| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -37.41% | 16.44% |
| CAGR﹪ | -21.22% | 8.06% |
| Sharpe | -0.37 | 12.91 |
| Prob. Sharpe Ratio | 30.98% | 100.0% |
| Smart Sharpe | -0.37 | 12.82 |
| Sortino | -0.44 | - |
| Smart Sortino | -0.43 | - |
| Sortino/√2 | -0.31 | - |
| Smart Sortino/√2 | -0.31 | - |
| Omega | 0.92 | 0.92 |
| Max Drawdown | -55.27% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 46.3% | 0.74% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.38 | - |
| Skew | -5.01 | 9.92 |
| Kurtosis | 52.14 | 102.35 |
| Expected Daily | -0.12% | 0.04% |
| Expected Monthly | -2.11% | 0.69% |
| Expected Yearly | -14.46% | 5.2% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.87% | -0.04% |
| Expected Shortfall (cVaR) | -4.87% | -0.04% |
| Max Consecutive Wins | 5 | 403 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | -0.08 | - |
| Gain/Pain (1M) | -0.21 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.92 | - |
| Common Sense Ratio | 1.07 | - |
| CPC Index | - | - |
| Tail Ratio | 1.16 | 2.02 |
| Outlier Win Ratio | 1.75 | 73.24 |
| Outlier Loss Ratio | 1.42 | - |
| MTD | -22.81% | 1.13% |
| 3M | -36.08% | 3.8% |
| 6M | -13.29% | 5.9% |
| YTD | 3.69% | 7.97% |
| 1Y | 20.32% | 9.33% |
| 3Y (ann.) | -21.22% | 8.06% |
| 5Y (ann.) | -21.22% | 8.06% |
| 10Y (ann.) | -21.22% | 8.06% |
| All-time (ann.) | -21.22% | 8.06% |
| Best Day | 8.89% | 0.57% |
| Worst Day | -32.96% | 0.0% |
| Best Month | 31.55% | 1.13% |
| Worst Month | -34.08% | 0.55% |
| Best Year | 3.69% | 7.97% |
| Worst Year | -39.28% | 1.2% |
| Avg. Drawdown | -28.08% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.68 | - |
| Ulcer Index | 0.33 | 0.0 |
| Serenity Index | -0.06 | - |
| Avg. Up Month | 8.16% | 0.65% |
| Avg. Down Month | - | - |
| Win Days | 49.36% | 100.0% |
| Win Month | 59.09% | 100.0% |
| Win Quarter | 55.56% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | -28.75 | - |
| Alpha | 2.56 | - |
| Correlation | -45.67% | - |
| Treynor Ratio | 1.3% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.20 | -0.60 | -0.50 | - |
| 2022 | 6.57 | -39.28 | -5.98 | - |
| 2023 | 7.97 | 3.69 | 0.46 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2023-11-02 | -55.27 | 709 |
| 2021-11-17 | 2021-11-19 | -0.89 | 2 |