| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -12.99% | 12.61% |
| CAGR﹪ | -6.68% | 6.08% |
| Sharpe | 0.03 | 9.78 |
| Prob. Sharpe Ratio | 51.39% | 100.0% |
| Smart Sharpe | 0.03 | 9.27 |
| Sortino | 0.05 | - |
| Smart Sortino | 0.04 | - |
| Sortino/√2 | 0.03 | - |
| Smart Sortino/√2 | 0.03 | - |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -42.86% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 51.02% | 1.01% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.16 | - |
| Skew | 0.42 | 10.0 |
| Kurtosis | 43.21 | 106.19 |
| Expected Daily | -0.05% | 0.04% |
| Expected Monthly | -0.77% | 0.66% |
| Expected Yearly | -4.53% | 4.04% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.28% | -0.07% |
| Expected Shortfall (cVaR) | -5.28% | -0.07% |
| Max Consecutive Wins | 8 | 303 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | 0.01 | - |
| Gain/Pain (1M) | 0.02 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.01 | - |
| Common Sense Ratio | 1.07 | - |
| CPC Index | - | - |
| Tail Ratio | 1.06 | 1.84 |
| Outlier Win Ratio | 1.51 | 66.61 |
| Outlier Loss Ratio | 1.59 | - |
| MTD | -19.6% | 1.13% |
| 3M | -3.75% | 3.01% |
| 6M | -3.75% | 3.01% |
| YTD | 5.57% | 4.37% |
| 1Y | 22.36% | 5.68% |
| 3Y (ann.) | -6.68% | 6.08% |
| 5Y (ann.) | -6.68% | 6.08% |
| 10Y (ann.) | -6.68% | 6.08% |
| All-time (ann.) | -6.68% | 6.08% |
| Best Day | 30.41% | 0.82% |
| Worst Day | -25.6% | 0.0% |
| Best Month | 30.73% | 1.13% |
| Worst Month | -25.6% | 0.0% |
| Best Year | 5.57% | 6.57% |
| Worst Year | -18.31% | 1.25% |
| Avg. Drawdown | -11.11% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.3 | - |
| Ulcer Index | 0.25 | 0.0 |
| Serenity Index | -0.04 | - |
| Avg. Up Month | 7.43% | 0.65% |
| Avg. Down Month | - | - |
| Win Days | 49.0% | 100.0% |
| Win Month | 70.59% | 100.0% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -23.66 | - |
| Alpha | 2.35 | - |
| Correlation | -46.71% | - |
| Treynor Ratio | 0.55% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.25 | 0.89 | 0.72 | - |
| 2022 | 6.57 | -18.31 | -2.79 | - |
| 2023 | 4.37 | 5.57 | 1.27 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-05-31 | 2023-09-19 | -42.86 | 476 |
| 2023-10-12 | 2023-11-02 | -28.81 | 21 |
| 2021-11-15 | 2022-02-25 | -10.00 | 102 |
| 2023-10-09 | 2023-10-10 | -2.40 | 1 |
| 2023-09-20 | 2023-09-29 | -2.20 | 9 |
| 2023-10-03 | 2023-10-06 | -1.45 | 3 |
| 2021-11-09 | 2021-11-10 | -0.76 | 1 |
| 2021-11-05 | 2021-11-08 | -0.41 | 3 |