| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 88.0% | 8.0% |
| Cumulative Return | -7.68% | 16.45% |
| CAGR﹪ | -2.18% | 4.28% |
| Sharpe | -13.0 | -10.28 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -12.0 | -9.49 |
| Sortino | -10.55 | -10.6 |
| Smart Sortino | -9.74 | -9.78 |
| Sortino/√2 | -7.46 | -7.49 |
| Smart Sortino/√2 | -6.89 | -6.92 |
| Omega | 0.1 | 0.1 |
| Max Drawdown | -16.85% | -16.94% |
| Longest DD Days | 1316 | 942 |
| Volatility (ann.) | 16.22% | 19.5% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.13 | 0.25 |
| Skew | -0.29 | 2.36 |
| Kurtosis | 7.17 | 35.55 |
| Expected Daily | -0.01% | 0.03% |
| Expected Monthly | -0.18% | 0.35% |
| Expected Yearly | -1.59% | 3.09% |
| Kelly Criterion | -3.06% | 18.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.69% | -1.99% |
| Expected Shortfall (cVaR) | -1.69% | -1.99% |
| Max Consecutive Wins | 7 | 3 |
| Max Consecutive Losses | 6 | 2 |
| Gain/Pain Ratio | -0.02 | 0.28 |
| Gain/Pain (1M) | -0.09 | 0.28 |
| Payoff Ratio | 0.88 | 1.25 |
| Profit Factor | 0.98 | 1.28 |
| Common Sense Ratio | 0.77 | - |
| CPC Index | 0.45 | 0.88 |
| Tail Ratio | 0.79 | - |
| Outlier Win Ratio | 6.44 | 23.71 |
| Outlier Loss Ratio | 4.79 | 1.12 |
| MTD | 0.0% | 13.32% |
| 3M | 0.0% | 14.0% |
| 6M | 0.0% | 25.39% |
| YTD | 0.0% | 16.59% |
| 1Y | 0.0% | 17.17% |
| 3Y (ann.) | -1.39% | 9.79% |
| 5Y (ann.) | -2.18% | 4.28% |
| 10Y (ann.) | -2.18% | 4.28% |
| All-time (ann.) | -2.18% | 4.28% |
| Best Day | 6.31% | 11.45% |
| Worst Day | -5.58% | -7.28% |
| Best Month | 7.8% | 13.32% |
| Worst Month | -7.23% | -7.28% |
| Best Year | 0.4% | 16.59% |
| Worst Year | -5.1% | -8.42% |
| Avg. Drawdown | -4.55% | -8.38% |
| Avg. Drawdown Days | 330 | 395 |
| Recovery Factor | -0.46 | 0.97 |
| Ulcer Index | 0.1 | 0.1 |
| Serenity Index | -5.24 | -5.32 |
| Avg. Up Month | 4.28% | 3.1% |
| Avg. Down Month | -3.55% | -3.17% |
| Win Days | 51.65% | 54.55% |
| Win Month | 46.43% | 53.49% |
| Win Quarter | 54.55% | 53.33% |
| Win Year | 25.0% | 60.0% |
| Beta | -0.02 | - |
| Alpha | -0.02 | - |
| Correlation | -2.29% | - |
| Treynor Ratio | 37080.02% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | -8.42 | -2.85 | 0.34 | + |
| 2021 | -2.85 | -5.10 | 1.79 | - |
| 2022 | 0.02 | -0.27 | -14.65 | - |
| 2023 | 12.24 | 0.40 | 0.03 | - |
| 2024 | 16.59 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-09-17 | 2024-04-25 | -16.85 | 1316 |
| 2020-09-11 | 2020-09-14 | -0.73 | 3 |
| 2020-09-15 | 2020-09-16 | -0.37 | 1 |
| 2020-09-08 | 2020-09-09 | -0.25 | 1 |