| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -12.99% | 8.6% |
| CAGR﹪ | -6.68% | 4.19% |
| Sharpe | 0.03 | 8.26 |
| Prob. Sharpe Ratio | 51.38% | 100.0% |
| Smart Sharpe | 0.03 | 7.84 |
| Sortino | 0.04 | 47.49 |
| Smart Sortino | 0.04 | 45.09 |
| Sortino/√2 | 0.03 | 33.58 |
| Smart Sortino/√2 | 0.03 | 31.88 |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -42.86% | -1.25% |
| Longest DD Days | 476 | 209 |
| Volatility (ann.) | 50.92% | 0.83% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.16 | 3.34 |
| Skew | 0.42 | 6.82 |
| Kurtosis | 43.43 | 67.71 |
| Expected Daily | -0.05% | 0.03% |
| Expected Monthly | -0.77% | 0.46% |
| Expected Yearly | -4.53% | 2.79% |
| Kelly Criterion | -9.65% | 68.6% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.27% | -0.06% |
| Expected Shortfall (cVaR) | -5.27% | -0.06% |
| Max Consecutive Wins | 8 | 157 |
| Max Consecutive Losses | 9 | 65 |
| Gain/Pain Ratio | 0.01 | 6.53 |
| Gain/Pain (1M) | 0.02 | 6.53 |
| Payoff Ratio | 0.86 | 2.13 |
| Profit Factor | 1.01 | 7.53 |
| Common Sense Ratio | 1.07 | 21.49 |
| CPC Index | 0.43 | 12.64 |
| Tail Ratio | 1.06 | 2.85 |
| Outlier Win Ratio | 1.52 | 65.66 |
| Outlier Loss Ratio | 1.6 | 139.3 |
| MTD | -19.6% | 1.11% |
| 3M | -3.75% | 2.84% |
| 6M | -3.75% | 2.84% |
| YTD | 5.57% | 4.18% |
| 1Y | 22.36% | 5.36% |
| 3Y (ann.) | -6.68% | 4.19% |
| 5Y (ann.) | -6.68% | 4.19% |
| 10Y (ann.) | -6.68% | 4.19% |
| All-time (ann.) | -6.68% | 4.19% |
| Best Day | 30.41% | 0.55% |
| Worst Day | -25.6% | -0.02% |
| Best Month | 30.73% | 1.17% |
| Worst Month | -25.6% | -0.52% |
| Best Year | 5.57% | 4.18% |
| Worst Year | -18.31% | 1.79% |
| Avg. Drawdown | -11.11% | -1.25% |
| Avg. Drawdown Days | 77 | 209 |
| Recovery Factor | -0.3 | 6.85 |
| Ulcer Index | 0.25 | 0.01 |
| Serenity Index | -0.04 | 0.66 |
| Avg. Up Month | 7.1% | 0.74% |
| Avg. Down Month | -22.25% | -0.35% |
| Win Days | 49.17% | 78.62% |
| Win Month | 70.59% | 82.35% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -12.04 | - |
| Alpha | 0.84 | - |
| Correlation | -19.52% | - |
| Treynor Ratio | 1.08% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.79 | 0.89 | 0.50 | - |
| 2022 | 2.41 | -18.31 | -7.60 | - |
| 2023 | 4.18 | 5.57 | 1.33 | + |
| 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 |