| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | -62.28% | 11.84% |
| CAGR﹪ | -28.7% | 3.96% |
| Sharpe | -1.31 | 12.76 |
| Prob. Sharpe Ratio | 0.78% | 100.0% |
| Smart Sharpe | -0.73 | 7.18 |
| Sortino | -1.31 | - |
| Smart Sortino | -0.74 | - |
| Sortino/√2 | -0.93 | - |
| Smart Sortino/√2 | -0.52 | - |
| Omega | 0.42 | 0.42 |
| Max Drawdown | -66.14% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 54.78% | 0.83% |
| R^2 | 0.87 | 0.87 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | -0.43 | - |
| Skew | -10.92 | 9.91 |
| Kurtosis | 122.47 | 107.13 |
| Expected Daily | -0.36% | 0.04% |
| Expected Monthly | -6.73% | 0.8% |
| Expected Yearly | -21.63% | 2.84% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.96% | -0.04% |
| Expected Shortfall (cVaR) | -5.96% | -0.04% |
| Max Consecutive Wins | 7 | 266 |
| Max Consecutive Losses | 4 | 0 |
| Gain/Pain Ratio | -0.58 | - |
| Gain/Pain (1M) | -0.88 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.42 | - |
| Common Sense Ratio | 0.36 | - |
| CPC Index | - | - |
| Tail Ratio | 0.87 | 2.93 |
| Outlier Win Ratio | 1.95 | 16.81 |
| Outlier Loss Ratio | 1.35 | - |
| MTD | 2.01% | 1.24% |
| 3M | 2.98% | 3.99% |
| 6M | -61.22% | 6.33% |
| YTD | 5.12% | 5.04% |
| 1Y | -61.22% | 6.33% |
| 3Y (ann.) | -28.7% | 3.96% |
| 5Y (ann.) | -28.7% | 3.96% |
| 10Y (ann.) | -28.7% | 3.96% |
| All-time (ann.) | -28.7% | 3.96% |
| Best Day | 4.12% | 0.61% |
| Worst Day | -40.06% | 0.0% |
| Best Month | 2.27% | 1.24% |
| Worst Month | -63.11% | 0.41% |
| Best Year | 5.12% | 5.04% |
| Worst Year | -63.11% | 1.23% |
| Avg. Drawdown | -6.15% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.94 | - |
| Ulcer Index | 0.36 | 0.0 |
| Serenity Index | -0.08 | - |
| Avg. Up Month | 1.44% | 0.84% |
| Avg. Down Month | - | - |
| Win Days | 52.99% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 42.86% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -61.79 | - |
| Alpha | 5.82 | - |
| Correlation | -93.45% | - |
| Treynor Ratio | 1.01% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.77 | 0.15 | 0.04 | - |
| 2022 | 1.36 | -2.85 | -2.09 | - |
| 2023 | 1.23 | -63.11 | -51.34 | - |
| 2024 | 5.04 | 5.12 | 1.02 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2024-04-26 | -66.14 | 918 |
| 2021-07-08 | 2021-08-09 | -1.82 | 32 |
| 2021-09-16 | 2021-09-30 | -1.44 | 14 |
| 2021-08-18 | 2021-09-01 | -1.40 | 14 |
| 2021-10-06 | 2021-10-08 | -0.68 | 2 |
| 2021-06-15 | 2021-07-01 | -0.59 | 16 |
| 2021-09-08 | 2021-09-13 | -0.45 | 5 |
| 2021-08-12 | 2021-08-16 | -0.44 | 4 |
| 2021-10-01 | 2021-10-04 | -0.36 | 3 |
| 2021-10-12 | 2021-10-20 | -0.32 | 8 |