| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 97.0% |
| Cumulative Return | -24.32% | -22.69% |
| CAGR﹪ | -13.49% | -12.53% |
| Sharpe | -0.18 | -1.03 |
| Prob. Sharpe Ratio | 10.68% | 2.27% |
| Smart Sharpe | -0.17 | -0.97 |
| Sortino | -0.23 | -1.33 |
| Smart Sortino | -0.22 | -1.26 |
| Sortino/√2 | -0.16 | -0.94 |
| Smart Sortino/√2 | -0.16 | -0.89 |
| Omega | 0.96 | 0.96 |
| Max Drawdown | -51.52% | -37.06% |
| Longest DD Days | 653 | 657 |
| Volatility (ann.) | 61.27% | 26.03% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | -0.26 | -0.34 |
| Skew | -2.99 | -0.72 |
| Kurtosis | 46.4 | 4.43 |
| Expected Daily | -0.1% | -0.09% |
| Expected Monthly | -1.73% | -1.6% |
| Expected Yearly | -8.87% | -8.22% |
| Kelly Criterion | 0.74% | -5.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.37% | -2.78% |
| Expected Shortfall (cVaR) | -6.37% | -2.78% |
| Max Consecutive Wins | 5 | 6 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | -0.02 | -0.13 |
| Gain/Pain (1M) | -0.05 | -0.42 |
| Payoff Ratio | 1.12 | 0.88 |
| Profit Factor | 0.98 | 0.87 |
| Common Sense Ratio | 1.28 | 0.92 |
| CPC Index | 0.52 | 0.39 |
| Tail Ratio | 1.31 | 1.05 |
| Outlier Win Ratio | 2.67 | 5.29 |
| Outlier Loss Ratio | 2.94 | 4.4 |
| MTD | -16.28% | 2.53% |
| 3M | -7.41% | -3.06% |
| 6M | -7.41% | -3.06% |
| YTD | 1.79% | -1.35% |
| 1Y | 29.04% | 13.2% |
| 3Y (ann.) | -13.49% | -12.53% |
| 5Y (ann.) | -13.49% | -12.53% |
| 10Y (ann.) | -13.49% | -12.53% |
| All-time (ann.) | -13.49% | -12.53% |
| Best Day | 25.82% | 4.92% |
| Worst Day | -39.23% | -9.52% |
| Best Month | 25.3% | 17.43% |
| Worst Month | -45.57% | -12.78% |
| Best Year | 1.79% | -1.17% |
| Worst Year | -25.72% | -20.71% |
| Avg. Drawdown | -14.92% | -21.78% |
| Avg. Drawdown Days | 172 | 348 |
| Recovery Factor | -0.47 | -0.61 |
| Ulcer Index | 0.31 | 0.22 |
| Serenity Index | -0.07 | -0.06 |
| Avg. Up Month | 11.83% | 7.09% |
| Avg. Down Month | -12.38% | -7.48% |
| Win Days | 47.6% | 50.57% |
| Win Month | 53.33% | 33.33% |
| Win Quarter | 75.0% | 25.0% |
| Win Year | 66.67% | 0.0% |
| Beta | 1.26 | - |
| Alpha | 0.21 | - |
| Correlation | 53.4% | - |
| Treynor Ratio | -24.91% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -1.17 | 0.10 | -0.08 | + |
| 2022 | -20.71 | -25.72 | 1.24 | - |
| 2023 | -1.35 | 1.79 | -1.32 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-18 | 2023-11-02 | -51.52 | 653 |
| 2021-12-02 | 2022-01-04 | -6.46 | 33 |
| 2022-01-10 | 2022-01-11 | -1.45 | 1 |
| 2022-01-14 | 2022-01-17 | -0.24 | 3 |