| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -42.89% | 16.32% |
| CAGR﹪ | -22.4% | 7.08% |
| Sharpe | -0.27 | 39.32 |
| Prob. Sharpe Ratio | 36.46% | 100.0% |
| Smart Sharpe | -0.26 | 37.81 |
| Sortino | -0.28 | - |
| Smart Sortino | -0.27 | - |
| Sortino/√2 | -0.2 | - |
| Smart Sortino/√2 | -0.19 | - |
| Omega | 0.89 | 0.89 |
| Max Drawdown | -64.42% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 57.82% | 0.29% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.35 | - |
| Skew | -13.66 | 1.99 |
| Kurtosis | 230.02 | 6.34 |
| Expected Daily | -0.17% | 0.05% |
| Expected Monthly | -3.24% | 0.89% |
| Expected Yearly | -17.03% | 5.17% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.05% | -0.02% |
| Expected Shortfall (cVaR) | -6.05% | -0.02% |
| Max Consecutive Wins | 8 | 329 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | -0.11 | - |
| Gain/Pain (1M) | -0.3 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.89 | - |
| Common Sense Ratio | 0.9 | - |
| CPC Index | - | - |
| Tail Ratio | 1.01 | 3.03 |
| Outlier Win Ratio | 1.75 | 34.83 |
| Outlier Loss Ratio | 1.85 | - |
| MTD | 5.17% | 1.24% |
| 3M | 8.02% | 4.36% |
| 6M | 6.94% | 8.02% |
| YTD | 11.55% | 5.04% |
| 1Y | 39.63% | 12.92% |
| 3Y (ann.) | -22.4% | 7.08% |
| 5Y (ann.) | -22.4% | 7.08% |
| 10Y (ann.) | -22.4% | 7.08% |
| All-time (ann.) | -22.4% | 7.08% |
| Best Day | 14.97% | 0.13% |
| Worst Day | -60.33% | 0.0% |
| Best Month | 11.63% | 1.24% |
| Worst Month | -59.18% | 0.64% |
| Best Year | 11.55% | 10.0% |
| Worst Year | -46.59% | 0.67% |
| Avg. Drawdown | -32.97% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.67 | - |
| Ulcer Index | 0.53 | 0.0 |
| Serenity Index | -0.04 | - |
| Avg. Up Month | 3.94% | 0.89% |
| Avg. Down Month | - | - |
| Win Days | 52.98% | 100.0% |
| Win Month | 70.59% | 100.0% |
| Win Quarter | 57.14% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | -46.26 | - |
| Alpha | 5.19 | - |
| Correlation | -23.49% | - |
| Treynor Ratio | 0.93% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 0.67 | -4.14 | -6.15 | - |
| 2023 | 10.00 | -46.59 | -4.66 | - |
| 2024 | 5.04 | 11.55 | 2.29 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-11 | 2024-04-18 | -64.42 | 797 |
| 2022-02-03 | 2022-02-09 | -1.52 | 6 |