| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 50.0% | 99.0% |
| Cumulative Return | 11.45% | 79.83% |
| CAGR﹪ | 2.3% | 13.08% |
| Sharpe | -10.35 | -9.06 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -8.99 | -7.87 |
| Sortino | -9.34 | -8.61 |
| Smart Sortino | -8.12 | -7.48 |
| Sortino/√2 | -6.61 | -6.09 |
| Smart Sortino/√2 | -5.74 | -5.29 |
| Omega | 0.12 | 0.12 |
| Max Drawdown | -33.99% | -33.79% |
| Longest DD Days | 839 | 708 |
| Volatility (ann.) | 19.76% | 21.45% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.07 | 0.39 |
| Skew | -3.51 | -0.51 |
| Kurtosis | 64.54 | 13.24 |
| Expected Daily | 0.01% | 0.05% |
| Expected Monthly | 0.19% | 1.02% |
| Expected Yearly | 1.82% | 10.27% |
| Kelly Criterion | 6.34% | 1.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.03% | -2.17% |
| Expected Shortfall (cVaR) | -2.03% | -2.17% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.07 | 0.14 |
| Gain/Pain (1M) | 0.31 | 0.76 |
| Payoff Ratio | 0.91 | 0.89 |
| Profit Factor | 1.07 | 1.14 |
| Common Sense Ratio | 0.97 | 1.12 |
| CPC Index | 0.54 | 0.54 |
| Tail Ratio | 0.91 | 0.98 |
| Outlier Win Ratio | 9.26 | 3.64 |
| Outlier Loss Ratio | 3.19 | 3.96 |
| MTD | 0.0% | -4.58% |
| 3M | 0.0% | 3.9% |
| 6M | 0.0% | 19.52% |
| YTD | 0.0% | 5.5% |
| 1Y | 0.0% | 23.12% |
| 3Y (ann.) | -7.06% | 8.3% |
| 5Y (ann.) | 2.3% | 13.08% |
| 10Y (ann.) | 2.3% | 13.08% |
| All-time (ann.) | 2.3% | 13.08% |
| Best Day | 10.58% | 9.39% |
| Worst Day | -19.48% | -11.98% |
| Best Month | 10.66% | 12.82% |
| Worst Month | -24.3% | -12.35% |
| Best Year | 29.06% | 28.71% |
| Worst Year | -29.74% | -18.11% |
| Avg. Drawdown | -2.47% | -1.78% |
| Avg. Drawdown Days | 26 | 17 |
| Recovery Factor | 0.34 | 2.36 |
| Ulcer Index | 0.21 | 0.09 |
| Serenity Index | -1.08 | -4.94 |
| Avg. Up Month | 4.21% | 4.51% |
| Avg. Down Month | -7.66% | -4.73% |
| Win Days | 55.35% | 53.46% |
| Win Month | 71.88% | 62.07% |
| Win Quarter | 72.73% | 65.0% |
| Win Year | 75.0% | 83.33% |
| Beta | 0.2 | - |
| Alpha | 0.01 | - |
| Correlation | 21.65% | - |
| Treynor Ratio | -3451.83% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 8.17 | 7.78 | 0.95 | - |
| 2020 | 18.40 | 14.03 | 0.76 | - |
| 2021 | 28.71 | 29.06 | 1.01 | + |
| 2022 | -18.11 | -29.74 | 1.64 | - |
| 2023 | 26.29 | 0.00 | 0.00 | - |
| 2024 | 5.50 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-20 | 2020-08-24 | -33.99 | 186 |
| 2022-01-04 | 2024-04-22 | -30.26 | 839 |
| 2020-09-03 | 2020-11-06 | -8.42 | 64 |
| 2019-07-30 | 2019-10-28 | -6.84 | 90 |
| 2021-09-03 | 2021-10-25 | -5.39 | 52 |
| 2021-02-16 | 2021-03-16 | -4.95 | 28 |
| 2021-11-23 | 2021-12-27 | -4.41 | 34 |
| 2021-05-10 | 2021-06-09 | -3.38 | 30 |
| 2021-01-26 | 2021-02-05 | -3.12 | 10 |
| 2020-11-10 | 2020-11-16 | -2.82 | 6 |