| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 98.0% |
| Cumulative Return | -12.99% | 4.23% |
| CAGR﹪ | -59.64% | 31.01% |
| Sharpe | -2.92 | 34.0 |
| Prob. Sharpe Ratio | 13.53% | - |
| Smart Sharpe | -2.42 | 28.27 |
| Sortino | -3.88 | - |
| Smart Sortino | -3.23 | - |
| Sortino/√2 | -2.74 | - |
| Smart Sortino/√2 | -2.28 | - |
| Omega | 0.6 | 0.6 |
| Max Drawdown | -20.82% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 27.98% | 0.75% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.24 | -0.24 |
| Calmar | -2.86 | - |
| Skew | 0.59 | 0.35 |
| Kurtosis | 1.53 | -1.0 |
| Expected Daily | -0.34% | 0.1% |
| Expected Monthly | -4.53% | 1.39% |
| Expected Yearly | -12.99% | 4.23% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.22% | -0.02% |
| Expected Shortfall (cVaR) | -3.22% | -0.02% |
| Max Consecutive Wins | 3 | 40 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.4 | - |
| Gain/Pain (1M) | -0.8 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.6 | - |
| Common Sense Ratio | 0.58 | - |
| CPC Index | - | - |
| Tail Ratio | 0.96 | 2.69 |
| Outlier Win Ratio | 1.7 | 22.79 |
| Outlier Loss Ratio | 1.55 | - |
| MTD | 3.0% | 1.47% |
| 3M | -12.99% | 4.23% |
| 6M | -12.99% | 4.23% |
| YTD | -12.99% | 4.23% |
| 1Y | -12.99% | 4.23% |
| 3Y (ann.) | -59.64% | 31.01% |
| 5Y (ann.) | -59.64% | 31.01% |
| 10Y (ann.) | -59.64% | 31.01% |
| All-time (ann.) | -59.64% | 31.01% |
| Best Day | 4.51% | 0.18% |
| Worst Day | -4.23% | 0.0% |
| Best Month | 3.0% | 1.47% |
| Worst Month | -12.85% | 1.25% |
| Best Year | -12.99% | 4.23% |
| Worst Year | -12.99% | 4.23% |
| Avg. Drawdown | -20.82% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.62 | - |
| Ulcer Index | 0.11 | 0.0 |
| Serenity Index | -0.11 | - |
| Avg. Up Month | 3.0% | 1.47% |
| Avg. Down Month | - | - |
| Win Days | 35.0% | 100.0% |
| Win Month | 33.33% | 100.0% |
| Win Quarter | 0.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | 3.9 | - |
| Alpha | -1.81 | - |
| Correlation | 10.46% | - |
| Treynor Ratio | -3.33% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 4.23 | -12.99 | -3.07 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-24 | 2024-09-16 | -20.82 | 54 |