| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -70.49% | 22.98% |
| CAGR﹪ | -34.92% | 7.55% |
| Sharpe | -2.71 | -2.5 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -1.59 | -1.47 |
| Sortino | -2.69 | -3.85 |
| Smart Sortino | -1.59 | -2.26 |
| Sortino/√2 | -1.9 | -2.72 |
| Smart Sortino/√2 | -1.12 | -1.6 |
| Omega | 0.24 | 0.24 |
| Max Drawdown | -74.17% | -10.4% |
| Longest DD Days | 905 | 723 |
| Volatility (ann.) | 61.79% | 18.64% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | -0.47 | 0.73 |
| Skew | -9.95 | 4.65 |
| Kurtosis | 105.58 | 49.51 |
| Expected Daily | -0.49% | 0.08% |
| Expected Monthly | -8.35% | 1.49% |
| Expected Yearly | -26.3% | 5.31% |
| Kelly Criterion | -60.54% | -0.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.79% | -1.84% |
| Expected Shortfall (cVaR) | -6.79% | -1.84% |
| Max Consecutive Wins | 8 | 7 |
| Max Consecutive Losses | 9 | 6 |
| Gain/Pain Ratio | -0.54 | 0.29 |
| Gain/Pain (1M) | -0.89 | 1.18 |
| Payoff Ratio | 0.41 | 0.83 |
| Profit Factor | 0.46 | 1.29 |
| Common Sense Ratio | 0.31 | 1.19 |
| CPC Index | 0.1 | 0.58 |
| Tail Ratio | 0.67 | 0.93 |
| Outlier Win Ratio | 3.4 | 2.85 |
| Outlier Loss Ratio | 2.56 | 5.78 |
| MTD | 1.56% | -5.4% |
| 3M | -0.76% | 4.28% |
| 6M | -65.31% | 17.3% |
| YTD | 2.37% | 4.58% |
| 1Y | -65.31% | 17.3% |
| 3Y (ann.) | -34.92% | 7.55% |
| 5Y (ann.) | -34.92% | 7.55% |
| 10Y (ann.) | -34.92% | 7.55% |
| All-time (ann.) | -34.92% | 7.55% |
| Best Day | 4.19% | 12.48% |
| Worst Day | -44.33% | -2.43% |
| Best Month | 2.95% | 12.16% |
| Worst Month | -66.12% | -5.42% |
| Best Year | 2.37% | 14.0% |
| Worst Year | -66.12% | -8.04% |
| Avg. Drawdown | -7.96% | -1.44% |
| Avg. Drawdown Days | 91 | 26 |
| Recovery Factor | -0.95 | 2.21 |
| Ulcer Index | 0.41 | 0.03 |
| Serenity Index | -0.21 | -5.74 |
| Avg. Up Month | 1.64% | 3.53% |
| Avg. Down Month | -6.65% | -2.96% |
| Win Days | 53.66% | 54.47% |
| Win Month | 42.86% | 64.29% |
| Win Quarter | 42.86% | 71.43% |
| Win Year | 25.0% | 75.0% |
| Beta | -1.41 | - |
| Alpha | -0.66 | - |
| Correlation | -42.39% | - |
| Treynor Ratio | 121.34% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 14.00 | -2.67 | -0.19 | - |
| 2022 | -8.04 | -12.59 | 1.57 | - |
| 2023 | 12.16 | -66.12 | -5.44 | - |
| 2024 | 4.58 | 2.37 | 0.52 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-27 | 2024-04-19 | -74.17 | 905 |
| 2021-06-29 | 2021-08-16 | -4.26 | 48 |
| 2021-09-16 | 2021-10-04 | -2.53 | 18 |
| 2021-08-18 | 2021-08-30 | -2.24 | 12 |
| 2021-10-21 | 2021-10-25 | -1.06 | 4 |
| 2021-06-18 | 2021-06-24 | -1.00 | 6 |
| 2021-10-06 | 2021-10-07 | -0.71 | 1 |
| 2021-10-18 | 2021-10-19 | -0.51 | 1 |
| 2021-09-07 | 2021-09-13 | -0.48 | 6 |
| 2021-10-12 | 2021-10-14 | -0.46 | 2 |