| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 12.75% | 16.35% |
| CAGR﹪ | 3.99% | 5.06% |
| Sharpe | -8.62 | -7.28 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -8.27 | -6.99 |
| Sortino | -8.04 | -7.31 |
| Smart Sortino | -7.72 | -7.02 |
| Sortino/√2 | -5.69 | -5.17 |
| Smart Sortino/√2 | -5.46 | -4.96 |
| Omega | 0.15 | 0.15 |
| Max Drawdown | -46.65% | -46.09% |
| Longest DD Days | 908 | 895 |
| Volatility (ann.) | 23.43% | 27.45% |
| R^2 | 0.62 | 0.62 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.09 | 0.11 |
| Skew | -3.16 | -3.84 |
| Kurtosis | 35.17 | 97.93 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.32% | 0.41% |
| Expected Yearly | 3.05% | 3.86% |
| Kelly Criterion | 0.27% | 4.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.4% | -2.81% |
| Expected Shortfall (cVaR) | -2.4% | -2.81% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.06 | 0.08 |
| Gain/Pain (1M) | 0.31 | 0.4 |
| Payoff Ratio | 0.84 | 0.87 |
| Profit Factor | 1.06 | 1.08 |
| Common Sense Ratio | 1.02 | 1.01 |
| CPC Index | 0.49 | 0.52 |
| Tail Ratio | 0.96 | 0.93 |
| Outlier Win Ratio | 3.53 | 3.46 |
| Outlier Loss Ratio | 4.92 | 4.8 |
| MTD | 4.08% | 3.75% |
| 3M | 9.12% | 9.27% |
| 6M | 7.39% | 7.56% |
| YTD | 13.85% | 13.19% |
| 1Y | 30.71% | 32.01% |
| 3Y (ann.) | 3.4% | 4.42% |
| 5Y (ann.) | 3.99% | 5.06% |
| 10Y (ann.) | 3.99% | 5.06% |
| All-time (ann.) | 3.99% | 5.06% |
| Best Day | 8.06% | 18.75% |
| Worst Day | -17.25% | -27.0% |
| Best Month | 17.87% | 17.01% |
| Worst Month | -20.75% | -21.99% |
| Best Year | 34.84% | 36.84% |
| Worst Year | -28.61% | -27.5% |
| Avg. Drawdown | -4.28% | -4.09% |
| Avg. Drawdown Days | 72 | 67 |
| Recovery Factor | 0.27 | 0.35 |
| Ulcer Index | 0.23 | 0.22 |
| Serenity Index | -1.08 | -1.31 |
| Avg. Up Month | 3.7% | 3.7% |
| Avg. Down Month | -5.52% | -6.46% |
| Win Days | 54.55% | 55.67% |
| Win Month | 64.86% | 70.27% |
| Win Quarter | 61.54% | 61.54% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.67 | - |
| Alpha | 0.01 | - |
| Correlation | 78.46% | - |
| Treynor Ratio | -1026.16% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.61 | 2.88 | 0.80 | - |
| 2022 | -27.50 | -28.61 | 1.04 | - |
| 2023 | 36.84 | 34.84 | 0.95 | - |
| 2024 | 13.19 | 13.85 | 1.05 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2024-04-15 | -46.65 | 908 |
| 2021-06-15 | 2021-08-30 | -5.07 | 76 |
| 2021-09-09 | 2021-10-05 | -3.44 | 26 |
| 2021-04-27 | 2021-06-01 | -2.94 | 35 |
| 2024-04-16 | 2024-04-26 | -1.73 | 10 |
| 2021-04-19 | 2021-04-22 | -1.46 | 3 |
| 2021-04-05 | 2021-04-13 | -1.31 | 8 |
| 2021-10-12 | 2021-10-14 | -0.85 | 2 |
| 2021-08-31 | 2021-09-01 | -0.41 | 1 |
| 2021-06-10 | 2021-06-11 | -0.16 | 1 |