| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -44.74% | 15.7% |
| CAGR﹪ | -26.06% | 7.71% |
| Sharpe | -0.51 | 10.77 |
| Prob. Sharpe Ratio | 24.53% | 100.0% |
| Smart Sharpe | -0.5 | 10.58 |
| Sortino | -0.59 | - |
| Smart Sortino | -0.58 | - |
| Sortino/√2 | -0.42 | - |
| Smart Sortino/√2 | -0.41 | - |
| Omega | 0.89 | 0.89 |
| Max Drawdown | -62.39% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 48.76% | 0.88% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.42 | - |
| Skew | -5.85 | 11.66 |
| Kurtosis | 72.94 | 142.01 |
| Expected Daily | -0.15% | 0.04% |
| Expected Monthly | -2.78% | 0.7% |
| Expected Yearly | -17.94% | 4.98% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.15% | -0.05% |
| Expected Shortfall (cVaR) | -5.15% | -0.05% |
| Max Consecutive Wins | 11 | 385 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | -0.11 | - |
| Gain/Pain (1M) | -0.28 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.89 | - |
| Common Sense Ratio | 0.88 | - |
| CPC Index | - | - |
| Tail Ratio | 0.98 | 1.86 |
| Outlier Win Ratio | 1.73 | 73.48 |
| Outlier Loss Ratio | 1.6 | - |
| MTD | -13.79% | 1.13% |
| 3M | -30.68% | 3.8% |
| 6M | 0.2% | 5.9% |
| YTD | 12.23% | 7.29% |
| 1Y | 21.14% | 8.64% |
| 3Y (ann.) | -26.06% | 7.71% |
| 5Y (ann.) | -26.06% | 7.71% |
| 10Y (ann.) | -26.06% | 7.71% |
| All-time (ann.) | -26.06% | 7.71% |
| Best Day | 9.64% | 0.82% |
| Worst Day | -39.7% | 0.0% |
| Best Month | 29.6% | 1.13% |
| Worst Month | -39.7% | 0.55% |
| Best Year | 12.23% | 7.29% |
| Worst Year | -46.24% | 1.2% |
| Avg. Drawdown | -62.39% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.72 | - |
| Ulcer Index | 0.41 | 0.0 |
| Serenity Index | -0.05 | - |
| Avg. Up Month | 11.17% | 0.66% |
| Avg. Down Month | - | - |
| Win Days | 50.13% | 100.0% |
| Win Month | 42.86% | 100.0% |
| Win Quarter | 55.56% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | -32.29 | - |
| Alpha | 2.83 | - |
| Correlation | -58.57% | - |
| Treynor Ratio | 1.39% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.20 | -8.40 | -7.02 | - |
| 2022 | 6.57 | -46.24 | -7.04 | - |
| 2023 | 7.29 | 12.23 | 1.68 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-16 | 2023-11-02 | -62.39 | 716 |