| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 89.0% | 14.0% |
| Cumulative Return | -25.62% | -17.97% |
| CAGR﹪ | -7.92% | -5.37% |
| Sharpe | -0.7 | -0.14 |
| Prob. Sharpe Ratio | 3.17% | 9.78% |
| Smart Sharpe | -0.67 | -0.14 |
| Sortino | -0.91 | -0.2 |
| Smart Sortino | -0.88 | -0.19 |
| Sortino/√2 | -0.64 | -0.14 |
| Smart Sortino/√2 | -0.62 | -0.14 |
| Omega | 0.88 | 0.88 |
| Max Drawdown | -42.41% | -60.84% |
| Longest DD Days | 978 | 965 |
| Volatility (ann.) | 33.61% | 52.91% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.19 | -0.09 |
| Skew | -0.32 | -0.15 |
| Kurtosis | 1.93 | 19.76 |
| Expected Daily | -0.09% | -0.06% |
| Expected Monthly | -0.67% | -0.45% |
| Expected Yearly | -5.75% | -3.88% |
| Kelly Criterion | -21.76% | -0.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.55% | -5.49% |
| Expected Shortfall (cVaR) | -3.55% | -5.49% |
| Max Consecutive Wins | 8 | 3 |
| Max Consecutive Losses | 8 | 3 |
| Gain/Pain Ratio | -0.09 | -0.01 |
| Gain/Pain (1M) | -0.39 | -0.01 |
| Payoff Ratio | 0.6 | 0.99 |
| Profit Factor | 0.91 | 0.99 |
| Common Sense Ratio | 0.73 | 0.8 |
| CPC Index | 0.3 | 0.49 |
| Tail Ratio | 0.79 | 0.8 |
| Outlier Win Ratio | 7.0 | 16.05 |
| Outlier Loss Ratio | 4.7 | 1.22 |
| MTD | 0.0% | 6.2% |
| 3M | 0.0% | -3.89% |
| 6M | 0.0% | 2.64% |
| YTD | 0.0% | 11.86% |
| 1Y | 0.0% | 25.73% |
| 3Y (ann.) | -9.83% | -11.12% |
| 5Y (ann.) | -7.92% | -5.37% |
| 10Y (ann.) | -7.92% | -5.37% |
| All-time (ann.) | -7.92% | -5.37% |
| Best Day | 8.15% | 22.68% |
| Worst Day | -8.07% | -21.44% |
| Best Month | 9.33% | 22.68% |
| Worst Month | -21.78% | -21.44% |
| Best Year | 4.71% | 27.19% |
| Worst Year | -25.17% | -50.26% |
| Avg. Drawdown | -8.9% | -25.25% |
| Avg. Drawdown Days | 128 | 383 |
| Recovery Factor | -0.6 | -0.3 |
| Ulcer Index | 0.19 | 0.17 |
| Serenity Index | -0.1 | -0.15 |
| Avg. Up Month | 3.4% | 5.25% |
| Avg. Down Month | -12.43% | -10.58% |
| Win Days | 54.24% | 50.0% |
| Win Month | 40.0% | 48.84% |
| Win Quarter | 33.33% | 53.33% |
| Win Year | 33.33% | 75.0% |
| Beta | -0.01 | - |
| Alpha | -0.17 | - |
| Correlation | -1.74% | - |
| Treynor Ratio | 2956.29% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 0.00 | -5.06 | -inf | - |
| 2021 | 15.91 | 4.71 | 0.30 | - |
| 2022 | -50.26 | -25.17 | 0.50 | + |
| 2023 | 27.19 | 0.00 | 0.00 | - |
| 2024 | 11.86 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-18 | 2024-07-23 | -42.41 | 978 |
| 2021-02-17 | 2021-10-19 | -25.04 | 244 |
| 2020-12-23 | 2021-01-13 | -6.65 | 21 |
| 2021-01-26 | 2021-02-04 | -4.93 | 9 |
| 2021-01-15 | 2021-01-25 | -3.25 | 10 |
| 2021-10-27 | 2021-11-08 | -3.00 | 12 |
| 2021-11-10 | 2021-11-15 | -1.44 | 5 |
| 2021-02-10 | 2021-02-11 | -1.18 | 1 |
| 2021-10-22 | 2021-10-25 | -0.87 | 3 |
| 2021-10-20 | 2021-10-21 | -0.17 | 1 |