| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -3.51% | 25.82% |
| CAGR﹪ | -1.31% | 8.8% |
| Sharpe | -1.4 | -2.93 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -1.04 | -2.18 |
| Sortino | -1.97 | -3.65 |
| Smart Sortino | -1.46 | -2.71 |
| Sortino/√2 | -1.39 | -2.58 |
| Smart Sortino/√2 | -1.03 | -1.92 |
| Omega | 0.68 | 0.68 |
| Max Drawdown | -46.92% | -24.49% |
| Longest DD Days | 648 | 708 |
| Volatility (ann.) | 43.7% | 19.46% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.03 | 0.36 |
| Skew | 0.73 | 0.13 |
| Kurtosis | 89.64 | 2.42 |
| Expected Daily | -0.01% | 0.04% |
| Expected Monthly | -0.11% | 0.68% |
| Expected Yearly | -0.89% | 5.91% |
| Kelly Criterion | -1.07% | 4.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.5% | -1.97% |
| Expected Shortfall (cVaR) | -4.5% | -1.97% |
| Max Consecutive Wins | 8 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.05 | 0.12 |
| Gain/Pain (1M) | 0.22 | 0.47 |
| Payoff Ratio | 0.9 | 0.97 |
| Profit Factor | 1.05 | 1.12 |
| Common Sense Ratio | 1.11 | 1.12 |
| CPC Index | 0.49 | 0.58 |
| Tail Ratio | 1.05 | 1.0 |
| Outlier Win Ratio | 3.74 | 5.25 |
| Outlier Loss Ratio | 2.77 | 3.96 |
| MTD | 6.39% | -0.7% |
| 3M | 6.84% | 9.78% |
| 6M | 19.39% | 23.17% |
| YTD | 5.73% | 9.66% |
| 1Y | -3.24% | 28.91% |
| 3Y (ann.) | -1.31% | 8.8% |
| 5Y (ann.) | -1.31% | 8.8% |
| 10Y (ann.) | -1.31% | 8.8% |
| All-time (ann.) | -1.31% | 8.8% |
| Best Day | 35.01% | 5.76% |
| Worst Day | -33.44% | -4.55% |
| Best Month | 24.14% | 9.85% |
| Worst Month | -14.36% | -8.72% |
| Best Year | 18.76% | 26.29% |
| Worst Year | -21.45% | -18.32% |
| Avg. Drawdown | -8.56% | -1.74% |
| Avg. Drawdown Days | 67 | 29 |
| Recovery Factor | -0.07 | 1.05 |
| Ulcer Index | 0.26 | 0.11 |
| Serenity Index | -0.23 | -0.43 |
| Avg. Up Month | 3.63% | 3.72% |
| Avg. Down Month | -6.31% | -3.16% |
| Win Days | 52.1% | 53.2% |
| Win Month | 47.06% | 58.82% |
| Win Quarter | 33.33% | 50.0% |
| Win Year | 50.0% | 75.0% |
| Beta | 0.15 | - |
| Alpha | 0.06 | - |
| Correlation | 6.75% | - |
| Treynor Ratio | -683.04% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 11.23 | -2.17 | -0.19 | - |
| 2022 | -18.32 | 18.76 | -1.02 | + |
| 2023 | 26.29 | -21.45 | -0.82 | - |
| 2024 | 9.66 | 5.73 | 0.59 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-07-01 | 2024-04-09 | -46.92 | 648 |
| 2021-10-26 | 2022-05-04 | -43.87 | 190 |
| 2022-05-26 | 2022-06-10 | -13.43 | 15 |
| 2022-05-05 | 2022-05-12 | -4.85 | 7 |
| 2021-09-07 | 2021-10-15 | -3.06 | 38 |
| 2022-05-13 | 2022-05-16 | -1.88 | 3 |
| 2021-08-04 | 2021-08-31 | -1.78 | 27 |
| 2021-10-20 | 2021-10-22 | -1.15 | 2 |
| 2022-05-17 | 2022-05-18 | -0.76 | 1 |
| 2022-06-15 | 2022-06-17 | -0.63 | 2 |