| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -18.07% | 16.84% |
| CAGR﹪ | -18.16% | 16.94% |
| Sharpe | -0.78 | 133.02 |
| Prob. Sharpe Ratio | 21.36% | 100.0% |
| Smart Sharpe | -0.71 | 121.08 |
| Sortino | -1.02 | - |
| Smart Sortino | -0.93 | - |
| Sortino/√2 | -0.72 | - |
| Smart Sortino/√2 | -0.66 | - |
| Omega | 0.87 | 0.87 |
| Max Drawdown | -34.87% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 22.1% | 0.12% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | -0.52 | - |
| Skew | -0.44 | -2.03 |
| Kurtosis | 2.1 | 18.35 |
| Expected Daily | -0.08% | 0.06% |
| Expected Monthly | -1.52% | 1.2% |
| Expected Yearly | -9.49% | 8.09% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.36% | -0.05% |
| Expected Shortfall (cVaR) | -2.36% | -0.05% |
| Max Consecutive Wins | 7 | 253 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.13 | - |
| Gain/Pain (1M) | -0.4 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.87 | - |
| Common Sense Ratio | 0.75 | - |
| CPC Index | - | - |
| Tail Ratio | 0.87 | 1.43 |
| Outlier Win Ratio | 1.87 | 28.61 |
| Outlier Loss Ratio | 1.88 | - |
| MTD | -4.17% | 0.37% |
| 3M | -15.9% | 4.57% |
| 6M | -24.54% | 8.68% |
| YTD | -14.51% | 13.06% |
| 1Y | -18.07% | 16.84% |
| 3Y (ann.) | -18.16% | 16.94% |
| 5Y (ann.) | -18.16% | 16.94% |
| 10Y (ann.) | -18.16% | 16.94% |
| All-time (ann.) | -18.16% | 16.94% |
| Best Day | 4.35% | 0.07% |
| Worst Day | -5.58% | 0.0% |
| Best Month | 7.4% | 1.56% |
| Worst Month | -14.0% | 0.37% |
| Best Year | -4.17% | 13.06% |
| Worst Year | -14.51% | 3.34% |
| Avg. Drawdown | -7.45% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.52 | - |
| Ulcer Index | 0.14 | 0.0 |
| Serenity Index | -0.07 | - |
| Avg. Up Month | 4.35% | 1.26% |
| Avg. Down Month | - | - |
| Win Days | 49.01% | 100.0% |
| Win Month | 46.15% | 100.0% |
| Win Quarter | 20.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | 0.08 | - |
| Alpha | -0.19 | - |
| Correlation | 0.04% | - |
| Treynor Ratio | -223.27% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 3.34 | -4.17 | -1.25 | - |
| 2024 | 13.06 | -14.51 | -1.11 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-18 | 2024-10-07 | -34.87 | 172 |
| 2023-10-26 | 2024-03-29 | -14.07 | 155 |
| 2024-04-09 | 2024-04-12 | -0.95 | 3 |
| 2024-04-04 | 2024-04-08 | -0.89 | 4 |
| 2023-10-18 | 2023-10-20 | -0.71 | 2 |
| 2023-10-12 | 2023-10-13 | -0.57 | 1 |
| 2023-10-24 | 2023-10-25 | -0.06 | 1 |