| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 97.0% |
| Cumulative Return | -29.06% | -30.87% |
| CAGR﹪ | -13.93% | -14.9% |
| Sharpe | -0.4 | -0.72 |
| Prob. Sharpe Ratio | 3.09% | 1.46% |
| Smart Sharpe | -0.37 | -0.66 |
| Sortino | -0.5 | -0.98 |
| Smart Sortino | -0.46 | -0.9 |
| Sortino/√2 | -0.35 | -0.69 |
| Smart Sortino/√2 | -0.32 | -0.64 |
| Omega | 0.92 | 0.92 |
| Max Drawdown | -52.76% | -42.65% |
| Longest DD Days | 602 | 723 |
| Volatility (ann.) | 41.06% | 30.83% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -0.26 | -0.35 |
| Skew | -3.63 | -0.07 |
| Kurtosis | 42.54 | 0.98 |
| Expected Daily | -0.07% | -0.08% |
| Expected Monthly | -1.42% | -1.53% |
| Expected Yearly | -10.81% | -11.58% |
| Kelly Criterion | 1.54% | -5.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.29% | -3.26% |
| Expected Shortfall (cVaR) | -4.29% | -3.26% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | -0.05 | -0.08 |
| Gain/Pain (1M) | -0.13 | -0.28 |
| Payoff Ratio | 1.18 | 0.91 |
| Profit Factor | 0.95 | 0.92 |
| Common Sense Ratio | 1.07 | 0.87 |
| CPC Index | 0.53 | 0.42 |
| Tail Ratio | 1.12 | 0.95 |
| Outlier Win Ratio | 3.18 | 3.91 |
| Outlier Loss Ratio | 3.24 | 3.31 |
| MTD | -13.64% | 2.45% |
| 3M | -39.34% | -27.85% |
| 6M | -11.66% | -12.8% |
| YTD | -0.72% | -8.33% |
| 1Y | 8.82% | -14.11% |
| 3Y (ann.) | -13.93% | -14.9% |
| 5Y (ann.) | -13.93% | -14.9% |
| 10Y (ann.) | -13.93% | -14.9% |
| All-time (ann.) | -13.93% | -14.9% |
| Best Day | 9.92% | 6.66% |
| Worst Day | -30.34% | -7.61% |
| Best Month | 36.85% | 14.8% |
| Worst Month | -40.51% | -15.87% |
| Best Year | -0.72% | -3.42% |
| Worst Year | -26.5% | -21.92% |
| Avg. Drawdown | -13.39% | -8.81% |
| Avg. Drawdown Days | 91 | 117 |
| Recovery Factor | -0.55 | -0.72 |
| Ulcer Index | 0.28 | 0.25 |
| Serenity Index | -0.07 | -0.07 |
| Avg. Up Month | 11.04% | 7.64% |
| Avg. Down Month | -13.84% | -9.46% |
| Win Days | 46.7% | 49.55% |
| Win Month | 58.33% | 45.83% |
| Win Quarter | 50.0% | 30.0% |
| Win Year | 0.0% | 0.0% |
| Beta | 0.43 | - |
| Alpha | -0.03 | - |
| Correlation | 32.34% | - |
| Treynor Ratio | -83.73% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -3.42 | -2.77 | 0.81 | + |
| 2022 | -21.92 | -26.50 | 1.21 | - |
| 2023 | -8.33 | -0.72 | 0.09 | + |
| 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 |
| 2021-07-22 | 2021-08-09 | -5.75 | 18 |
| 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 |