| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 32.71% | 22.85% |
| CAGR﹪ | 6.31% | 4.55% |
| Sharpe | -24.06 | -6.81 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -15.46 | -4.38 |
| Sortino | -13.69 | -6.94 |
| Smart Sortino | -8.8 | -4.46 |
| Sortino/√2 | -9.68 | -4.91 |
| Smart Sortino/√2 | -6.22 | -3.15 |
| Omega | 0.01 | 0.01 |
| Max Drawdown | -14.75% | -55.29% |
| Longest DD Days | 193 | 917 |
| Volatility (ann.) | 8.41% | 29.3% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.43 | 0.08 |
| Skew | -4.61 | -4.39 |
| Kurtosis | 245.35 | 108.56 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.52% | 0.37% |
| Expected Yearly | 4.83% | 3.49% |
| Kelly Criterion | 7.85% | -4.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.84% | -3.0% |
| Expected Shortfall (cVaR) | -0.84% | -3.0% |
| Max Consecutive Wins | 8 | 11 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.27 | 0.08 |
| Gain/Pain (1M) | 1.88 | 0.38 |
| Payoff Ratio | 0.92 | 0.74 |
| Profit Factor | 1.27 | 1.08 |
| Common Sense Ratio | 1.49 | 1.0 |
| CPC Index | 0.65 | 0.44 |
| Tail Ratio | 1.17 | 0.93 |
| Outlier Win Ratio | 9.84 | 2.35 |
| Outlier Loss Ratio | 12.5 | 2.69 |
| MTD | 0.62% | 3.22% |
| 3M | 2.26% | 8.77% |
| 6M | 4.68% | 5.35% |
| YTD | 3.73% | 10.99% |
| 1Y | 3.78% | 30.52% |
| 3Y (ann.) | 6.07% | -2.13% |
| 5Y (ann.) | 6.31% | 4.55% |
| 10Y (ann.) | 6.31% | 4.55% |
| All-time (ann.) | 6.31% | 4.55% |
| Best Day | 8.83% | 20.04% |
| Worst Day | -11.2% | -33.28% |
| Best Month | 4.76% | 15.5% |
| Worst Month | -6.05% | -30.02% |
| Best Year | 10.37% | 43.87% |
| Worst Year | 1.48% | -43.12% |
| Avg. Drawdown | -0.47% | -4.33% |
| Avg. Drawdown Days | 10 | 48 |
| Recovery Factor | 2.22 | 0.41 |
| Ulcer Index | 0.01 | 0.28 |
| Serenity Index | -91.85 | -0.89 |
| Avg. Up Month | 1.05% | 4.46% |
| Avg. Down Month | -1.6% | -10.74% |
| Win Days | 55.9% | 55.84% |
| Win Month | 72.73% | 65.45% |
| Win Quarter | 85.0% | 65.0% |
| Win Year | 100.0% | 83.33% |
| Beta | 0.17 | - |
| Alpha | 0.05 | - |
| Correlation | 58.74% | - |
| Treynor Ratio | -3959.72% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 8.78 | 5.46 | 0.62 | - |
| 2020 | 7.98 | 5.22 | 0.65 | - |
| 2021 | 15.15 | 1.48 | 0.10 | - |
| 2022 | -43.12 | 10.37 | -0.24 | + |
| 2023 | 43.87 | 2.93 | 0.07 | - |
| 2024 | 10.99 | 3.73 | 0.34 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2022-06-03 | -14.75 | 148 |
| 2020-02-21 | 2020-04-30 | -5.36 | 69 |
| 2022-09-20 | 2022-10-21 | -4.78 | 31 |
| 2023-08-04 | 2024-02-13 | -3.74 | 193 |
| 2021-08-31 | 2021-12-29 | -1.78 | 120 |
| 2020-01-03 | 2020-02-17 | -1.21 | 45 |
| 2021-05-26 | 2021-08-04 | -1.05 | 70 |
| 2021-01-26 | 2021-05-07 | -0.99 | 101 |
| 2022-06-27 | 2022-07-06 | -0.92 | 9 |
| 2024-03-13 | 2024-04-04 | -0.85 | 22 |