| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 88.0% | 13.0% |
| Cumulative Return | -21.83% | -10.54% |
| CAGR﹪ | -8.83% | -4.09% |
| Sharpe | -0.75 | -0.43 |
| Prob. Sharpe Ratio | 4.34% | 9.1% |
| Smart Sharpe | -0.67 | -0.38 |
| Sortino | -1.04 | -0.68 |
| Smart Sortino | -0.94 | -0.62 |
| Sortino/√2 | -0.74 | -0.48 |
| Smart Sortino/√2 | -0.67 | -0.44 |
| Omega | 0.87 | 0.87 |
| Max Drawdown | -40.28% | -34.85% |
| Longest DD Days | 922 | 965 |
| Volatility (ann.) | 32.48% | 29.88% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.22 | -0.12 |
| Skew | -0.05 | 3.19 |
| Kurtosis | 6.12 | 45.39 |
| Expected Daily | -0.09% | -0.04% |
| Expected Monthly | -0.74% | -0.34% |
| Expected Yearly | -5.97% | -2.74% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.43% | -3.12% |
| Expected Shortfall (cVaR) | -3.43% | -3.12% |
| Max Consecutive Wins | 7 | 3 |
| Max Consecutive Losses | 7 | 3 |
| Gain/Pain Ratio | -0.1 | -0.1 |
| Gain/Pain (1M) | -0.36 | -0.1 |
| Payoff Ratio | - | - |
| Profit Factor | 0.9 | 0.9 |
| Common Sense Ratio | 1.13 | 0.03 |
| CPC Index | - | - |
| Tail Ratio | 1.25 | 0.03 |
| Outlier Win Ratio | 4.65 | 24.28 |
| Outlier Loss Ratio | 3.43 | 1.52 |
| MTD | 0.0% | 0.74% |
| 3M | 0.0% | 2.84% |
| 6M | 0.0% | 6.22% |
| YTD | 0.0% | 7.75% |
| 1Y | 0.0% | 8.87% |
| 3Y (ann.) | -8.83% | -4.09% |
| 5Y (ann.) | -8.83% | -4.09% |
| 10Y (ann.) | -8.83% | -4.09% |
| All-time (ann.) | -8.83% | -4.09% |
| Best Day | 9.03% | 18.42% |
| Worst Day | -11.66% | -11.15% |
| Best Month | 20.16% | 18.42% |
| Worst Month | -13.74% | -11.15% |
| Best Year | 1.74% | 7.75% |
| Worst Year | -20.47% | -18.4% |
| Avg. Drawdown | -23.95% | -34.85% |
| Avg. Drawdown Days | 485 | 965 |
| Recovery Factor | -0.54 | -0.3 |
| Ulcer Index | 0.22 | 0.22 |
| Serenity Index | -0.08 | -0.04 |
| Avg. Up Month | - | - |
| Avg. Down Month | -4.87% | -3.74% |
| Win Days | 46.67% | 42.42% |
| Win Month | 23.08% | 40.62% |
| Win Quarter | 33.33% | 58.33% |
| Win Year | 33.33% | 50.0% |
| Beta | -0.03 | - |
| Alpha | -0.18 | - |
| Correlation | -2.95% | - |
| Treynor Ratio | 899.82% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -5.45 | -3.40 | 0.62 | + |
| 2022 | -18.40 | -20.47 | 1.11 | - |
| 2023 | 7.62 | 1.74 | 0.23 | - |
| 2024 | 7.75 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-13 | 2024-07-23 | -40.28 | 922 |
| 2021-11-25 | 2022-01-12 | -7.61 | 48 |