| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 88.0% | 11.0% |
| Cumulative Return | -28.8% | 3.5% |
| CAGR﹪ | -13.01% | 1.42% |
| Sharpe | -7.08 | -6.14 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -6.82 | -5.92 |
| Sortino | -7.07 | -7.15 |
| Smart Sortino | -6.82 | -6.9 |
| Sortino/√2 | -5.0 | -5.06 |
| Smart Sortino/√2 | -4.82 | -4.88 |
| Omega | 0.29 | 0.29 |
| Max Drawdown | -36.08% | -29.55% |
| Longest DD Days | 889 | 761 |
| Volatility (ann.) | 32.88% | 32.67% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.36 | 0.05 |
| Skew | -1.57 | 0.12 |
| Kurtosis | 13.1 | 17.43 |
| Expected Daily | -0.12% | 0.01% |
| Expected Monthly | -1.13% | 0.11% |
| Expected Yearly | -8.14% | 0.86% |
| Kelly Criterion | -42.92% | -24.26% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.5% | -3.35% |
| Expected Shortfall (cVaR) | -3.5% | -3.35% |
| Max Consecutive Wins | 5 | 4 |
| Max Consecutive Losses | 5 | 2 |
| Gain/Pain Ratio | -0.12 | 0.12 |
| Gain/Pain (1M) | -0.62 | 0.12 |
| Payoff Ratio | 0.6 | 0.6 |
| Profit Factor | 0.88 | 1.12 |
| Common Sense Ratio | 0.87 | - |
| CPC Index | 0.24 | 0.36 |
| Tail Ratio | 0.99 | - |
| Outlier Win Ratio | 5.11 | 20.26 |
| Outlier Loss Ratio | 4.03 | 1.16 |
| MTD | 0.0% | -7.57% |
| 3M | 0.0% | 1.29% |
| 6M | 0.0% | 19.62% |
| YTD | 0.0% | 9.26% |
| 1Y | 0.0% | 32.14% |
| 3Y (ann.) | -13.01% | 1.42% |
| 5Y (ann.) | -13.01% | 1.42% |
| 10Y (ann.) | -13.01% | 1.42% |
| All-time (ann.) | -13.01% | 1.42% |
| Best Day | 5.34% | 12.37% |
| Worst Day | -16.5% | -12.81% |
| Best Month | 7.07% | 12.37% |
| Worst Month | -11.9% | -12.81% |
| Best Year | 1.09% | 21.85% |
| Worst Year | -25.05% | -15.81% |
| Avg. Drawdown | -36.08% | -18.56% |
| Avg. Drawdown Days | 889 | 389 |
| Recovery Factor | -0.8 | 0.12 |
| Ulcer Index | 0.25 | 0.21 |
| Serenity Index | -1.56 | -2.06 |
| Avg. Up Month | 1.67% | 5.07% |
| Avg. Down Month | -4.81% | -8.13% |
| Win Days | 46.48% | 53.33% |
| Win Month | 28.57% | 55.17% |
| Win Quarter | 33.33% | 54.55% |
| Win Year | 33.33% | 50.0% |
| Beta | 0.04 | - |
| Alpha | -0.24 | - |
| Correlation | 3.57% | - |
| Treynor Ratio | -20291.25% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -7.66 | -6.03 | 0.79 | + |
| 2022 | -15.81 | -25.05 | 1.58 | - |
| 2023 | 21.85 | 1.09 | 0.05 | - |
| 2024 | 9.26 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-11 | 2024-04-18 | -36.08 | 889 |