| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 88.0% | 12.0% |
| Cumulative Return | -5.56% | 23.03% |
| CAGR﹪ | -2.1% | 7.98% |
| Sharpe | -0.32 | 0.58 |
| Prob. Sharpe Ratio | 10.7% | 38.53% |
| Smart Sharpe | -0.26 | 0.46 |
| Sortino | -0.43 | 0.93 |
| Smart Sortino | -0.34 | 0.73 |
| Sortino/√2 | -0.3 | 0.66 |
| Smart Sortino/√2 | -0.24 | 0.52 |
| Omega | 0.94 | 0.94 |
| Max Drawdown | -26.43% | -20.41% |
| Longest DD Days | 978 | 365 |
| Volatility (ann.) | 26.08% | 26.25% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.08 | 0.39 |
| Skew | -1.31 | 0.83 |
| Kurtosis | 12.27 | 24.13 |
| Expected Daily | -0.02% | 0.07% |
| Expected Monthly | -0.17% | 0.63% |
| Expected Yearly | -1.42% | 5.32% |
| Kelly Criterion | 9.37% | 25.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.71% | -2.63% |
| Expected Shortfall (cVaR) | -2.71% | -2.63% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 6 | 3 |
| Gain/Pain Ratio | -0.01 | 0.49 |
| Gain/Pain (1M) | -0.05 | 0.49 |
| Payoff Ratio | 1.36 | 1.31 |
| Profit Factor | 0.99 | 1.49 |
| Common Sense Ratio | 1.08 | - |
| CPC Index | 0.64 | 1.13 |
| Tail Ratio | 1.09 | - |
| Outlier Win Ratio | 6.22 | 21.39 |
| Outlier Loss Ratio | 3.98 | 1.28 |
| MTD | 0.0% | -3.81% |
| 3M | 0.0% | -1.14% |
| 6M | 0.0% | 5.97% |
| YTD | 0.0% | 7.77% |
| 1Y | 0.0% | 9.36% |
| 3Y (ann.) | -2.1% | 7.98% |
| 5Y (ann.) | -2.1% | 7.98% |
| 10Y (ann.) | -2.1% | 7.98% |
| All-time (ann.) | -2.1% | 7.98% |
| Best Day | 7.26% | 10.2% |
| Worst Day | -12.0% | -11.7% |
| Best Month | 11.3% | 10.2% |
| Worst Month | -9.84% | -11.7% |
| Best Year | 7.98% | 19.48% |
| Worst Year | -9.42% | -2.41% |
| Avg. Drawdown | -13.27% | -7.0% |
| Avg. Drawdown Days | 490 | 108 |
| Recovery Factor | -0.21 | 1.13 |
| Ulcer Index | 0.14 | 0.11 |
| Serenity Index | -0.06 | 0.13 |
| Avg. Up Month | 6.3% | 9.47% |
| Avg. Down Month | -6.73% | -4.03% |
| Win Days | 47.77% | 57.58% |
| Win Month | 46.15% | 59.38% |
| Win Quarter | 33.33% | 66.67% |
| Win Year | 33.33% | 50.0% |
| Beta | 0.06 | - |
| Alpha | -0.03 | - |
| Correlation | 6.37% | - |
| Treynor Ratio | -198.51% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -2.09 | -3.44 | 1.65 | - |
| 2022 | -2.41 | -9.42 | 3.91 | - |
| 2023 | 19.48 | 7.98 | 0.41 | - |
| 2024 | 7.77 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-18 | 2024-07-23 | -26.43 | 978 |
| 2021-11-16 | 2021-11-17 | -0.10 | 1 |