| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 87.0% | 12.0% |
| Cumulative Return | -28.8% | 12.46% |
| CAGR﹪ | -11.36% | 4.26% |
| Sharpe | -0.93 | 0.27 |
| Prob. Sharpe Ratio | 2.01% | 23.71% |
| Smart Sharpe | -0.89 | 0.26 |
| Sortino | -1.18 | 0.4 |
| Smart Sortino | -1.14 | 0.39 |
| Sortino/√2 | -0.83 | 0.29 |
| Smart Sortino/√2 | -0.8 | 0.28 |
| Omega | 0.84 | 0.84 |
| Max Drawdown | -36.08% | -29.55% |
| Longest DD Days | 1027 | 761 |
| Volatility (ann.) | 32.55% | 36.09% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.31 | 0.14 |
| Skew | -1.59 | 0.54 |
| Kurtosis | 13.44 | 14.37 |
| Expected Daily | -0.11% | 0.04% |
| Expected Monthly | -0.97% | 0.34% |
| Expected Yearly | -8.14% | 2.98% |
| Kelly Criterion | -42.36% | -29.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.47% | -3.67% |
| Expected Shortfall (cVaR) | -3.47% | -3.67% |
| Max Consecutive Wins | 5 | 4 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | -0.12 | 0.22 |
| Gain/Pain (1M) | -0.62 | 0.22 |
| Payoff Ratio | 0.6 | 0.6 |
| Profit Factor | 0.88 | 1.22 |
| Common Sense Ratio | 0.87 | 2.59 |
| CPC Index | 0.24 | 0.38 |
| Tail Ratio | 1.0 | 2.13 |
| Outlier Win Ratio | 6.36 | 19.77 |
| Outlier Loss Ratio | 4.04 | 1.24 |
| MTD | 0.0% | 7.52% |
| 3M | 0.0% | 8.14% |
| 6M | 0.0% | 0.43% |
| YTD | 0.0% | 18.72% |
| 1Y | 0.0% | 27.02% |
| 3Y (ann.) | -11.36% | 4.26% |
| 5Y (ann.) | -11.36% | 4.26% |
| 10Y (ann.) | -11.36% | 4.26% |
| All-time (ann.) | -11.36% | 4.26% |
| 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% | -12.13% |
| Avg. Drawdown Days | 1027 | 221 |
| Recovery Factor | -0.8 | 0.42 |
| Ulcer Index | 0.25 | 0.21 |
| Serenity Index | -0.08 | 0.02 |
| Avg. Up Month | 1.67% | 5.07% |
| Avg. Down Month | -4.81% | -8.13% |
| Win Days | 46.69% | 51.43% |
| Win Month | 28.57% | 52.94% |
| Win Quarter | 33.33% | 58.33% |
| Win Year | 33.33% | 50.0% |
| Beta | 0.03 | - |
| Alpha | -0.24 | - |
| Correlation | 3.26% | - |
| Treynor Ratio | -1216.67% | - |
| 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 | 18.72 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-11 | 2024-09-03 | -36.08 | 1027 |