| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | -66.1% | 13.7% |
| CAGR﹪ | -27.72% | 3.93% |
| Sharpe | -1.23 | 18.41 |
| Prob. Sharpe Ratio | 0.21% | 100.0% |
| Smart Sharpe | -0.7 | 10.52 |
| Sortino | -1.24 | - |
| Smart Sortino | -0.71 | - |
| Sortino/√2 | -0.88 | - |
| Smart Sortino/√2 | -0.5 | - |
| Omega | 0.5 | 0.5 |
| Max Drawdown | -69.37% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 46.43% | 0.46% |
| R^2 | 0.65 | 0.65 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | -0.4 | - |
| Skew | -12.58 | 7.72 |
| Kurtosis | 167.02 | 86.59 |
| Expected Daily | -0.28% | 0.03% |
| Expected Monthly | -5.26% | 0.64% |
| Expected Yearly | -23.69% | 3.26% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.04% | -0.01% |
| Expected Shortfall (cVaR) | -5.04% | -0.01% |
| Max Consecutive Wins | 7 | 380 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.5 | - |
| Gain/Pain (1M) | -0.86 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.5 | - |
| Common Sense Ratio | 0.41 | - |
| CPC Index | - | - |
| Tail Ratio | 0.83 | 8.37 |
| Outlier Win Ratio | 2.26 | 27.73 |
| Outlier Loss Ratio | 1.1 | - |
| MTD | -1.44% | 0.05% |
| 3M | -4.61% | 1.33% |
| 6M | -9.42% | 3.39% |
| YTD | -5.53% | 5.51% |
| 1Y | -65.15% | 6.28% |
| 3Y (ann.) | -31.92% | 3.43% |
| 5Y (ann.) | -27.72% | 3.93% |
| 10Y (ann.) | -27.72% | 3.93% |
| All-time (ann.) | -27.72% | 3.93% |
| Best Day | 4.12% | 0.36% |
| Worst Day | -40.06% | 0.0% |
| Best Month | 3.74% | 1.17% |
| Worst Month | -63.11% | 0.05% |
| Best Year | 0.15% | 5.51% |
| Worst Year | -63.11% | 0.73% |
| Avg. Drawdown | -6.42% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.95 | - |
| Ulcer Index | 0.48 | 0.0 |
| Serenity Index | -0.05 | - |
| Avg. Up Month | 1.7% | 0.5% |
| Avg. Down Month | - | - |
| Win Days | 50.14% | 100.0% |
| Win Month | 40.0% | 100.0% |
| Win Quarter | 22.22% | 100.0% |
| Win Year | 25.0% | 100.0% |
| Beta | -81.39 | - |
| Alpha | 6.35 | - |
| Correlation | -80.9% | - |
| Treynor Ratio | 0.81% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.71 | 0.15 | 0.03 | - |
| 2022 | 2.17 | -2.85 | -1.31 | - |
| 2023 | 0.73 | -63.11 | -86.46 | - |
| 2024 | 5.51 | -5.53 | -1.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2024-10-07 | -69.37 | 1082 |
| 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 |