| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -30.64% | 26.02% |
| CAGR﹪ | -14.68% | 10.56% |
| Sharpe | -0.26 | 0.59 |
| Prob. Sharpe Ratio | 35.69% | 75.03% |
| Smart Sharpe | -0.24 | 0.54 |
| Sortino | -0.33 | 0.7 |
| Smart Sortino | -0.3 | 0.64 |
| Sortino/√2 | -0.23 | 0.49 |
| Smart Sortino/√2 | -0.21 | 0.45 |
| Omega | 0.95 | 0.95 |
| Max Drawdown | -52.76% | -39.65% |
| Longest DD Days | 602 | 488 |
| Volatility (ann.) | 41.03% | 30.7% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.28 | 0.27 |
| Skew | -3.61 | -8.9 |
| Kurtosis | 42.36 | 157.05 |
| Expected Daily | -0.08% | 0.05% |
| Expected Monthly | -1.51% | 0.97% |
| Expected Yearly | -11.48% | 8.01% |
| Kelly Criterion | -3.04% | 3.88% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.29% | -3.11% |
| Expected Shortfall (cVaR) | -4.29% | -3.11% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | -0.05 | 0.18 |
| Gain/Pain (1M) | -0.15 | 0.59 |
| Payoff Ratio | 1.08 | 1.0 |
| Profit Factor | 0.95 | 1.18 |
| Common Sense Ratio | 1.06 | 1.31 |
| CPC Index | 0.48 | 0.61 |
| Tail Ratio | 1.12 | 1.11 |
| Outlier Win Ratio | 2.83 | 5.4 |
| Outlier Loss Ratio | 2.71 | 5.32 |
| MTD | -13.64% | -0.05% |
| 3M | -39.34% | 1.1% |
| 6M | -11.66% | 22.62% |
| YTD | -0.72% | 33.55% |
| 1Y | 8.82% | 52.44% |
| 3Y (ann.) | -14.68% | 10.56% |
| 5Y (ann.) | -14.68% | 10.56% |
| 10Y (ann.) | -14.68% | 10.56% |
| All-time (ann.) | -14.68% | 10.56% |
| Best Day | 9.92% | 10.7% |
| Worst Day | -30.34% | -31.57% |
| Best Month | 36.85% | 19.77% |
| Worst Month | -40.51% | -38.01% |
| Best Year | -0.72% | 33.55% |
| Worst Year | -26.5% | -6.4% |
| Avg. Drawdown | -12.53% | -4.7% |
| Avg. Drawdown Days | 82 | 47 |
| Recovery Factor | -0.58 | 0.66 |
| Ulcer Index | 0.28 | 0.17 |
| Serenity Index | -0.06 | 0.09 |
| Avg. Up Month | 9.64% | 7.96% |
| Avg. Down Month | -13.1% | -7.12% |
| Win Days | 46.61% | 51.95% |
| Win Month | 54.17% | 58.33% |
| Win Quarter | 50.0% | 70.0% |
| Win Year | 0.0% | 66.67% |
| Beta | 0.84 | - |
| Alpha | -0.26 | - |
| Correlation | 63.08% | - |
| Treynor Ratio | -36.35% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.82 | -4.95 | -6.06 | - |
| 2022 | -6.40 | -26.50 | 4.14 | - |
| 2023 | 33.55 | -0.72 | -0.02 | - |
| 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 |
| 2021-07-15 | 2021-07-21 | -4.82 | 6 |
| 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 |