| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -2.95% | 14.77% |
| CAGR﹪ | -1.5% | 7.19% |
| Sharpe | 0.25 | 14.63 |
| Prob. Sharpe Ratio | 61.68% | 99.98% |
| Smart Sharpe | 0.23 | 13.38 |
| Sortino | 0.31 | - |
| Smart Sortino | 0.28 | - |
| Sortino/√2 | 0.22 | - |
| Smart Sortino/√2 | 0.2 | - |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -52.08% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 50.39% | 0.63% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | -0.03 | - |
| Skew | -5.33 | 12.75 |
| Kurtosis | 72.81 | 169.12 |
| Expected Daily | -0.01% | 0.04% |
| Expected Monthly | -0.15% | 0.69% |
| Expected Yearly | -0.99% | 4.7% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.17% | -0.03% |
| Expected Shortfall (cVaR) | -5.17% | -0.03% |
| Max Consecutive Wins | 11 | 377 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.06 | - |
| Gain/Pain (1M) | 0.19 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.06 | - |
| Common Sense Ratio | 1.15 | - |
| CPC Index | - | - |
| Tail Ratio | 1.08 | 1.86 |
| Outlier Win Ratio | 1.56 | 71.72 |
| Outlier Loss Ratio | 1.78 | - |
| MTD | -11.4% | 1.13% |
| 3M | -19.98% | 3.8% |
| 6M | 5.45% | 5.9% |
| YTD | 20.98% | 7.29% |
| 1Y | 59.56% | 8.64% |
| 3Y (ann.) | -1.5% | 7.19% |
| 5Y (ann.) | -1.5% | 7.19% |
| 10Y (ann.) | -1.5% | 7.19% |
| All-time (ann.) | -1.5% | 7.19% |
| Best Day | 13.83% | 0.57% |
| Worst Day | -40.6% | 0.0% |
| Best Month | 24.39% | 1.13% |
| Worst Month | -48.12% | 0.55% |
| Best Year | 20.98% | 7.29% |
| Worst Year | -19.22% | 1.21% |
| Avg. Drawdown | -6.6% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.06 | - |
| Ulcer Index | 0.26 | 0.0 |
| Serenity Index | -0.01 | - |
| Avg. Up Month | 9.36% | 0.66% |
| Avg. Down Month | - | - |
| Win Days | 52.7% | 100.0% |
| Win Month | 65.0% | 100.0% |
| Win Quarter | 55.56% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | -11.16 | - |
| Alpha | 1.15 | - |
| Correlation | -13.91% | - |
| Treynor Ratio | 0.26% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.21 | -0.69 | -0.57 | - |
| 2022 | 5.69 | -19.22 | -3.38 | - |
| 2023 | 7.29 | 20.98 | 2.88 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2023-05-19 | -52.08 | 498 |
| 2023-08-14 | 2023-11-02 | -25.19 | 80 |
| 2021-11-23 | 2022-01-05 | -8.16 | 43 |
| 2023-07-03 | 2023-07-07 | -5.10 | 4 |
| 2023-06-15 | 2023-06-26 | -4.19 | 11 |
| 2023-07-17 | 2023-07-28 | -3.10 | 11 |
| 2023-06-09 | 2023-06-13 | -2.47 | 4 |
| 2023-05-22 | 2023-05-29 | -2.10 | 7 |
| 2023-06-05 | 2023-06-07 | -2.06 | 2 |
| 2021-11-17 | 2021-11-22 | -1.44 | 5 |