| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 97.0% | 89.0% |
| Cumulative Return | -38.7% | -38.44% |
| CAGR﹪ | -20.08% | -19.92% |
| Sharpe | -3.8 | -3.84 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.66 | -3.7 |
| Sortino | -3.82 | -3.77 |
| Smart Sortino | -3.68 | -3.63 |
| Sortino/√2 | -2.7 | -2.66 |
| Smart Sortino/√2 | -2.6 | -2.57 |
| Omega | 0.17 | 0.17 |
| Max Drawdown | -62.09% | -62.06% |
| Longest DD Days | 790 | 456 |
| Volatility (ann.) | 57.74% | 56.97% |
| R^2 | 0.94 | 0.94 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.32 | -0.32 |
| Skew | -14.01 | -15.88 |
| Kurtosis | 236.73 | 273.97 |
| Expected Daily | -0.15% | -0.15% |
| Expected Monthly | -2.84% | -2.81% |
| Expected Yearly | -15.05% | -14.93% |
| Kelly Criterion | -18.26% | -9.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.03% | -5.94% |
| Expected Shortfall (cVaR) | -6.03% | -5.94% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | -0.08 | -0.08 |
| Gain/Pain (1M) | -0.21 | -0.19 |
| Payoff Ratio | 0.65 | 0.58 |
| Profit Factor | 0.92 | 0.92 |
| Common Sense Ratio | 0.97 | 1.12 |
| CPC Index | 0.32 | 0.32 |
| Tail Ratio | 1.05 | 1.23 |
| Outlier Win Ratio | 2.64 | 3.59 |
| Outlier Loss Ratio | 2.83 | 2.6 |
| MTD | 3.41% | 4.04% |
| 3M | 8.21% | 8.0% |
| 6M | 4.52% | 4.81% |
| YTD | 9.68% | 10.74% |
| 1Y | 24.72% | 26.0% |
| 3Y (ann.) | -20.08% | -19.92% |
| 5Y (ann.) | -20.08% | -19.92% |
| 10Y (ann.) | -20.08% | -19.92% |
| All-time (ann.) | -20.08% | -19.92% |
| Best Day | 14.97% | 6.95% |
| Worst Day | -60.33% | -61.76% |
| Best Month | 11.63% | 11.91% |
| Worst Month | -59.18% | -60.56% |
| Best Year | 9.68% | 10.74% |
| Worst Year | -46.59% | -48.48% |
| Avg. Drawdown | -62.09% | -62.06% |
| Avg. Drawdown Days | 790 | 456 |
| Recovery Factor | -0.62 | -0.62 |
| Ulcer Index | 0.51 | 0.5 |
| Serenity Index | -0.84 | -0.83 |
| Avg. Up Month | 3.86% | 4.23% |
| Avg. Down Month | -16.75% | -17.29% |
| Win Days | 53.53% | 59.79% |
| Win Month | 76.47% | 76.47% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.99 | - |
| Alpha | -0.01 | - |
| Correlation | 97.18% | - |
| Treynor Ratio | -749.9% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 7.90 | 4.64 | 0.59 | - |
| 2023 | -48.48 | -46.59 | 0.96 | + |
| 2024 | 10.74 | 9.68 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2024-04-25 | -62.09 | 790 |