| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 88.0% | 13.0% |
| Cumulative Return | -43.03% | -20.69% |
| CAGR﹪ | -18.32% | -8.0% |
| Sharpe | -1.25 | -0.21 |
| Prob. Sharpe Ratio | 0.64% | 10.47% |
| Smart Sharpe | -1.23 | -0.2 |
| Sortino | -1.53 | -0.34 |
| Smart Sortino | -1.51 | -0.34 |
| Sortino/√2 | -1.08 | -0.24 |
| Smart Sortino/√2 | -1.07 | -0.24 |
| Omega | 0.78 | 0.78 |
| Max Drawdown | -49.26% | -52.72% |
| Longest DD Days | 1012 | 1007 |
| Volatility (ann.) | 39.26% | 57.64% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.37 | -0.15 |
| Skew | -2.43 | 3.65 |
| Kurtosis | 21.87 | 45.53 |
| Expected Daily | -0.2% | -0.08% |
| Expected Monthly | -1.59% | -0.66% |
| Expected Yearly | -13.12% | -5.63% |
| Kelly Criterion | -8.21% | -23.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.23% | -5.99% |
| Expected Shortfall (cVaR) | -4.23% | -5.99% |
| Max Consecutive Wins | 6 | 3 |
| Max Consecutive Losses | 12 | 3 |
| Gain/Pain Ratio | -0.19 | -0.04 |
| Gain/Pain (1M) | -0.69 | -0.04 |
| Payoff Ratio | 1.07 | 0.86 |
| Profit Factor | 0.81 | 0.96 |
| Common Sense Ratio | 0.76 | 0.18 |
| CPC Index | 0.38 | 0.35 |
| Tail Ratio | 0.93 | 0.18 |
| Outlier Win Ratio | 6.4 | 17.62 |
| Outlier Loss Ratio | 4.65 | 1.19 |
| MTD | 0.0% | 3.53% |
| 3M | 0.0% | 3.08% |
| 6M | 0.0% | -3.56% |
| YTD | 0.0% | 13.34% |
| 1Y | 0.0% | 35.73% |
| 3Y (ann.) | -18.32% | -8.0% |
| 5Y (ann.) | -18.32% | -8.0% |
| 10Y (ann.) | -18.32% | -8.0% |
| All-time (ann.) | -18.32% | -8.0% |
| 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 | 1012 | 1007 |
| Recovery Factor | -0.87 | -0.39 |
| Ulcer Index | 0.38 | 0.42 |
| Serenity Index | -0.06 | -0.04 |
| Avg. Up Month | 0.18% | 10.52% |
| Avg. Down Month | -10.53% | -8.26% |
| Win Days | 43.95% | 42.86% |
| Win Month | 28.57% | 44.12% |
| Win Quarter | 16.67% | 50.0% |
| Win Year | 33.33% | 50.0% |
| Beta | 0.01 | - |
| Alpha | -0.42 | - |
| Correlation | 1.46% | - |
| Treynor Ratio | -5036.97% | - |
| 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 | 13.34 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-26 | 2024-09-03 | -49.26 | 1012 |