| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | -8.48% | 18.64% |
| CAGR﹪ | -3.48% | 7.08% |
| Sharpe | -4.3 | -3.18 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.8 | -2.82 |
| Sortino | -4.93 | -3.84 |
| Smart Sortino | -4.36 | -3.39 |
| Sortino/√2 | -3.49 | -2.71 |
| Smart Sortino/√2 | -3.08 | -2.4 |
| Omega | 0.45 | 0.45 |
| Max Drawdown | -17.35% | -24.49% |
| Longest DD Days | 905 | 416 |
| Volatility (ann.) | 16.77% | 18.8% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.2 | 0.29 |
| Skew | -0.23 | -0.19 |
| Kurtosis | 6.52 | 2.15 |
| Expected Daily | -0.02% | 0.03% |
| Expected Monthly | -0.3% | 0.59% |
| Expected Yearly | -2.19% | 4.37% |
| Kelly Criterion | -10.45% | 4.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.75% | -1.91% |
| Expected Shortfall (cVaR) | -1.75% | -1.91% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | -0.03 | 0.09 |
| Gain/Pain (1M) | -0.1 | 0.38 |
| Payoff Ratio | 0.79 | 1.06 |
| Profit Factor | 0.97 | 1.09 |
| Common Sense Ratio | 0.83 | 1.05 |
| CPC Index | 0.39 | 0.59 |
| Tail Ratio | 0.85 | 0.96 |
| Outlier Win Ratio | 4.15 | 2.92 |
| Outlier Loss Ratio | 3.79 | 3.62 |
| MTD | -5.93% | -2.46% |
| 3M | 3.76% | -0.99% |
| 6M | 3.19% | -2.99% |
| YTD | 0.4% | 3.66% |
| 1Y | -5.58% | -6.2% |
| 3Y (ann.) | -3.48% | 7.08% |
| 5Y (ann.) | -3.48% | 7.08% |
| 10Y (ann.) | -3.48% | 7.08% |
| All-time (ann.) | -3.48% | 7.08% |
| Best Day | 6.31% | 5.55% |
| Worst Day | -5.58% | -5.38% |
| Best Month | 7.25% | 10.95% |
| Worst Month | -6.74% | -9.21% |
| Best Year | 0.4% | 29.88% |
| Worst Year | -5.1% | -18.32% |
| Avg. Drawdown | -9.11% | -1.78% |
| Avg. Drawdown Days | 453 | 16 |
| Recovery Factor | -0.49 | 0.76 |
| Ulcer Index | 0.1 | 0.1 |
| Serenity Index | -0.75 | -0.49 |
| Avg. Up Month | 3.87% | 3.98% |
| Avg. Down Month | -2.92% | -3.6% |
| Win Days | 51.19% | 50.64% |
| Win Month | 48.28% | 55.17% |
| Win Quarter | 54.55% | 63.64% |
| Win Year | 25.0% | 75.0% |
| Beta | 0.11 | - |
| Alpha | -0.04 | - |
| Correlation | 12.02% | - |
| Treynor Ratio | -1011.66% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 7.88 | -3.69 | -0.47 | - |
| 2021 | 29.88 | -5.10 | -0.17 | - |
| 2022 | -18.32 | -0.27 | 0.01 | + |
| 2023 | 3.66 | 0.40 | 0.11 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-09-02 | 2023-02-24 | -17.35 | 905 |
| 2020-08-27 | 2020-08-28 | -0.86 | 1 |