| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 89.0% | 12.0% |
| Cumulative Return | -43.03% | -17.61% |
| CAGR﹪ | -19.03% | -7.01% |
| Sharpe | -1.25 | -0.15 |
| Prob. Sharpe Ratio | 0.65% | 11.48% |
| Smart Sharpe | -1.23 | -0.15 |
| Sortino | -1.53 | -0.25 |
| Smart Sortino | -1.52 | -0.25 |
| Sortino/√2 | -1.08 | -0.18 |
| Smart Sortino/√2 | -1.07 | -0.18 |
| Omega | 0.78 | 0.78 |
| Max Drawdown | -49.26% | -52.72% |
| Longest DD Days | 970 | 965 |
| Volatility (ann.) | 39.4% | 57.44% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.39 | -0.13 |
| Skew | -2.42 | 3.7 |
| Kurtosis | 21.7 | 46.47 |
| Expected Daily | -0.2% | -0.07% |
| Expected Monthly | -1.69% | -0.59% |
| Expected Yearly | -13.12% | -4.73% |
| Kelly Criterion | -8.21% | -17.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.25% | -5.96% |
| Expected Shortfall (cVaR) | -4.25% | -5.96% |
| Max Consecutive Wins | 6 | 3 |
| Max Consecutive Losses | 12 | 3 |
| Gain/Pain Ratio | -0.19 | -0.02 |
| Gain/Pain (1M) | -0.69 | -0.02 |
| Payoff Ratio | 1.07 | 0.86 |
| Profit Factor | 0.81 | 0.98 |
| Common Sense Ratio | 0.76 | 0.26 |
| CPC Index | 0.38 | 0.39 |
| Tail Ratio | 0.93 | 0.27 |
| Outlier Win Ratio | 6.31 | 18.05 |
| Outlier Loss Ratio | 4.65 | 1.13 |
| MTD | 0.0% | 7.08% |
| 3M | 0.0% | -4.47% |
| 6M | 0.0% | 4.17% |
| YTD | 0.0% | 17.74% |
| 1Y | 0.0% | 45.93% |
| 3Y (ann.) | -19.03% | -7.01% |
| 5Y (ann.) | -19.03% | -7.01% |
| 10Y (ann.) | -19.03% | -7.01% |
| All-time (ann.) | -19.03% | -7.01% |
| Best Day | 7.04% | 37.46% |
| Worst Day | -22.05% | -16.33% |
| Best Month | 8.95% | 37.46% |
| Worst Month | -22.05% | -16.33% |
| Best Year | 4.77% | 37.55% |
| Worst Year | -43.23% | -39.2% |
| Avg. Drawdown | -49.26% | -52.72% |
| Avg. Drawdown Days | 970 | 965 |
| Recovery Factor | -0.87 | -0.33 |
| Ulcer Index | 0.38 | 0.42 |
| Serenity Index | -0.06 | -0.03 |
| Avg. Up Month | 0.18% | 10.52% |
| Avg. Down Month | -10.53% | -8.26% |
| Win Days | 43.95% | 45.45% |
| Win Month | 28.57% | 43.75% |
| Win Quarter | 16.67% | 50.0% |
| Win Year | 33.33% | 50.0% |
| Beta | 0.01 | - |
| Alpha | -0.42 | - |
| Correlation | 1.49% | - |
| Treynor Ratio | -4888.42% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -16.33 | -4.22 | 0.26 | + |
| 2022 | -39.20 | -43.23 | 1.10 | - |
| 2023 | 37.55 | 4.77 | 0.13 | - |
| 2024 | 17.74 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-26 | 2024-07-23 | -49.26 | 970 |