| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -2.78% | 16.46% |
| CAGR﹪ | -1.41% | 7.98% |
| Sharpe | 0.21 | 12.86 |
| Prob. Sharpe Ratio | 60.37% | 100.0% |
| Smart Sharpe | 0.21 | 12.63 |
| Sortino | 0.26 | - |
| Smart Sortino | 0.26 | - |
| Sortino/√2 | 0.19 | - |
| Smart Sortino/√2 | 0.18 | - |
| Omega | 1.04 | 1.04 |
| Max Drawdown | -55.76% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 46.27% | 0.73% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | -0.03 | - |
| Skew | -3.07 | 10.04 |
| Kurtosis | 30.2 | 104.41 |
| Expected Daily | -0.01% | 0.04% |
| Expected Monthly | -0.13% | 0.69% |
| Expected Yearly | -0.94% | 5.21% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.76% | -0.04% |
| Expected Shortfall (cVaR) | -4.76% | -0.04% |
| Max Consecutive Wins | 7 | 408 |
| Max Consecutive Losses | 12 | 0 |
| Gain/Pain Ratio | 0.04 | - |
| Gain/Pain (1M) | 0.13 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.04 | - |
| Common Sense Ratio | 1.06 | - |
| CPC Index | - | - |
| Tail Ratio | 1.02 | 1.84 |
| Outlier Win Ratio | 1.63 | 82.3 |
| Outlier Loss Ratio | 1.87 | - |
| MTD | -10.15% | 1.13% |
| 3M | -23.48% | 3.8% |
| 6M | 13.18% | 5.9% |
| YTD | 43.51% | 7.97% |
| 1Y | 79.43% | 9.33% |
| 3Y (ann.) | -1.41% | 7.98% |
| 5Y (ann.) | -1.41% | 7.98% |
| 10Y (ann.) | -1.41% | 7.98% |
| All-time (ann.) | -1.41% | 7.98% |
| Best Day | 7.04% | 0.57% |
| Worst Day | -30.74% | 0.0% |
| Best Month | 34.23% | 1.13% |
| Worst Month | -32.45% | 0.55% |
| Best Year | 43.51% | 7.97% |
| Worst Year | -38.81% | 1.21% |
| Avg. Drawdown | -11.1% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.05 | - |
| Ulcer Index | 0.31 | 0.0 |
| Serenity Index | -0.0 | - |
| Avg. Up Month | 10.28% | 0.65% |
| Avg. Down Month | - | - |
| Win Days | 51.73% | 100.0% |
| Win Month | 63.64% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -20.95 | - |
| Alpha | 2.07 | - |
| Correlation | -33.08% | - |
| Treynor Ratio | 0.13% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.21 | 10.71 | 8.84 | + |
| 2022 | 6.57 | -38.81 | -5.91 | - |
| 2023 | 7.97 | 43.51 | 5.46 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2023-06-28 | -55.76 | 539 |
| 2023-09-06 | 2023-11-02 | -25.31 | 57 |
| 2023-08-11 | 2023-09-05 | -10.66 | 25 |
| 2021-11-23 | 2022-01-03 | -7.28 | 41 |
| 2023-07-20 | 2023-07-31 | -5.46 | 11 |
| 2023-07-06 | 2023-07-12 | -2.38 | 6 |
| 2023-07-03 | 2023-07-05 | -1.70 | 2 |
| 2023-08-02 | 2023-08-04 | -1.17 | 2 |
| 2021-11-10 | 2021-11-12 | -0.76 | 2 |
| 2023-08-07 | 2023-08-09 | -0.53 | 2 |