| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 95.0% |
| Cumulative Return | -17.27% | -15.56% |
| CAGR﹪ | -9.17% | -8.22% |
| Sharpe | -4.09 | -9.31 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.88 | -8.82 |
| Sortino | -4.98 | -8.56 |
| Smart Sortino | -4.73 | -8.12 |
| Sortino/√2 | -3.52 | -6.05 |
| Smart Sortino/√2 | -3.34 | -5.74 |
| Omega | 0.39 | 0.39 |
| Max Drawdown | -42.86% | -25.38% |
| Longest DD Days | 476 | 716 |
| Volatility (ann.) | 51.73% | 23.68% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -0.21 | -0.32 |
| Skew | 0.43 | -0.54 |
| Kurtosis | 42.12 | 2.82 |
| Expected Daily | -0.06% | -0.06% |
| Expected Monthly | -1.11% | -0.99% |
| Expected Yearly | -6.13% | -5.48% |
| Kelly Criterion | 9.51% | -6.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.37% | -2.5% |
| Expected Shortfall (cVaR) | -5.37% | -2.5% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 9 | 6 |
| Gain/Pain Ratio | -0.01 | -0.08 |
| Gain/Pain (1M) | -0.03 | -0.31 |
| Payoff Ratio | 1.34 | 0.96 |
| Profit Factor | 0.99 | 0.92 |
| Common Sense Ratio | 1.08 | 0.91 |
| CPC Index | 0.64 | 0.42 |
| Tail Ratio | 1.09 | 0.99 |
| Outlier Win Ratio | 2.45 | 4.06 |
| Outlier Loss Ratio | 2.78 | 3.97 |
| MTD | -19.6% | 2.69% |
| 3M | -3.75% | 2.81% |
| 6M | -3.75% | 2.81% |
| YTD | 5.57% | 4.73% |
| 1Y | 22.36% | 6.73% |
| 3Y (ann.) | -9.17% | -8.22% |
| 5Y (ann.) | -9.17% | -8.22% |
| 10Y (ann.) | -9.17% | -8.22% |
| All-time (ann.) | -9.17% | -8.22% |
| Best Day | 30.41% | 4.65% |
| Worst Day | -25.6% | -7.91% |
| Best Month | 30.73% | 9.34% |
| Worst Month | -25.6% | -8.08% |
| Best Year | 5.57% | 4.73% |
| Worst Year | -18.31% | -12.91% |
| Avg. Drawdown | -14.62% | -25.38% |
| Avg. Drawdown Days | 102 | 716 |
| Recovery Factor | -0.4 | -0.61 |
| Ulcer Index | 0.25 | 0.16 |
| Serenity Index | -2.1 | -2.76 |
| Avg. Up Month | 10.68% | 5.28% |
| Avg. Down Month | -11.44% | -6.34% |
| Win Days | 48.11% | 48.21% |
| Win Month | 64.71% | 41.18% |
| Win Quarter | 62.5% | 37.5% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.63 | - |
| Alpha | 0.05 | - |
| Correlation | 28.71% | - |
| Treynor Ratio | -1143.7% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -7.43 | -4.07 | 0.55 | + |
| 2022 | -12.91 | -18.31 | 1.42 | - |
| 2023 | 4.73 | 5.57 | 1.18 | + |
| 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 |