| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -26.32% | 11.63% |
| CAGR﹪ | -14.4% | 5.76% |
| Sharpe | -0.11 | 13.21 |
| Prob. Sharpe Ratio | 45.37% | 100.0% |
| Smart Sharpe | -0.1 | 12.49 |
| Sortino | -0.14 | - |
| Smart Sortino | -0.13 | - |
| Sortino/√2 | -0.1 | - |
| Smart Sortino/√2 | -0.09 | - |
| Omega | 0.97 | 0.97 |
| Max Drawdown | -51.52% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 60.19% | 0.73% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.28 | - |
| Skew | -3.02 | 10.55 |
| Kurtosis | 47.93 | 118.78 |
| Expected Daily | -0.11% | 0.04% |
| Expected Monthly | -1.89% | 0.69% |
| Expected Yearly | -9.68% | 3.74% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.26% | -0.04% |
| Expected Shortfall (cVaR) | -6.26% | -0.04% |
| Max Consecutive Wins | 5 | 286 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | -0.03 | - |
| Gain/Pain (1M) | -0.08 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.97 | - |
| Common Sense Ratio | 1.27 | - |
| CPC Index | - | - |
| Tail Ratio | 1.3 | 2.02 |
| Outlier Win Ratio | 1.8 | 96.85 |
| Outlier Loss Ratio | 1.87 | - |
| MTD | -16.28% | 1.13% |
| 3M | -7.41% | 3.01% |
| 6M | -7.41% | 3.01% |
| YTD | 1.79% | 4.37% |
| 1Y | 29.04% | 5.68% |
| 3Y (ann.) | -14.4% | 5.76% |
| 5Y (ann.) | -14.4% | 5.76% |
| 10Y (ann.) | -14.4% | 5.76% |
| All-time (ann.) | -14.4% | 5.76% |
| Best Day | 25.82% | 0.57% |
| Worst Day | -39.23% | 0.0% |
| Best Month | 25.3% | 1.13% |
| Worst Month | -45.57% | 0.55% |
| Best Year | 1.79% | 5.69% |
| Worst Year | -25.72% | 1.2% |
| Avg. Drawdown | -15.8% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.51 | - |
| Ulcer Index | 0.3 | 0.0 |
| Serenity Index | -0.06 | - |
| Avg. Up Month | 11.06% | 0.66% |
| Avg. Down Month | - | - |
| Win Days | 47.16% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 62.5% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | -12.84 | - |
| Alpha | 1.18 | - |
| Correlation | -15.61% | - |
| Treynor Ratio | 2.05% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.20 | -2.55 | -2.13 | - |
| 2022 | 5.69 | -25.72 | -4.52 | - |
| 2023 | 4.37 | 1.79 | 0.41 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-18 | 2023-11-02 | -51.52 | 653 |
| 2021-11-23 | 2022-01-13 | -9.59 | 51 |
| 2021-11-17 | 2021-11-22 | -1.86 | 5 |
| 2022-01-14 | 2022-01-17 | -0.24 | 3 |