| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | -3.92% | 18.25% |
| CAGR﹪ | -7.44% | 38.22% |
| Sharpe | -0.26 | 1.28 |
| Prob. Sharpe Ratio | 19.74% | 63.56% |
| Smart Sharpe | -0.26 | 1.28 |
| Sortino | -0.3 | 1.87 |
| Smart Sortino | -0.3 | 1.86 |
| Sortino/√2 | -0.21 | 1.32 |
| Smart Sortino/√2 | -0.21 | 1.32 |
| Omega | 0.94 | 0.94 |
| Max Drawdown | -29.61% | -15.31% |
| Longest DD Days | 80 | 80 |
| Volatility (ann.) | 32.9% | 21.35% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.25 | 2.5 |
| Skew | -4.74 | -0.17 |
| Kurtosis | 40.17 | 0.97 |
| Expected Daily | -0.03% | 0.13% |
| Expected Monthly | -0.5% | 2.12% |
| Expected Yearly | -3.92% | 18.25% |
| Kelly Criterion | 7.63% | 9.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.42% | -2.08% |
| Expected Shortfall (cVaR) | -3.42% | -2.08% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 5 | 9 |
| Gain/Pain Ratio | -0.01 | 0.3 |
| Gain/Pain (1M) | -0.03 | 1.19 |
| Payoff Ratio | 0.98 | 0.97 |
| Profit Factor | 0.99 | 1.3 |
| Common Sense Ratio | 1.02 | 1.2 |
| CPC Index | 0.52 | 0.7 |
| Tail Ratio | 1.03 | 0.92 |
| Outlier Win Ratio | 3.04 | 3.06 |
| Outlier Loss Ratio | 2.53 | 3.46 |
| MTD | -15.93% | 2.79% |
| 3M | -23.56% | -5.86% |
| 6M | -4.14% | 17.49% |
| YTD | -3.92% | 18.25% |
| 1Y | -3.92% | 18.25% |
| 3Y (ann.) | -7.44% | 38.22% |
| 5Y (ann.) | -7.44% | 38.22% |
| 10Y (ann.) | -7.44% | 38.22% |
| All-time (ann.) | -7.44% | 38.22% |
| Best Day | 4.66% | 4.33% |
| Worst Day | -17.74% | -4.06% |
| Best Month | 21.5% | 21.93% |
| Worst Month | -15.93% | -9.97% |
| Best Year | -3.92% | 18.25% |
| Worst Year | -3.92% | 18.25% |
| Avg. Drawdown | -3.71% | -2.88% |
| Avg. Drawdown Days | 13 | 13 |
| Recovery Factor | -0.13 | 1.19 |
| Ulcer Index | 0.06 | 0.05 |
| Serenity Index | -0.32 | 0.3 |
| Avg. Up Month | 7.94% | 8.03% |
| Avg. Down Month | -5.14% | -5.06% |
| Win Days | 54.33% | 55.3% |
| Win Month | 50.0% | 62.5% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 0.0% | 100.0% |
| Beta | 0.67 | - |
| Alpha | -0.25 | - |
| Correlation | 43.72% | - |
| Treynor Ratio | -16.21% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 18.25 | -3.92 | -0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-14 | 2023-11-02 | -29.61 | 80 |
| 2023-05-02 | 2023-06-05 | -6.94 | 34 |
| 2023-06-20 | 2023-06-28 | -1.89 | 8 |
| 2023-07-20 | 2023-07-28 | -1.88 | 8 |
| 2023-07-06 | 2023-07-12 | -0.98 | 6 |
| 2023-07-03 | 2023-07-05 | -0.74 | 2 |
| 2023-07-13 | 2023-07-17 | -0.72 | 4 |
| 2023-06-15 | 2023-06-16 | -0.54 | 1 |
| 2023-07-31 | 2023-08-02 | -0.47 | 2 |
| 2023-08-07 | 2023-08-08 | -0.34 | 1 |