| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -20.96% | 5.31% |
| CAGR﹪ | -17.09% | 4.21% |
| Sharpe | -0.09 | 9.84 |
| Prob. Sharpe Ratio | 46.43% | 100.0% |
| Smart Sharpe | -0.08 | 9.26 |
| Sortino | -0.1 | 30.42 |
| Smart Sortino | -0.09 | 28.63 |
| Sortino/√2 | -0.07 | 21.51 |
| Smart Sortino/√2 | -0.06 | 20.25 |
| Omega | 0.97 | 0.97 |
| Max Drawdown | -52.16% | -1.25% |
| Longest DD Days | 254 | 195 |
| Volatility (ann.) | 53.97% | 0.54% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.33 | 3.35 |
| Skew | -9.84 | 1.08 |
| Kurtosis | 133.2 | 3.52 |
| Expected Daily | -0.1% | 0.02% |
| Expected Monthly | -1.79% | 0.4% |
| Expected Yearly | -7.54% | 1.74% |
| Kelly Criterion | -54.1% | 61.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.61% | -0.04% |
| Expected Shortfall (cVaR) | -5.61% | -0.04% |
| Max Consecutive Wins | 6 | 123 |
| Max Consecutive Losses | 5 | 55 |
| Gain/Pain Ratio | -0.03 | 4.1 |
| Gain/Pain (1M) | -0.06 | 4.1 |
| Payoff Ratio | 0.43 | 1.38 |
| Profit Factor | 0.97 | 5.1 |
| Common Sense Ratio | 1.01 | 13.9 |
| CPC Index | 0.23 | 5.45 |
| Tail Ratio | 1.04 | 2.73 |
| Outlier Win Ratio | 1.98 | 74.99 |
| Outlier Loss Ratio | 1.29 | 87.85 |
| MTD | 6.4% | 0.46% |
| 3M | 31.79% | 2.18% |
| 6M | 37.09% | 2.59% |
| YTD | 10.24% | 1.3% |
| 1Y | -19.56% | 1.55% |
| 3Y (ann.) | -17.09% | 4.21% |
| 5Y (ann.) | -17.09% | 4.21% |
| 10Y (ann.) | -17.09% | 4.21% |
| All-time (ann.) | -17.09% | 4.21% |
| Best Day | 8.11% | 0.16% |
| Worst Day | -45.56% | -0.03% |
| Best Month | 18.23% | 1.17% |
| Worst Month | -51.26% | -0.52% |
| Best Year | 10.24% | 2.29% |
| Worst Year | -28.47% | 1.3% |
| Avg. Drawdown | -11.32% | -1.25% |
| Avg. Drawdown Days | 57 | 195 |
| Recovery Factor | -0.4 | 4.23 |
| Ulcer Index | 0.36 | 0.01 |
| Serenity Index | -0.03 | 0.22 |
| Avg. Up Month | 7.3% | 0.66% |
| Avg. Down Month | -27.32% | -0.43% |
| Win Days | 53.53% | 77.37% |
| Win Month | 61.54% | 76.92% |
| Win Quarter | 83.33% | 66.67% |
| Win Year | 66.67% | 100.0% |
| Beta | 9.93 | - |
| Alpha | -0.58 | - |
| Correlation | 10.0% | - |
| Treynor Ratio | -2.11% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.63 | 0.25 | 0.15 | - |
| 2022 | 2.29 | -28.47 | -12.45 | - |
| 2023 | 1.30 | 10.24 | 7.85 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-15 | 2023-02-24 | -52.16 | 254 |
| 2022-01-25 | 2022-02-25 | -8.49 | 31 |
| 2021-11-29 | 2022-01-04 | -2.32 | 36 |
| 2022-01-14 | 2022-01-24 | -2.06 | 10 |
| 2022-01-06 | 2022-01-13 | -2.00 | 7 |
| 2021-11-24 | 2021-11-26 | -0.88 | 2 |