| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | -12.85% | 8.86% |
| CAGR﹪ | -12.88% | 8.89% |
| Sharpe | -0.63 | 22.19 |
| Prob. Sharpe Ratio | 26.4% | 100.0% |
| Smart Sharpe | -0.56 | 19.92 |
| Sortino | -0.86 | - |
| Smart Sortino | -0.77 | - |
| Sortino/√2 | -0.61 | - |
| Smart Sortino/√2 | -0.55 | - |
| Omega | 0.89 | 0.89 |
| Max Drawdown | -25.78% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 18.8% | 0.38% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.5 | - |
| Skew | 0.04 | 4.93 |
| Kurtosis | 1.82 | 29.47 |
| Expected Daily | -0.05% | 0.03% |
| Expected Monthly | -1.05% | 0.66% |
| Expected Yearly | -6.65% | 4.34% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.99% | -0.01% |
| Expected Shortfall (cVaR) | -1.99% | -0.01% |
| Max Consecutive Wins | 8 | 254 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.11 | - |
| Gain/Pain (1M) | -0.34 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.89 | - |
| Common Sense Ratio | 0.79 | - |
| CPC Index | - | - |
| Tail Ratio | 0.88 | 5.43 |
| Outlier Win Ratio | 2.31 | 51.93 |
| Outlier Loss Ratio | 1.64 | - |
| MTD | -0.34% | 0.49% |
| 3M | -9.61% | 1.8% |
| 6M | -25.28% | 4.08% |
| YTD | -12.67% | 7.08% |
| 1Y | -12.85% | 8.86% |
| 3Y (ann.) | -12.88% | 8.89% |
| 5Y (ann.) | -12.88% | 8.89% |
| 10Y (ann.) | -12.88% | 8.89% |
| All-time (ann.) | -12.88% | 8.89% |
| Best Day | 4.08% | 0.18% |
| Worst Day | -4.14% | 0.0% |
| Best Month | 7.96% | 1.14% |
| Worst Month | -11.31% | 0.2% |
| Best Year | -0.2% | 7.08% |
| Worst Year | -12.67% | 1.66% |
| Avg. Drawdown | -2.93% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.5 | - |
| Ulcer Index | 0.12 | 0.0 |
| Serenity Index | -0.06 | - |
| Avg. Up Month | 3.34% | 0.61% |
| Avg. Down Month | - | - |
| Win Days | 51.03% | 100.0% |
| Win Month | 53.85% | 100.0% |
| Win Quarter | 20.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | -1.3 | - |
| Alpha | -0.01 | - |
| Correlation | -2.61% | - |
| Treynor Ratio | 9.92% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 1.66 | -0.20 | -0.12 | - |
| 2024 | 7.08 | -12.67 | -1.79 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-17 | 2024-11-21 | -25.78 | 188 |
| 2023-11-27 | 2023-12-27 | -7.67 | 30 |
| 2024-02-08 | 2024-03-01 | -3.52 | 22 |
| 2024-04-16 | 2024-05-10 | -1.99 | 24 |
| 2024-03-13 | 2024-03-26 | -1.63 | 13 |
| 2024-01-18 | 2024-01-22 | -0.66 | 4 |
| 2023-12-28 | 2024-01-03 | -0.60 | 6 |
| 2024-01-24 | 2024-01-29 | -0.47 | 5 |
| 2024-01-09 | 2024-01-10 | -0.39 | 1 |
| 2024-04-04 | 2024-04-08 | -0.35 | 4 |