| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -10.42% | 24.51% |
| CAGR﹪ | -3.93% | 8.32% |
| Sharpe | -2.48 | -3.01 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.46 | -2.98 |
| Sortino | -3.1 | -3.67 |
| Smart Sortino | -3.07 | -3.63 |
| Sortino/√2 | -2.19 | -2.59 |
| Smart Sortino/√2 | -2.17 | -2.57 |
| Omega | 0.61 | 0.61 |
| Max Drawdown | -45.33% | -24.49% |
| Longest DD Days | 648 | 713 |
| Volatility (ann.) | 28.39% | 19.02% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.09 | 0.34 |
| Skew | -0.67 | -0.14 |
| Kurtosis | 10.49 | 1.69 |
| Expected Daily | -0.02% | 0.04% |
| Expected Monthly | -0.33% | 0.67% |
| Expected Yearly | -2.71% | 5.63% |
| Kelly Criterion | -3.66% | 6.06% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.95% | -1.92% |
| Expected Shortfall (cVaR) | -2.95% | -1.92% |
| Max Consecutive Wins | 9 | 8 |
| Max Consecutive Losses | 7 | 10 |
| Gain/Pain Ratio | -0.01 | 0.11 |
| Gain/Pain (1M) | -0.02 | 0.47 |
| Payoff Ratio | 0.89 | 0.99 |
| Profit Factor | 0.99 | 1.11 |
| Common Sense Ratio | 1.09 | 1.15 |
| CPC Index | 0.45 | 0.59 |
| Tail Ratio | 1.1 | 1.03 |
| Outlier Win Ratio | 3.8 | 4.74 |
| Outlier Loss Ratio | 3.3 | 4.26 |
| MTD | -4.54% | -0.7% |
| 3M | -4.51% | 9.78% |
| 6M | 9.02% | 21.85% |
| YTD | -5.75% | 9.66% |
| 1Y | -13.34% | 28.91% |
| 3Y (ann.) | -3.93% | 8.32% |
| 5Y (ann.) | -3.93% | 8.32% |
| 10Y (ann.) | -3.93% | 8.32% |
| All-time (ann.) | -3.93% | 8.32% |
| Best Day | 8.85% | 5.55% |
| Worst Day | -12.38% | -5.08% |
| Best Month | 29.23% | 9.22% |
| Worst Month | -17.23% | -9.21% |
| Best Year | 19.28% | 26.29% |
| Worst Year | -19.72% | -18.32% |
| Avg. Drawdown | -6.41% | -1.94% |
| Avg. Drawdown Days | 63 | 30 |
| Recovery Factor | -0.23 | 1.0 |
| Ulcer Index | 0.25 | 0.11 |
| Serenity Index | -0.18 | -0.42 |
| Avg. Up Month | 1.9% | 3.97% |
| Avg. Down Month | -6.12% | -3.5% |
| Win Days | 51.12% | 53.18% |
| Win Month | 42.42% | 54.55% |
| Win Quarter | 25.0% | 50.0% |
| Win Year | 25.0% | 75.0% |
| Beta | 0.04 | - |
| Alpha | -0.02 | - |
| Correlation | 2.76% | - |
| Treynor Ratio | -2678.24% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 10.07 | -0.74 | -0.07 | - |
| 2022 | -18.32 | 19.28 | -1.05 | + |
| 2023 | 26.29 | -19.72 | -0.75 | - |
| 2024 | 9.66 | -5.75 | -0.59 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-07-01 | 2024-04-09 | -45.33 | 648 |
| 2021-10-27 | 2022-05-12 | -26.54 | 197 |
| 2022-05-26 | 2022-06-07 | -12.32 | 12 |
| 2022-06-29 | 2022-06-30 | -3.02 | 1 |
| 2022-05-13 | 2022-05-19 | -1.88 | 6 |
| 2021-09-03 | 2021-10-08 | -1.72 | 35 |
| 2021-08-16 | 2021-09-02 | -1.39 | 17 |
| 2021-08-04 | 2021-08-13 | -0.95 | 9 |
| 2022-06-14 | 2022-06-22 | -0.89 | 8 |
| 2021-07-15 | 2021-07-21 | -0.81 | 6 |