| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 24.47% | 29.97% |
| CAGR﹪ | 7.06% | 8.51% |
| Sharpe | -7.96 | -6.26 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -7.72 | -6.07 |
| Sortino | -7.62 | -6.43 |
| Smart Sortino | -7.39 | -6.23 |
| Sortino/√2 | -5.38 | -4.54 |
| Smart Sortino/√2 | -5.22 | -4.41 |
| Omega | 0.19 | 0.19 |
| Max Drawdown | -54.41% | -53.53% |
| Longest DD Days | 937 | 937 |
| Volatility (ann.) | 24.95% | 31.19% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.13 | 0.16 |
| Skew | -2.48 | -5.32 |
| Kurtosis | 21.64 | 119.42 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.56% | 0.67% |
| Expected Yearly | 5.63% | 6.77% |
| Kelly Criterion | 4.07% | -0.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.55% | -3.18% |
| Expected Shortfall (cVaR) | -2.55% | -3.18% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.09 | 0.12 |
| Gain/Pain (1M) | 0.37 | 0.53 |
| Payoff Ratio | 0.77 | 0.74 |
| Profit Factor | 1.09 | 1.12 |
| Common Sense Ratio | 1.01 | 1.12 |
| CPC Index | 0.49 | 0.48 |
| Tail Ratio | 0.93 | 1.0 |
| Outlier Win Ratio | 4.36 | 3.98 |
| Outlier Loss Ratio | 4.06 | 4.24 |
| MTD | 0.99% | 1.01% |
| 3M | 7.89% | 7.74% |
| 6M | 11.97% | 11.66% |
| YTD | 13.58% | 13.97% |
| 1Y | 41.41% | 43.68% |
| 3Y (ann.) | 2.51% | 3.93% |
| 5Y (ann.) | 7.06% | 8.51% |
| 10Y (ann.) | 7.06% | 8.51% |
| All-time (ann.) | 7.06% | 8.51% |
| Best Day | 7.62% | 20.04% |
| Worst Day | -14.27% | -33.28% |
| Best Month | 14.3% | 15.56% |
| Worst Month | -31.78% | -30.02% |
| Best Year | 51.35% | 53.84% |
| Worst Year | -37.9% | -37.26% |
| Avg. Drawdown | -4.13% | -3.49% |
| Avg. Drawdown Days | 58 | 48 |
| Recovery Factor | 0.45 | 0.56 |
| Ulcer Index | 0.29 | 0.28 |
| Serenity Index | -0.72 | -0.93 |
| Avg. Up Month | 4.79% | 4.96% |
| Avg. Down Month | -7.52% | -7.85% |
| Win Days | 58.18% | 57.32% |
| Win Month | 66.67% | 69.23% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.58 | - |
| Alpha | 0.02 | - |
| Correlation | 72.65% | - |
| Treynor Ratio | -1162.27% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 18.15 | 16.60 | 0.91 | - |
| 2022 | -37.26 | -37.90 | 1.02 | - |
| 2023 | 53.84 | 51.35 | 0.95 | - |
| 2024 | 13.97 | 13.58 | 0.97 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2024-05-15 | -54.41 | 937 |
| 2021-07-08 | 2021-08-10 | -4.35 | 33 |
| 2021-03-16 | 2021-04-22 | -4.01 | 37 |
| 2021-09-16 | 2021-09-27 | -2.59 | 11 |
| 2021-08-18 | 2021-09-01 | -2.39 | 14 |
| 2021-06-15 | 2021-07-01 | -1.97 | 16 |
| 2021-04-28 | 2021-05-05 | -1.62 | 7 |
| 2021-05-19 | 2021-05-26 | -1.46 | 7 |
| 2021-10-12 | 2021-10-20 | -0.96 | 8 |
| 2021-09-07 | 2021-09-13 | -0.88 | 6 |