| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -7.1% | 14.65% |
| CAGR﹪ | -3.3% | 6.42% |
| Sharpe | 0.11 | 71.31 |
| Prob. Sharpe Ratio | 55.68% | - |
| Smart Sharpe | 0.1 | 65.41 |
| Sortino | 0.14 | - |
| Smart Sortino | 0.13 | - |
| Sortino/√2 | 0.1 | - |
| Smart Sortino/√2 | 0.09 | - |
| Omega | 1.02 | 1.02 |
| Max Drawdown | -52.76% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 40.0% | 0.11% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.06 | - |
| Skew | -3.75 | 0.97 |
| Kurtosis | 48.16 | 1.62 |
| Expected Daily | -0.02% | 0.03% |
| Expected Monthly | -0.33% | 0.62% |
| Expected Yearly | -2.43% | 4.66% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.13% | -0.02% |
| Expected Shortfall (cVaR) | -4.13% | -0.02% |
| Max Consecutive Wins | 10 | 436 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.02 | - |
| Gain/Pain (1M) | 0.07 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.02 | - |
| Common Sense Ratio | 1.19 | - |
| CPC Index | - | - |
| Tail Ratio | 1.16 | 1.97 |
| Outlier Win Ratio | 1.75 | 95.78 |
| Outlier Loss Ratio | 1.78 | - |
| MTD | -8.18% | 0.81% |
| 3M | 3.44% | 2.52% |
| 6M | 21.58% | 3.63% |
| YTD | 36.64% | 4.99% |
| 1Y | 34.58% | 7.14% |
| 3Y (ann.) | -3.3% | 6.42% |
| 5Y (ann.) | -3.3% | 6.42% |
| 10Y (ann.) | -3.3% | 6.42% |
| All-time (ann.) | -3.3% | 6.42% |
| Best Day | 9.92% | 0.05% |
| Worst Day | -30.34% | 0.0% |
| Best Month | 36.85% | 0.81% |
| Worst Month | -40.51% | 0.43% |
| Best Year | 36.64% | 5.69% |
| Worst Year | -26.5% | 3.32% |
| Avg. Drawdown | -11.07% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.13 | - |
| Ulcer Index | 0.28 | 0.0 |
| Serenity Index | -0.01 | - |
| Avg. Up Month | 9.06% | 0.62% |
| Avg. Down Month | - | - |
| Win Days | 46.98% | 100.0% |
| Win Month | 59.09% | 100.0% |
| Win Quarter | 55.56% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | -35.03 | - |
| Alpha | 2.81 | - |
| Correlation | -9.68% | - |
| Treynor Ratio | 0.2% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.32 | -7.49 | -2.26 | - |
| 2022 | 5.69 | -26.50 | -4.65 | - |
| 2023 | 4.99 | 36.64 | 7.33 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2023-07-18 | -52.76 | 602 |
| 2023-08-02 | 2023-09-22 | -16.52 | 51 |
| 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 |