| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 6.61% | 71.68% |
| CAGR﹪ | 1.48% | 13.17% |
| Sharpe | -2.98 | -2.39 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.88 | -2.31 |
| Sortino | -3.47 | -2.99 |
| Smart Sortino | -3.36 | -2.89 |
| Sortino/√2 | -2.46 | -2.11 |
| Smart Sortino/√2 | -2.38 | -2.05 |
| Omega | 0.55 | 0.55 |
| Max Drawdown | -32.61% | -33.79% |
| Longest DD Days | 665 | 708 |
| Volatility (ann.) | 21.97% | 22.54% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.05 | 0.39 |
| Skew | -2.31 | -0.4 |
| Kurtosis | 29.5 | 12.28 |
| Expected Daily | 0.01% | 0.05% |
| Expected Monthly | 0.12% | 1.02% |
| Expected Yearly | 1.07% | 9.43% |
| Kelly Criterion | -8.46% | 4.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.26% | -2.27% |
| Expected Shortfall (cVaR) | -2.26% | -2.27% |
| Max Consecutive Wins | 9 | 8 |
| Max Consecutive Losses | 12 | 6 |
| Gain/Pain Ratio | 0.04 | 0.14 |
| Gain/Pain (1M) | 0.15 | 0.73 |
| Payoff Ratio | 0.77 | 0.97 |
| Profit Factor | 1.04 | 1.14 |
| Common Sense Ratio | 1.0 | 1.13 |
| CPC Index | 0.42 | 0.58 |
| Tail Ratio | 0.97 | 0.99 |
| Outlier Win Ratio | 4.33 | 3.84 |
| Outlier Loss Ratio | 4.6 | 4.48 |
| MTD | 1.83% | -3.41% |
| 3M | 1.98% | 4.63% |
| 6M | 9.15% | 21.19% |
| YTD | 4.31% | 6.78% |
| 1Y | 4.79% | 24.62% |
| 3Y (ann.) | 1.5% | 8.74% |
| 5Y (ann.) | 1.48% | 13.17% |
| 10Y (ann.) | 1.48% | 13.17% |
| All-time (ann.) | 1.48% | 13.17% |
| Best Day | 7.42% | 9.39% |
| Worst Day | -17.36% | -11.98% |
| Best Month | 17.35% | 12.82% |
| Worst Month | -15.92% | -12.35% |
| Best Year | 4.31% | 29.88% |
| Worst Year | -2.62% | -18.32% |
| Avg. Drawdown | -6.23% | -1.87% |
| Avg. Drawdown Days | 81 | 18 |
| Recovery Factor | 0.2 | 2.12 |
| Ulcer Index | 0.16 | 0.1 |
| Serenity Index | -0.28 | -0.22 |
| Avg. Up Month | 3.65% | 4.52% |
| Avg. Down Month | -6.49% | -4.62% |
| Win Days | 52.74% | 52.88% |
| Win Month | 54.72% | 64.15% |
| Win Quarter | 47.37% | 68.42% |
| Win Year | 66.67% | 83.33% |
| Beta | 0.3 | - |
| Alpha | -0.01 | - |
| Correlation | 30.5% | - |
| Treynor Ratio | -314.22% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 1.71 | 2.68 | 1.57 | + |
| 2020 | 17.99 | -2.62 | -0.15 | - |
| 2021 | 29.88 | 3.12 | 0.10 | - |
| 2022 | -18.32 | 0.60 | -0.03 | + |
| 2023 | 26.29 | -1.47 | -0.06 | - |
| 2024 | 6.78 | 4.31 | 0.64 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-29 | 2024-04-24 | -32.61 | 665 |
| 2021-10-27 | 2022-05-23 | -31.65 | 208 |
| 2020-01-13 | 2021-06-09 | -29.76 | 513 |
| 2022-05-25 | 2022-06-10 | -10.84 | 16 |
| 2021-06-11 | 2021-09-02 | -4.66 | 83 |
| 2021-09-16 | 2021-10-05 | -3.10 | 19 |
| 2022-06-23 | 2022-06-28 | -1.19 | 5 |
| 2021-10-15 | 2021-10-20 | -0.95 | 5 |
| 2021-10-21 | 2021-10-25 | -0.82 | 4 |
| 2021-09-07 | 2021-09-13 | -0.54 | 6 |