| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 90.0% | 100.0% |
| Cumulative Return | 3.18% | 3.51% |
| CAGR﹪ | 7.59% | 8.41% |
| Sharpe | -17.14 | -16.81 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -16.25 | -15.93 |
| Sortino | -11.8 | -11.76 |
| Smart Sortino | -11.19 | -11.15 |
| Sortino/√2 | -8.34 | -8.32 |
| Smart Sortino/√2 | -7.91 | -7.89 |
| Omega | 0.06 | 0.06 |
| Max Drawdown | -5.38% | -5.66% |
| Longest DD Days | 44 | 68 |
| Volatility (ann.) | 11.72% | 11.9% |
| R^2 | 0.9 | 0.9 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 1.41 | 1.49 |
| Skew | -0.16 | 0.1 |
| Kurtosis | -0.15 | 0.19 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.52% | 0.58% |
| Expected Yearly | 1.58% | 1.74% |
| Kelly Criterion | 7.17% | -1.66% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.18% | -1.2% |
| Expected Shortfall (cVaR) | -1.18% | -1.2% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.12 | 0.13 |
| Gain/Pain (1M) | 1.52 | 1.64 |
| Payoff Ratio | 0.96 | 1.06 |
| Profit Factor | 1.12 | 1.13 |
| Common Sense Ratio | 1.02 | 1.23 |
| CPC Index | 0.58 | 0.57 |
| Tail Ratio | 0.91 | 1.09 |
| Outlier Win Ratio | 3.05 | 2.45 |
| Outlier Loss Ratio | 2.52 | 3.19 |
| MTD | -0.81% | -0.73% |
| 3M | 4.25% | 4.6% |
| 6M | 3.18% | 3.51% |
| YTD | 4.25% | 4.89% |
| 1Y | 3.18% | 3.51% |
| 3Y (ann.) | 7.59% | 8.41% |
| 5Y (ann.) | 7.59% | 8.41% |
| 10Y (ann.) | 7.59% | 8.41% |
| All-time (ann.) | 7.59% | 8.41% |
| Best Day | 1.79% | 2.25% |
| Worst Day | -1.95% | -1.89% |
| Best Month | 2.92% | 2.86% |
| Worst Month | -1.03% | -1.31% |
| Best Year | 4.25% | 4.89% |
| Worst Year | -1.03% | -1.31% |
| Avg. Drawdown | -2.12% | -2.28% |
| Avg. Drawdown Days | 15 | 20 |
| Recovery Factor | 0.59 | 0.62 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | -69.25 | -67.18 |
| Avg. Up Month | 1.87% | 2.0% |
| Avg. Down Month | -0.8% | -0.82% |
| Win Days | 54.64% | 47.66% |
| Win Month | 50.0% | 50.0% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.93 | - |
| Alpha | -0.0 | - |
| Correlation | 94.63% | - |
| Treynor Ratio | -748.17% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | -1.31 | -1.03 | 0.78 | + |
| 2024 | 4.89 | 4.25 | 0.87 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-01-09 | 2024-02-22 | -5.38 | 44 |
| 2024-04-18 | 2024-05-10 | -3.38 | 22 |
| 2023-12-25 | 2024-01-03 | -2.79 | 9 |
| 2023-12-07 | 2023-12-21 | -2.62 | 14 |
| 2024-02-26 | 2024-03-15 | -1.85 | 18 |
| 2024-03-27 | 2024-04-09 | -1.19 | 13 |
| 2024-03-18 | 2024-03-22 | -1.10 | 4 |
| 2024-04-11 | 2024-04-16 | -0.45 | 5 |
| 2024-01-05 | 2024-01-08 | -0.37 | 3 |