| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 42.0% | 98.0% |
| Cumulative Return | -22.09% | 18.37% |
| CAGR﹪ | -9.75% | 7.18% |
| Sharpe | -7.72 | -5.49 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -7.56 | -5.38 |
| Sortino | -7.9 | -6.1 |
| Smart Sortino | -7.74 | -5.98 |
| Sortino/√2 | -5.58 | -4.32 |
| Smart Sortino/√2 | -5.47 | -4.23 |
| Omega | 0.25 | 0.25 |
| Max Drawdown | -46.13% | -46.47% |
| Longest DD Days | 842 | 716 |
| Volatility (ann.) | 27.86% | 35.62% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.21 | 0.15 |
| Skew | -0.72 | 0.2 |
| Kurtosis | 11.11 | 0.62 |
| Expected Daily | -0.04% | 0.03% |
| Expected Monthly | -0.83% | 0.56% |
| Expected Yearly | -6.05% | 4.31% |
| Kelly Criterion | 0.15% | 1.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.91% | -3.64% |
| Expected Shortfall (cVaR) | -2.91% | -3.64% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | -0.05 | 0.06 |
| Gain/Pain (1M) | -0.25 | 0.28 |
| Payoff Ratio | 1.08 | 1.03 |
| Profit Factor | 0.95 | 1.06 |
| Common Sense Ratio | 0.95 | 1.16 |
| CPC Index | 0.49 | 0.55 |
| Tail Ratio | 1.0 | 1.09 |
| Outlier Win Ratio | 9.73 | 3.04 |
| Outlier Loss Ratio | 2.37 | 2.85 |
| MTD | 0.0% | -8.43% |
| 3M | 0.0% | 10.36% |
| 6M | 0.0% | 29.27% |
| YTD | 0.0% | 7.57% |
| 1Y | 0.0% | 46.47% |
| 3Y (ann.) | -9.75% | 7.18% |
| 5Y (ann.) | -9.75% | 7.18% |
| 10Y (ann.) | -9.75% | 7.18% |
| All-time (ann.) | -9.75% | 7.18% |
| Best Day | 7.64% | 10.21% |
| Worst Day | -15.16% | -6.24% |
| Best Month | 12.75% | 18.55% |
| Worst Month | -16.0% | -17.51% |
| Best Year | 15.69% | 64.9% |
| Worst Year | -35.39% | -35.83% |
| Avg. Drawdown | -17.36% | -7.09% |
| Avg. Drawdown Days | 292 | 65 |
| Recovery Factor | -0.48 | 0.4 |
| Ulcer Index | 0.27 | 0.23 |
| Serenity Index | -1.15 | -1.72 |
| Avg. Up Month | 6.36% | 8.37% |
| Avg. Down Month | -9.13% | -10.8% |
| Win Days | 48.08% | 50.25% |
| Win Month | 50.0% | 56.67% |
| Win Quarter | 50.0% | 54.55% |
| Win Year | 66.67% | 75.0% |
| Beta | 0.34 | - |
| Alpha | -0.11 | - |
| Correlation | 43.84% | - |
| Treynor Ratio | -2105.3% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.00 | 4.23 | 1.06 | + |
| 2022 | -35.83 | -35.39 | 0.99 | + |
| 2023 | 64.90 | 15.69 | 0.24 | - |
| 2024 | 7.57 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-28 | 2024-04-18 | -46.13 | 842 |
| 2021-11-23 | 2021-12-27 | -5.86 | 34 |
| 2021-11-16 | 2021-11-17 | -0.10 | 1 |