| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | -6.21% | 17.67% |
| CAGR﹪ | -13.94% | 46.34% |
| Sharpe | -0.46 | 1.26 |
| Prob. Sharpe Ratio | 17.55% | 60.48% |
| Smart Sharpe | -0.42 | 1.15 |
| Sortino | -0.54 | 1.87 |
| Smart Sortino | -0.5 | 1.71 |
| Sortino/√2 | -0.38 | 1.32 |
| Smart Sortino/√2 | -0.35 | 1.21 |
| Omega | 0.91 | 0.91 |
| Max Drawdown | -32.43% | -20.59% |
| Longest DD Days | 91 | 80 |
| Volatility (ann.) | 33.48% | 26.57% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | -0.43 | 2.25 |
| Skew | -3.41 | 0.06 |
| Kurtosis | 23.82 | 0.93 |
| Expected Daily | -0.06% | 0.15% |
| Expected Monthly | -0.91% | 2.35% |
| Expected Yearly | -6.21% | 17.67% |
| Kelly Criterion | -0.01% | 11.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.5% | -2.59% |
| Expected Shortfall (cVaR) | -3.5% | -2.59% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 9 | 6 |
| Gain/Pain Ratio | -0.05 | 0.28 |
| Gain/Pain (1M) | -0.11 | 0.95 |
| Payoff Ratio | 0.93 | 0.81 |
| Profit Factor | 0.95 | 1.28 |
| Common Sense Ratio | 1.03 | 1.27 |
| CPC Index | 0.46 | 0.63 |
| Tail Ratio | 1.08 | 0.99 |
| Outlier Win Ratio | 3.08 | 3.04 |
| Outlier Loss Ratio | 3.01 | 3.1 |
| MTD | -13.79% | 6.48% |
| 3M | -30.68% | -12.42% |
| 6M | -6.21% | 17.67% |
| YTD | -6.21% | 17.67% |
| 1Y | -6.21% | 17.67% |
| 3Y (ann.) | -13.94% | 46.34% |
| 5Y (ann.) | -13.94% | 46.34% |
| 10Y (ann.) | -13.94% | 46.34% |
| All-time (ann.) | -13.94% | 46.34% |
| Best Day | 4.12% | 6.13% |
| Worst Day | -15.25% | -3.8% |
| Best Month | 20.47% | 20.99% |
| Worst Month | -14.23% | -12.86% |
| Best Year | -6.21% | 17.67% |
| Worst Year | -6.21% | 17.67% |
| Avg. Drawdown | -5.45% | -4.07% |
| Avg. Drawdown Days | 17 | 14 |
| Recovery Factor | -0.19 | 0.86 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | -0.21 | 0.2 |
| Avg. Up Month | 15.31% | 16.12% |
| Avg. Down Month | -6.33% | -5.84% |
| Win Days | 51.89% | 60.36% |
| Win Month | 42.86% | 42.86% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 0.0% | 100.0% |
| Beta | 0.36 | - |
| Alpha | -0.23 | - |
| Correlation | 28.95% | - |
| Treynor Ratio | -36.22% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 17.67 | -6.21 | -0.35 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-03 | 2023-11-02 | -32.43 | 91 |
| 2023-07-20 | 2023-08-01 | -2.43 | 12 |
| 2023-06-05 | 2023-06-07 | -1.13 | 2 |
| 2023-06-20 | 2023-06-28 | -0.84 | 8 |
| 2023-07-10 | 2023-07-11 | -0.76 | 1 |
| 2023-05-31 | 2023-06-01 | -0.35 | 1 |
| 2023-07-06 | 2023-07-07 | -0.19 | 1 |