| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -2.95% | 10.14% |
| CAGR﹪ | -1.5% | 4.99% |
| Sharpe | 0.25 | 8.89 |
| Prob. Sharpe Ratio | 61.68% | 100.0% |
| Smart Sharpe | 0.23 | 8.13 |
| Sortino | 0.31 | 47.26 |
| Smart Sortino | 0.28 | 43.21 |
| Sortino/√2 | 0.22 | 33.42 |
| Smart Sortino/√2 | 0.2 | 30.55 |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -52.08% | -1.25% |
| Longest DD Days | 498 | 200 |
| Volatility (ann.) | 50.39% | 0.72% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -0.03 | 3.98 |
| Skew | -5.33 | 8.12 |
| Kurtosis | 72.81 | 93.59 |
| Expected Daily | -0.01% | 0.03% |
| Expected Monthly | -0.15% | 0.48% |
| Expected Yearly | -0.99% | 3.27% |
| Kelly Criterion | -65.12% | 74.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.17% | -0.05% |
| Expected Shortfall (cVaR) | -5.17% | -0.05% |
| Max Consecutive Wins | 11 | 243 |
| Max Consecutive Losses | 5 | 58 |
| Gain/Pain Ratio | 0.06 | 7.65 |
| Gain/Pain (1M) | 0.19 | 7.65 |
| Payoff Ratio | 0.4 | 1.5 |
| Profit Factor | 1.06 | 8.65 |
| Common Sense Ratio | 1.15 | 24.68 |
| CPC Index | 0.22 | 11.0 |
| Tail Ratio | 1.08 | 2.85 |
| Outlier Win Ratio | 1.55 | 76.5 |
| Outlier Loss Ratio | 1.79 | 151.39 |
| MTD | -11.4% | 1.11% |
| 3M | -19.98% | 3.11% |
| 6M | 5.45% | 4.48% |
| YTD | 20.98% | 5.84% |
| 1Y | 59.56% | 7.04% |
| 3Y (ann.) | -1.5% | 4.99% |
| 5Y (ann.) | -1.5% | 4.99% |
| 10Y (ann.) | -1.5% | 4.99% |
| All-time (ann.) | -1.5% | 4.99% |
| Best Day | 13.83% | 0.55% |
| Worst Day | -40.6% | -0.03% |
| Best Month | 24.39% | 1.17% |
| Worst Month | -48.12% | -0.52% |
| Best Year | 20.98% | 5.84% |
| Worst Year | -19.22% | 1.73% |
| Avg. Drawdown | -6.6% | -1.25% |
| Avg. Drawdown Days | 40 | 200 |
| Recovery Factor | -0.06 | 8.08 |
| Ulcer Index | 0.26 | 0.01 |
| Serenity Index | -0.01 | 0.84 |
| Avg. Up Month | 8.11% | 0.6% |
| Avg. Down Month | -28.15% | -0.44% |
| Win Days | 52.7% | 84.62% |
| Win Month | 65.0% | 85.0% |
| Win Quarter | 55.56% | 77.78% |
| Win Year | 33.33% | 100.0% |
| Beta | -4.86 | - |
| Alpha | 0.44 | - |
| Correlation | -6.99% | - |
| Treynor Ratio | 0.61% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.69 | -0.40 | - |
| 2022 | 2.29 | -19.22 | -8.40 | - |
| 2023 | 5.84 | 20.98 | 3.59 | + |
| 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 |