| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 98.0% | 95.0% |
| Cumulative Return | -10.7% | -10.64% |
| CAGR﹪ | -5.65% | -5.62% |
| Sharpe | -5.39 | -11.02 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -5.27 | -10.78 |
| Sortino | -5.51 | -9.45 |
| Smart Sortino | -5.39 | -9.24 |
| Sortino/√2 | -3.9 | -6.68 |
| Smart Sortino/√2 | -3.81 | -6.54 |
| Omega | 0.32 | 0.32 |
| Max Drawdown | -47.24% | -23.55% |
| Longest DD Days | 394 | 665 |
| Volatility (ann.) | 38.61% | 19.43% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -0.12 | -0.24 |
| Skew | -4.26 | -0.71 |
| Kurtosis | 43.29 | 2.79 |
| Expected Daily | -0.03% | -0.03% |
| Expected Monthly | -0.51% | -0.51% |
| Expected Yearly | -3.7% | -3.68% |
| Kelly Criterion | 2.69% | -7.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.0% | -2.03% |
| Expected Shortfall (cVaR) | -4.0% | -2.03% |
| Max Consecutive Wins | 8 | 6 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.0 | -0.05 |
| Gain/Pain (1M) | 0.01 | -0.15 |
| Payoff Ratio | 0.99 | 0.78 |
| Profit Factor | 1.0 | 0.95 |
| Common Sense Ratio | 1.07 | 0.87 |
| CPC Index | 0.51 | 0.39 |
| Tail Ratio | 1.07 | 0.91 |
| Outlier Win Ratio | 2.72 | 4.77 |
| Outlier Loss Ratio | 2.8 | 4.27 |
| MTD | -15.93% | 2.98% |
| 3M | -23.56% | -6.79% |
| 6M | -4.14% | 1.41% |
| YTD | 7.1% | 1.41% |
| 1Y | 24.81% | 1.65% |
| 3Y (ann.) | -5.65% | -5.62% |
| 5Y (ann.) | -5.65% | -5.62% |
| 10Y (ann.) | -5.65% | -5.62% |
| All-time (ann.) | -5.65% | -5.62% |
| Best Day | 8.05% | 3.5% |
| Worst Day | -26.66% | -6.53% |
| Best Month | 31.77% | 11.52% |
| Worst Month | -28.84% | -11.0% |
| Best Year | 7.1% | 1.41% |
| Worst Year | -16.44% | -12.42% |
| Avg. Drawdown | -8.18% | -5.99% |
| Avg. Drawdown Days | 49 | 140 |
| Recovery Factor | -0.23 | -0.45 |
| Ulcer Index | 0.22 | 0.12 |
| Serenity Index | -2.01 | -3.51 |
| Avg. Up Month | 12.54% | 6.23% |
| Avg. Down Month | -9.3% | -4.74% |
| Win Days | 51.7% | 52.94% |
| Win Month | 50.0% | 36.36% |
| Win Quarter | 66.67% | 44.44% |
| Win Year | 33.33% | 66.67% |
| Beta | 0.65 | - |
| Alpha | 0.04 | - |
| Correlation | 32.95% | - |
| Treynor Ratio | -1085.7% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.62 | -0.22 | -0.36 | - |
| 2022 | -12.42 | -16.44 | 1.32 | - |
| 2023 | 1.41 | 7.10 | 5.04 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-05-30 | 2023-06-28 | -47.24 | 394 |
| 2023-08-14 | 2023-11-02 | -29.61 | 80 |
| 2022-01-14 | 2022-02-25 | -7.83 | 42 |
| 2021-11-23 | 2022-01-04 | -6.56 | 42 |
| 2023-07-20 | 2023-07-28 | -1.88 | 8 |
| 2022-01-06 | 2022-01-13 | -1.59 | 7 |
| 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 |
| 2023-07-31 | 2023-08-02 | -0.47 | 2 |