| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 88.0% | 12.0% |
| Cumulative Return | -17.94% | 2.3% |
| CAGR﹪ | -7.06% | 0.85% |
| Sharpe | -0.8 | -0.05 |
| Prob. Sharpe Ratio | 3.94% | 16.65% |
| Smart Sharpe | -0.67 | -0.04 |
| Sortino | -1.1 | -0.07 |
| Smart Sortino | -0.92 | -0.06 |
| Sortino/√2 | -0.78 | -0.05 |
| Smart Sortino/√2 | -0.65 | -0.04 |
| Omega | 0.87 | 0.87 |
| Max Drawdown | -27.75% | -22.35% |
| Longest DD Days | 984 | 913 |
| Volatility (ann.) | 25.88% | 26.62% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.25 | 0.04 |
| Skew | 0.15 | 0.57 |
| Kurtosis | 0.95 | 19.19 |
| Expected Daily | -0.07% | 0.01% |
| Expected Monthly | -0.6% | 0.07% |
| Expected Yearly | -4.82% | 0.57% |
| Kelly Criterion | -58.55% | 24.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.74% | -2.74% |
| Expected Shortfall (cVaR) | -2.74% | -2.74% |
| Max Consecutive Wins | 5 | 5 |
| Max Consecutive Losses | 6 | 3 |
| Gain/Pain Ratio | -0.09 | 0.1 |
| Gain/Pain (1M) | -0.39 | 0.1 |
| Payoff Ratio | 0.47 | 1.81 |
| Profit Factor | 0.91 | 1.1 |
| Common Sense Ratio | 0.83 | 7.4 |
| CPC Index | 0.21 | 1.03 |
| Tail Ratio | 0.91 | 6.72 |
| Outlier Win Ratio | 5.52 | 22.77 |
| Outlier Loss Ratio | 3.72 | 1.34 |
| MTD | 0.0% | 1.62% |
| 3M | 0.0% | 4.41% |
| 6M | 0.0% | 6.54% |
| YTD | 0.0% | 7.33% |
| 1Y | 0.0% | 10.58% |
| 3Y (ann.) | -7.06% | 0.85% |
| 5Y (ann.) | -7.06% | 0.85% |
| 10Y (ann.) | -7.06% | 0.85% |
| All-time (ann.) | -7.06% | 0.85% |
| Best Day | 5.4% | 11.09% |
| Worst Day | -5.32% | -9.09% |
| Best Month | 8.24% | 11.09% |
| Worst Month | -9.69% | -9.09% |
| Best Year | 2.22% | 12.2% |
| Worst Year | -12.72% | -9.47% |
| Avg. Drawdown | -27.75% | -11.26% |
| Avg. Drawdown Days | 984 | 456 |
| Recovery Factor | -0.65 | 0.1 |
| Ulcer Index | 0.17 | 0.15 |
| Serenity Index | -0.09 | -0.02 |
| Avg. Up Month | 0.11% | 1.5% |
| Avg. Down Month | -4.01% | -4.7% |
| Win Days | 49.01% | 51.52% |
| Win Month | 42.86% | 53.12% |
| Win Quarter | 33.33% | 41.67% |
| Win Year | 33.33% | 50.0% |
| Beta | 0.06 | - |
| Alpha | -0.14 | - |
| Correlation | 5.91% | - |
| Treynor Ratio | -434.13% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -6.16 | -8.03 | 1.30 | - |
| 2022 | -9.47 | -12.72 | 1.34 | - |
| 2023 | 12.20 | 2.22 | 0.18 | - |
| 2024 | 7.33 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-12 | 2024-07-23 | -27.75 | 984 |