| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 91.0% | 11.0% |
| Cumulative Return | -21.32% | -33.32% |
| CAGR﹪ | -7.65% | -12.59% |
| Sharpe | -0.66 | -0.54 |
| Prob. Sharpe Ratio | 3.32% | 3.64% |
| Smart Sharpe | -0.65 | -0.54 |
| Sortino | -0.93 | -0.76 |
| Smart Sortino | -0.92 | -0.75 |
| Sortino/√2 | -0.66 | -0.54 |
| Smart Sortino/√2 | -0.65 | -0.53 |
| Omega | 0.89 | 0.89 |
| Max Drawdown | -36.07% | -42.58% |
| Longest DD Days | 981 | 965 |
| Volatility (ann.) | 29.12% | 45.28% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -0.21 | -0.3 |
| Skew | 0.3 | 0.37 |
| Kurtosis | 1.77 | 16.25 |
| Expected Daily | -0.07% | -0.11% |
| Expected Monthly | -0.65% | -1.09% |
| Expected Yearly | -5.82% | -9.63% |
| Kelly Criterion | 20.58% | 39.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.07% | -4.76% |
| Expected Shortfall (cVaR) | -3.07% | -4.76% |
| Max Consecutive Wins | 9 | 3 |
| Max Consecutive Losses | 10 | 3 |
| Gain/Pain Ratio | -0.07 | -0.17 |
| Gain/Pain (1M) | -0.28 | -0.17 |
| Payoff Ratio | 1.93 | 13.36 |
| Profit Factor | 0.93 | 0.83 |
| Common Sense Ratio | 0.98 | 0.0 |
| CPC Index | 0.85 | 4.81 |
| Tail Ratio | 1.06 | 0.0 |
| Outlier Win Ratio | 7.41 | 23.84 |
| Outlier Loss Ratio | 5.44 | 1.08 |
| MTD | 0.0% | -8.28% |
| 3M | 0.0% | -1.72% |
| 6M | 0.0% | -11.82% |
| YTD | 0.0% | -5.89% |
| 1Y | 0.0% | -18.15% |
| 3Y (ann.) | -7.5% | -11.97% |
| 5Y (ann.) | -7.65% | -12.59% |
| 10Y (ann.) | -7.65% | -12.59% |
| All-time (ann.) | -7.65% | -12.59% |
| Best Day | 7.36% | 17.13% |
| Worst Day | -7.25% | -14.13% |
| Best Month | 15.15% | 17.13% |
| Worst Month | -14.89% | -14.13% |
| Best Year | 4.83% | -1.62% |
| Worst Year | -22.39% | -18.88% |
| Avg. Drawdown | -7.0% | -24.82% |
| Avg. Drawdown Days | 135 | 528 |
| Recovery Factor | -0.59 | -0.78 |
| Ulcer Index | 0.24 | 0.23 |
| Serenity Index | -0.05 | -0.12 |
| Avg. Up Month | 2.0% | 11.91% |
| Avg. Down Month | -8.02% | -7.84% |
| Win Days | 47.71% | 43.24% |
| Win Month | 41.18% | 41.67% |
| Win Quarter | 28.57% | 23.08% |
| Win Year | 33.33% | 0.0% |
| Beta | 0.03 | - |
| Alpha | -0.12 | - |
| Correlation | 4.0% | - |
| Treynor Ratio | -1100.18% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -1.62 | -3.30 | 2.04 | - |
| 2022 | -18.88 | -22.39 | 1.19 | - |
| 2023 | -11.21 | 4.83 | -0.43 | + |
| 2024 | -5.89 | 0.00 | -0.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-15 | 2024-07-23 | -36.07 | 981 |
| 2021-08-11 | 2021-10-19 | -9.74 | 69 |
| 2021-07-22 | 2021-08-02 | -5.32 | 11 |
| 2021-11-02 | 2021-11-08 | -1.92 | 6 |
| 2021-10-20 | 2021-10-25 | -1.14 | 5 |
| 2021-11-09 | 2021-11-12 | -0.86 | 3 |
| 2021-08-03 | 2021-08-05 | -0.85 | 2 |
| 2021-08-06 | 2021-08-09 | -0.11 | 3 |