| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -26.32% | 8.38% |
| CAGR﹪ | -14.4% | 4.18% |
| Sharpe | -0.11 | 8.26 |
| Prob. Sharpe Ratio | 45.36% | 100.0% |
| Smart Sharpe | -0.1 | 7.81 |
| Sortino | -0.14 | 45.28 |
| Smart Sortino | -0.13 | 42.82 |
| Sortino/√2 | -0.1 | 32.02 |
| Smart Sortino/√2 | -0.09 | 30.28 |
| Omega | 0.97 | 0.97 |
| Max Drawdown | -51.52% | -1.25% |
| Longest DD Days | 653 | 200 |
| Volatility (ann.) | 60.28% | 0.86% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.28 | 3.33 |
| Skew | -3.02 | 6.4 |
| Kurtosis | 47.79 | 60.8 |
| Expected Daily | -0.11% | 0.03% |
| Expected Monthly | -1.89% | 0.5% |
| Expected Yearly | -9.68% | 2.72% |
| Kelly Criterion | -34.48% | 68.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.27% | -0.06% |
| Expected Shortfall (cVaR) | -6.27% | -0.06% |
| Max Consecutive Wins | 5 | 156 |
| Max Consecutive Losses | 5 | 58 |
| Gain/Pain Ratio | -0.03 | 6.38 |
| Gain/Pain (1M) | -0.08 | 6.38 |
| Payoff Ratio | 0.64 | 1.88 |
| Profit Factor | 0.97 | 7.38 |
| Common Sense Ratio | 1.27 | 25.92 |
| CPC Index | 0.3 | 11.08 |
| Tail Ratio | 1.3 | 3.51 |
| Outlier Win Ratio | 1.8 | 90.99 |
| Outlier Loss Ratio | 1.87 | 169.59 |
| MTD | -16.28% | 1.11% |
| 3M | -7.41% | 2.84% |
| 6M | -7.41% | 2.84% |
| YTD | 1.79% | 4.18% |
| 1Y | 29.04% | 5.36% |
| 3Y (ann.) | -14.4% | 4.18% |
| 5Y (ann.) | -14.4% | 4.18% |
| 10Y (ann.) | -14.4% | 4.18% |
| All-time (ann.) | -14.4% | 4.18% |
| Best Day | 25.82% | 0.55% |
| Worst Day | -39.23% | -0.03% |
| Best Month | 25.3% | 1.17% |
| Worst Month | -45.57% | -0.52% |
| Best Year | 1.79% | 4.18% |
| Worst Year | -25.72% | 1.71% |
| Avg. Drawdown | -15.8% | -1.25% |
| Avg. Drawdown Days | 178 | 200 |
| Recovery Factor | -0.51 | 6.68 |
| Ulcer Index | 0.3 | 0.01 |
| Serenity Index | -0.06 | 0.63 |
| Avg. Up Month | 11.77% | 0.81% |
| Avg. Down Month | -45.57% | -0.35% |
| Win Days | 47.33% | 79.65% |
| Win Month | 50.0% | 81.25% |
| Win Quarter | 62.5% | 75.0% |
| Win Year | 33.33% | 100.0% |
| Beta | -5.47 | - |
| Alpha | 0.32 | - |
| Correlation | -7.8% | - |
| Treynor Ratio | 4.81% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.71 | -2.55 | -1.49 | - |
| 2022 | 2.29 | -25.72 | -11.24 | - |
| 2023 | 4.18 | 1.79 | 0.43 | - |
| 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 |