| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -32.5% | 17.16% |
| CAGR﹪ | -15.65% | 7.1% |
| Sharpe | -0.3 | 15.16 |
| Prob. Sharpe Ratio | 33.81% | 99.97% |
| Smart Sharpe | -0.27 | 13.94 |
| Sortino | -0.37 | - |
| Smart Sortino | -0.34 | - |
| Sortino/√2 | -0.26 | - |
| Smart Sortino/√2 | -0.24 | - |
| Omega | 0.94 | 0.94 |
| Max Drawdown | -52.76% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 40.93% | 0.56% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.3 | - |
| Skew | -3.6 | 14.41 |
| Kurtosis | 42.47 | 214.42 |
| Expected Daily | -0.08% | 0.03% |
| Expected Monthly | -1.62% | 0.66% |
| Expected Yearly | -12.28% | 5.42% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.29% | -0.02% |
| Expected Shortfall (cVaR) | -4.29% | -0.02% |
| Max Consecutive Wins | 10 | 466 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | -0.06 | - |
| Gain/Pain (1M) | -0.17 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.94 | - |
| Common Sense Ratio | 1.06 | - |
| CPC Index | - | - |
| Tail Ratio | 1.12 | 1.96 |
| Outlier Win Ratio | 1.72 | 86.42 |
| Outlier Loss Ratio | 1.75 | - |
| MTD | -13.64% | 1.13% |
| 3M | -39.34% | 3.8% |
| 6M | -11.66% | 5.9% |
| YTD | -0.72% | 7.29% |
| 1Y | 8.82% | 8.64% |
| 3Y (ann.) | -15.65% | 7.1% |
| 5Y (ann.) | -15.65% | 7.1% |
| 10Y (ann.) | -15.65% | 7.1% |
| All-time (ann.) | -15.65% | 7.1% |
| Best Day | 9.92% | 0.57% |
| Worst Day | -30.34% | 0.0% |
| Best Month | 36.85% | 1.13% |
| Worst Month | -40.51% | 0.43% |
| Best Year | -0.72% | 7.29% |
| Worst Year | -26.5% | 3.32% |
| Avg. Drawdown | -13.61% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.62 | - |
| Ulcer Index | 0.28 | 0.0 |
| Serenity Index | -0.06 | - |
| Avg. Up Month | 9.06% | 0.62% |
| Avg. Down Month | - | - |
| Win Days | 46.3% | 100.0% |
| Win Month | 54.17% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | -13.76 | - |
| Alpha | 1.05 | - |
| Correlation | -18.96% | - |
| Treynor Ratio | 2.36% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.32 | -7.49 | -2.26 | - |
| 2022 | 5.69 | -26.50 | -4.65 | - |
| 2023 | 7.29 | -0.72 | -0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2023-07-18 | -52.76 | 602 |
| 2023-08-02 | 2023-11-02 | -39.34 | 92 |
| 2021-08-11 | 2021-10-29 | -11.82 | 79 |
| 2021-07-13 | 2021-08-10 | -7.76 | 28 |
| 2023-07-20 | 2023-08-01 | -5.17 | 12 |
| 2021-11-15 | 2021-11-22 | -3.23 | 7 |
| 2021-11-09 | 2021-11-12 | -1.37 | 3 |
| 2021-11-05 | 2021-11-08 | -0.69 | 3 |
| 2021-11-02 | 2021-11-03 | -0.35 | 1 |