| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | -62.36% | 10.32% |
| CAGR﹪ | -28.96% | 3.5% |
| Sharpe | -5.09 | -2.79 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.86 | -1.57 |
| Sortino | -4.86 | -4.28 |
| Smart Sortino | -2.74 | -2.41 |
| Sortino/√2 | -3.44 | -3.03 |
| Smart Sortino/√2 | -1.94 | -1.71 |
| Omega | 0.03 | 0.03 |
| Max Drawdown | -66.14% | -51.26% |
| Longest DD Days | 925 | 916 |
| Volatility (ann.) | 55.5% | 64.43% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.44 | 0.07 |
| Skew | -10.78 | 4.3 |
| Kurtosis | 119.22 | 89.97 |
| Expected Daily | -0.38% | 0.04% |
| Expected Monthly | -6.74% | 0.7% |
| Expected Yearly | -21.68% | 2.49% |
| Kelly Criterion | -59.27% | 5.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.04% | -6.56% |
| Expected Shortfall (cVaR) | -6.04% | -6.56% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | -0.59 | 0.2 |
| Gain/Pain (1M) | -0.88 | 0.77 |
| Payoff Ratio | 0.42 | 0.78 |
| Profit Factor | 0.41 | 1.2 |
| Common Sense Ratio | 0.35 | 1.0 |
| CPC Index | 0.09 | 0.55 |
| Tail Ratio | 0.86 | 0.83 |
| Outlier Win Ratio | 6.62 | 2.06 |
| Outlier Loss Ratio | 4.14 | 3.37 |
| MTD | 1.61% | 2.9% |
| 3M | 2.99% | 8.14% |
| 6M | -61.38% | 64.1% |
| YTD | 4.7% | 11.49% |
| 1Y | -61.38% | 64.1% |
| 3Y (ann.) | -28.96% | 3.5% |
| 5Y (ann.) | -28.96% | 3.5% |
| 10Y (ann.) | -28.96% | 3.5% |
| All-time (ann.) | -28.96% | 3.5% |
| Best Day | 4.12% | 47.32% |
| Worst Day | -40.06% | -33.28% |
| Best Month | 2.27% | 47.19% |
| Worst Month | -63.11% | -30.02% |
| Best Year | 4.7% | 47.19% |
| Worst Year | -63.11% | -34.42% |
| Avg. Drawdown | -6.15% | -5.55% |
| Avg. Drawdown Days | 84 | 84 |
| Recovery Factor | -0.94 | 0.2 |
| Ulcer Index | 0.36 | 0.1 |
| Serenity Index | -1.05 | -15.24 |
| Avg. Up Month | 1.43% | 3.18% |
| Avg. Down Month | -2.38% | -12.65% |
| Win Days | 53.06% | 58.3% |
| Win Month | 57.14% | 64.29% |
| Win Quarter | 57.14% | 71.43% |
| Win Year | 50.0% | 75.0% |
| Beta | -0.45 | - |
| Alpha | -0.61 | - |
| Correlation | -52.11% | - |
| Treynor Ratio | 1698.2% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.52 | 0.31 | 0.12 | - |
| 2022 | -34.42 | -2.85 | 0.08 | + |
| 2023 | 47.19 | -63.11 | -1.34 | - |
| 2024 | 11.49 | 4.70 | 0.41 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-12 | 2024-04-24 | -66.14 | 925 |
| 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 |
| 2021-09-08 | 2021-09-13 | -0.45 | 5 |
| 2021-08-12 | 2021-08-16 | -0.44 | 4 |
| 2021-06-28 | 2021-07-01 | -0.44 | 3 |
| 2021-10-01 | 2021-10-04 | -0.36 | 3 |
| 2021-06-17 | 2021-06-22 | -0.30 | 5 |