| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 98.0% | 97.0% |
| Cumulative Return | -43.37% | -42.25% |
| CAGR﹪ | -25.44% | -24.68% |
| Sharpe | -4.73 | -6.74 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.63 | -6.6 |
| Sortino | -4.88 | -6.83 |
| Smart Sortino | -4.78 | -6.69 |
| Sortino/√2 | -3.45 | -4.83 |
| Smart Sortino/√2 | -3.38 | -4.73 |
| Omega | 0.35 | 0.35 |
| Max Drawdown | -61.47% | -48.3% |
| Longest DD Days | 706 | 706 |
| Volatility (ann.) | 49.22% | 35.44% |
| R^2 | 0.44 | 0.44 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -0.41 | -0.51 |
| Skew | -5.83 | -1.42 |
| Kurtosis | 71.95 | 11.41 |
| Expected Daily | -0.15% | -0.15% |
| Expected Monthly | -2.67% | -2.58% |
| Expected Yearly | -17.27% | -16.72% |
| Kelly Criterion | -7.1% | -6.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.19% | -3.79% |
| Expected Shortfall (cVaR) | -5.19% | -3.79% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 9 | 8 |
| Gain/Pain Ratio | -0.1 | -0.14 |
| Gain/Pain (1M) | -0.27 | -0.47 |
| Payoff Ratio | 0.85 | 0.9 |
| Profit Factor | 0.9 | 0.86 |
| Common Sense Ratio | 0.89 | 0.8 |
| CPC Index | 0.39 | 0.38 |
| Tail Ratio | 0.99 | 0.93 |
| Outlier Win Ratio | 3.33 | 3.86 |
| Outlier Loss Ratio | 3.04 | 3.43 |
| MTD | -13.79% | 6.67% |
| 3M | -30.68% | -13.24% |
| 6M | 0.2% | 2.84% |
| YTD | 12.23% | 9.68% |
| 1Y | 21.14% | 1.49% |
| 3Y (ann.) | -25.44% | -24.68% |
| 5Y (ann.) | -25.44% | -24.68% |
| 10Y (ann.) | -25.44% | -24.68% |
| All-time (ann.) | -25.44% | -24.68% |
| Best Day | 9.64% | 7.53% |
| Worst Day | -39.7% | -17.91% |
| Best Month | 29.6% | 11.9% |
| Worst Month | -39.7% | -17.91% |
| Best Year | 12.23% | 9.68% |
| Worst Year | -46.24% | -44.02% |
| Avg. Drawdown | -61.47% | -48.3% |
| Avg. Drawdown Days | 706 | 706 |
| Recovery Factor | -0.71 | -0.87 |
| Ulcer Index | 0.41 | 0.38 |
| Serenity Index | -0.87 | -0.77 |
| Avg. Up Month | 15.55% | 8.91% |
| Avg. Down Month | -10.67% | -7.67% |
| Win Days | 50.82% | 49.73% |
| Win Month | 42.86% | 28.57% |
| Win Quarter | 55.56% | 33.33% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.92 | - |
| Alpha | 0.04 | - |
| Correlation | 66.3% | - |
| Treynor Ratio | -807.42% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -5.94 | -6.14 | 1.03 | - |
| 2022 | -44.02 | -46.24 | 1.05 | - |
| 2023 | 9.68 | 12.23 | 1.26 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-26 | 2023-11-02 | -61.47 | 706 |