75 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.86 | -1.9 |
| Sortino | -4.04 | -4.23 |
| Smart Sortino | -2.79 | -2.92 |
| Sortino/√2 | -2.86 | -2.99 |
| Smart Sortino/√2 | -1.97 | -2.06 |
| Omega | 0.07 | 0.07 |
| Max Drawdown | -76.99% | -51.26% |
| Longest DD Days | 919 | 911 |
| Volatility (ann.) | 71.64% | 64.79% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.48 | 0.08 |
| Skew | -10.51 | 4.28 |
| Kurtosis | 119.02 | 88.97 |
| Expected Daily | -0.5% | 0.04% |
| Expected Monthly | -8.86% | 0.79% |
| Expected Yearly | -27.72% | 2.8% |
| Kelly Criterion | -53.03% | -6.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -7.77% | -6.59% |
| Expected Shortfall (cVaR) | -7.77% | -6.59% |
| Max Consecutive Wins | 8 | 9 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | -0.52 | 0.21 |
| Gain/Pain (1M) | -0.87 | 0.8 |
| Payoff Ratio | 0.41 | 0.64 |
| Profit Factor | 0.48 | 1.21 |
| Common Sense Ratio | 0.42 | 1.02 |
| CPC Index | 0.11 | 0.45 |
| Tail Ratio | 0.87 | 0.84 |
| Outlier Win Ratio | 5.43 | 2.47 |
| Outlier Loss Ratio | 3.81 | 4.41 |
| MTD | 3.58% | 4.16% |
| 3M | 5.17% | 9.35% |
| 6M | -74.1% | 66.11% |
| YTD | 1.86% | 12.86% |
| 1Y | -74.1% | 66.11% |
| 3Y (ann.) | -36.66% | 3.96% |
| 5Y (ann.) | -36.66% | 3.96% |
| 10Y (ann.) | -36.66% | 3.96% |
| All-time (ann.) | -36.66% | 3.96% |
| Best Day | 9.28% | 47.32% |
| Worst Day | -55.92% | -33.28% |
| Best Month | 3.58% | 47.19% |
| Worst Month | -74.58% | -30.02% |
| Best Year | 6.03% | 47.19% |
| Worst Year | -74.58% | -34.42% |
| Avg. Drawdown | -6.76% | -5.55% |
| Avg. Drawdown Days | 78 | 84 |
| Recovery Factor | -0.94 | 0.23 |
| Ulcer Index | 0.42 | 0.1 |
| Serenity Index | -1.03 | -15.15 |
| Avg. Up Month | 1.89% | 2.93% |
| Avg. Down Month | -1.44% | -18.14% |
| Win Days | 55.83% | 58.59% |
| Win Month | 64.29% | 64.29% |
| Win Quarter | 42.86% | 71.43% |
| Win Year | 50.0% | 75.0% |
| Beta | -0.33 | - |
| Alpha | -0.78 | - |
| Correlation | -29.89% | - |
| Treynor Ratio | 2338.0% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.52 | 6.03 | 2.40 | + |
| 2022 | -34.42 | -0.62 | 0.02 | + |
| 2023 | 47.19 | -74.58 | -1.58 | - |
| 2024 | 12.86 | 1.86 | 0.14 | - |
| 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 |
| 2021-06-17 | 2021-06-23 | -0.43 | 6 |
| 2021-06-24 | 2021-07-01 | -0.43 | 7 |
| 2021-09-08 | 2021-09-14 | -0.41 | 6 |
| 2021-09-03 | 2021-09-06 | -0.38 | 3 |