| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | -64.76% | 16.37% |
| CAGR﹪ | -28.33% | 4.96% |
| Sharpe | -1.27 | 15.27 |
| Prob. Sharpe Ratio | 0.32% | 100.0% |
| Smart Sharpe | -0.72 | 8.66 |
| Sortino | -1.28 | - |
| Smart Sortino | -0.73 | - |
| Sortino/√2 | -0.9 | - |
| Smart Sortino/√2 | -0.51 | - |
| Omega | 0.46 | 0.46 |
| Max Drawdown | -67.68% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 49.59% | 0.76% |
| R^2 | 0.82 | 0.82 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | -0.42 | - |
| Skew | -11.92 | 10.2 |
| Kurtosis | 147.98 | 119.82 |
| Expected Daily | -0.32% | 0.05% |
| Expected Monthly | -5.95% | 0.9% |
| Expected Yearly | -22.95% | 3.86% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.39% | -0.03% |
| Expected Shortfall (cVaR) | -5.39% | -0.03% |
| Max Consecutive Wins | 7 | 329 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | -0.54 | - |
| Gain/Pain (1M) | -0.89 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.46 | - |
| Common Sense Ratio | 0.37 | - |
| CPC Index | - | - |
| Tail Ratio | 0.81 | 3.34 |
| Outlier Win Ratio | 1.87 | 15.71 |
| Outlier Loss Ratio | 1.12 | - |
| MTD | -0.56% | 1.38% |
| 3M | -6.08% | 4.26% |
| 6M | -3.79% | 8.2% |
| YTD | -1.8% | 9.29% |
| 1Y | -63.78% | 10.63% |
| 3Y (ann.) | -30.42% | 4.87% |
| 5Y (ann.) | -28.33% | 4.96% |
| 10Y (ann.) | -28.33% | 4.96% |
| All-time (ann.) | -28.33% | 4.96% |
| Best Day | 4.12% | 0.61% |
| Worst Day | -40.06% | 0.0% |
| Best Month | 2.27% | 1.38% |
| Worst Month | -63.11% | 0.41% |
| Best Year | 0.15% | 9.29% |
| Worst Year | -63.11% | 1.23% |
| Avg. Drawdown | -6.28% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.96 | - |
| Ulcer Index | 0.44 | 0.0 |
| Serenity Index | -0.06 | - |
| Avg. Up Month | 1.41% | 0.84% |
| Avg. Down Month | - | - |
| Win Days | 50.99% | 100.0% |
| Win Month | 41.18% | 100.0% |
| Win Quarter | 25.0% | 100.0% |
| Win Year | 25.0% | 100.0% |
| Beta | -59.39 | - |
| Alpha | 6.25 | - |
| Correlation | -90.82% | - |
| Treynor Ratio | 1.09% | - |
| 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 | 9.29 | -1.80 | -0.19 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2024-07-26 | -67.68 | 1009 |
| 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 |