| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 91.0% | 100.0% |
| Cumulative Return | 11.48% | 8.94% |
| CAGR﹪ | 4.05% | 3.18% |
| Sharpe | -15.34 | -6.9 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -12.13 | -5.45 |
| Sortino | -11.38 | -6.74 |
| Smart Sortino | -8.99 | -5.32 |
| Sortino/√2 | -8.05 | -4.76 |
| Smart Sortino/√2 | -6.36 | -3.76 |
| Omega | 0.08 | 0.08 |
| Max Drawdown | -14.73% | -53.53% |
| Longest DD Days | 287 | 901 |
| Volatility (ann.) | 13.23% | 29.08% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.28 | 0.06 |
| Skew | -1.41 | -3.2 |
| Kurtosis | 15.83 | 28.92 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.33% | 0.26% |
| Expected Yearly | 2.75% | 2.16% |
| Kelly Criterion | -6.46% | -7.96% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.35% | -2.98% |
| Expected Shortfall (cVaR) | -1.35% | -2.98% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.09 | 0.06 |
| Gain/Pain (1M) | 0.42 | 0.23 |
| Payoff Ratio | 0.73 | 0.67 |
| Profit Factor | 1.09 | 1.06 |
| Common Sense Ratio | 1.12 | 0.93 |
| CPC Index | 0.44 | 0.4 |
| Tail Ratio | 1.02 | 0.87 |
| Outlier Win Ratio | 7.04 | 3.19 |
| Outlier Loss Ratio | 6.78 | 3.28 |
| MTD | -3.82% | 3.33% |
| 3M | -2.58% | 8.89% |
| 6M | 0.98% | 11.56% |
| YTD | -2.99% | 11.01% |
| 1Y | 0.09% | 46.08% |
| 3Y (ann.) | 4.05% | 3.18% |
| 5Y (ann.) | 4.05% | 3.18% |
| 10Y (ann.) | 4.05% | 3.18% |
| All-time (ann.) | 4.05% | 3.18% |
| Best Day | 4.07% | 6.05% |
| Worst Day | -7.71% | -19.91% |
| Best Month | 10.12% | 15.61% |
| Worst Month | -11.7% | -29.18% |
| Best Year | 11.65% | 53.84% |
| Worst Year | -2.99% | -37.26% |
| Avg. Drawdown | -1.22% | -5.99% |
| Avg. Drawdown Days | 16 | 88 |
| Recovery Factor | 0.78 | 0.17 |
| Ulcer Index | 0.03 | 0.3 |
| Serenity Index | -34.01 | -0.81 |
| Avg. Up Month | 1.37% | 5.24% |
| Avg. Down Month | -3.84% | -12.71% |
| Win Days | 55.05% | 56.76% |
| Win Month | 63.64% | 63.64% |
| Win Quarter | 50.0% | 66.67% |
| Win Year | 50.0% | 75.0% |
| Beta | 0.12 | - |
| Alpha | 0.05 | - |
| Correlation | 26.39% | - |
| Treynor Ratio | -5734.15% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.67 | -0.81 | -0.48 | - |
| 2022 | -37.26 | 11.65 | -0.31 | + |
| 2023 | 53.84 | 3.77 | 0.07 | - |
| 2024 | 11.01 | -2.99 | -0.27 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-08-26 | 2022-06-09 | -14.73 | 287 |
| 2022-09-15 | 2022-11-08 | -5.87 | 54 |
| 2023-08-01 | 2024-03-01 | -4.76 | 213 |
| 2024-04-02 | 2024-04-09 | -3.82 | 7 |
| 2022-12-16 | 2022-12-27 | -2.10 | 11 |
| 2023-01-09 | 2023-02-06 | -2.03 | 28 |
| 2022-11-15 | 2022-11-29 | -1.89 | 14 |
| 2022-12-07 | 2022-12-12 | -1.88 | 5 |
| 2022-12-05 | 2022-12-06 | -1.75 | 1 |
| 2022-06-14 | 2022-06-24 | -1.33 | 10 |