| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -7.52% | 10.69% |
| CAGR﹪ | -3.87% | 5.25% |
| Sharpe | 0.08 | 8.99 |
| Prob. Sharpe Ratio | 53.96% | 100.0% |
| Smart Sharpe | 0.08 | 8.76 |
| Sortino | 0.1 | 50.69 |
| Smart Sortino | 0.09 | 49.39 |
| Sortino/√2 | 0.07 | 35.84 |
| Smart Sortino/√2 | 0.07 | 34.92 |
| Omega | 1.02 | 1.02 |
| Max Drawdown | -47.24% | -1.25% |
| Longest DD Days | 394 | 209 |
| Volatility (ann.) | 38.17% | 0.7% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.08 | 4.19 |
| Skew | -4.29 | 8.37 |
| Kurtosis | 44.06 | 99.65 |
| Expected Daily | -0.02% | 0.03% |
| Expected Monthly | -0.35% | 0.46% |
| Expected Yearly | -2.57% | 3.44% |
| Kelly Criterion | -14.17% | 74.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.94% | -0.05% |
| Expected Shortfall (cVaR) | -3.94% | -0.05% |
| Max Consecutive Wins | 8 | 262 |
| Max Consecutive Losses | 6 | 65 |
| Gain/Pain Ratio | 0.02 | 8.05 |
| Gain/Pain (1M) | 0.04 | 8.05 |
| Payoff Ratio | 0.71 | 1.66 |
| Profit Factor | 1.02 | 9.05 |
| Common Sense Ratio | 1.1 | 23.94 |
| CPC Index | 0.38 | 12.62 |
| Tail Ratio | 1.08 | 2.65 |
| Outlier Win Ratio | 1.75 | 70.96 |
| Outlier Loss Ratio | 1.7 | 135.67 |
| MTD | -15.93% | 1.11% |
| 3M | -23.56% | 3.11% |
| 6M | -4.14% | 4.48% |
| YTD | 7.1% | 6.25% |
| 1Y | 24.81% | 7.45% |
| 3Y (ann.) | -3.87% | 5.25% |
| 5Y (ann.) | -3.87% | 5.25% |
| 10Y (ann.) | -3.87% | 5.25% |
| All-time (ann.) | -3.87% | 5.25% |
| Best Day | 8.05% | 0.55% |
| Worst Day | -26.66% | -0.02% |
| Best Month | 31.77% | 1.17% |
| Worst Month | -28.84% | -0.52% |
| Best Year | 7.1% | 6.25% |
| Worst Year | -16.44% | 1.73% |
| Avg. Drawdown | -7.27% | -1.25% |
| Avg. Drawdown Days | 43 | 209 |
| Recovery Factor | -0.16 | 8.52 |
| Ulcer Index | 0.21 | 0.01 |
| Serenity Index | -0.02 | 0.96 |
| Avg. Up Month | 8.72% | 0.59% |
| Avg. Down Month | -15.2% | -0.44% |
| Win Days | 52.41% | 83.95% |
| Win Month | 50.0% | 86.36% |
| Win Quarter | 77.78% | 77.78% |
| Win Year | 66.67% | 100.0% |
| Beta | -11.49 | - |
| Alpha | 0.75 | - |
| Correlation | -21.11% | - |
| Treynor Ratio | 0.66% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 3.33 | 1.93 | + |
| 2022 | 2.41 | -16.44 | -6.82 | - |
| 2023 | 6.25 | 7.10 | 1.14 | + |
| 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 |
| 2021-11-17 | 2021-11-22 | -2.13 | 5 |
| 2023-07-20 | 2023-07-28 | -1.88 | 8 |
| 2022-01-06 | 2022-01-13 | -1.59 | 7 |
| 2021-11-09 | 2021-11-12 | -1.50 | 3 |
| 2023-07-06 | 2023-07-12 | -0.98 | 6 |
| 2023-07-03 | 2023-07-05 | -0.74 | 2 |