| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 44.07% | 52.09% |
| CAGR﹪ | 10.77% | 12.46% |
| Sharpe | -8.74 | -6.35 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -7.73 | -5.62 |
| Sortino | -8.12 | -6.51 |
| Smart Sortino | -7.18 | -5.76 |
| Sortino/√2 | -5.74 | -4.6 |
| Smart Sortino/√2 | -5.08 | -4.07 |
| Omega | 0.16 | 0.16 |
| Max Drawdown | -46.65% | -53.53% |
| Longest DD Days | 908 | 917 |
| Volatility (ann.) | 22.42% | 30.21% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.23 | 0.23 |
| Skew | -3.13 | -5.25 |
| Kurtosis | 36.38 | 121.72 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.83% | 0.96% |
| Expected Yearly | 7.58% | 8.75% |
| Kelly Criterion | 1.68% | 5.96% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.27% | -3.06% |
| Expected Shortfall (cVaR) | -2.27% | -3.06% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.13 | 0.15 |
| Gain/Pain (1M) | 0.65 | 0.68 |
| Payoff Ratio | 0.82 | 0.83 |
| Profit Factor | 1.13 | 1.15 |
| Common Sense Ratio | 1.1 | 1.22 |
| CPC Index | 0.52 | 0.55 |
| Tail Ratio | 0.97 | 1.06 |
| Outlier Win Ratio | 3.77 | 3.35 |
| Outlier Loss Ratio | 4.95 | 4.27 |
| MTD | 3.92% | 3.22% |
| 3M | 8.73% | 8.94% |
| 6M | 6.98% | 7.81% |
| YTD | 13.68% | 11.85% |
| 1Y | 30.7% | 40.09% |
| 3Y (ann.) | 3.38% | 5.32% |
| 5Y (ann.) | 10.77% | 12.46% |
| 10Y (ann.) | 10.77% | 12.46% |
| All-time (ann.) | 10.77% | 12.46% |
| Best Day | 8.06% | 20.04% |
| Worst Day | -17.25% | -33.28% |
| Best Month | 17.87% | 15.56% |
| Worst Month | -20.75% | -30.02% |
| Best Year | 34.84% | 53.84% |
| Worst Year | -28.61% | -37.26% |
| Avg. Drawdown | -2.91% | -3.11% |
| Avg. Drawdown Days | 40 | 35 |
| Recovery Factor | 0.94 | 0.97 |
| Ulcer Index | 0.21 | 0.26 |
| Serenity Index | -1.12 | -0.95 |
| Avg. Up Month | 4.39% | 5.26% |
| Avg. Down Month | -5.69% | -8.23% |
| Win Days | 55.56% | 57.24% |
| Win Month | 67.44% | 67.44% |
| Win Quarter | 66.67% | 73.33% |
| Win Year | 80.0% | 80.0% |
| Beta | 0.57 | - |
| Alpha | 0.03 | - |
| Correlation | 76.56% | - |
| Treynor Ratio | -1154.81% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 15.67 | 17.69 | 1.13 | + |
| 2021 | 21.79 | 11.86 | 0.54 | - |
| 2022 | -37.26 | -28.61 | 0.77 | + |
| 2023 | 53.84 | 34.84 | 0.65 | - |
| 2024 | 11.85 | 13.68 | 1.15 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2024-04-15 | -46.65 | 908 |
| 2021-06-15 | 2021-08-30 | -5.07 | 76 |
| 2021-01-15 | 2021-03-11 | -4.68 | 55 |
| 2020-10-26 | 2020-11-05 | -4.40 | 10 |
| 2021-09-09 | 2021-10-05 | -3.44 | 26 |
| 2021-04-27 | 2021-06-01 | -2.94 | 35 |
| 2021-03-16 | 2021-03-31 | -2.58 | 15 |
| 2020-10-07 | 2020-10-23 | -2.37 | 16 |
| 2020-12-21 | 2020-12-22 | -1.84 | 1 |
| 2020-11-30 | 2020-12-02 | -1.77 | 2 |