| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 96.0% |
| Cumulative Return | -7.6% | -15.94% |
| CAGR﹪ | -3.96% | -8.5% |
| Sharpe | -4.32 | -5.91 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.24 | -5.8 |
| Sortino | -4.65 | -6.32 |
| Smart Sortino | -4.57 | -6.2 |
| Sortino/√2 | -3.29 | -4.47 |
| Smart Sortino/√2 | -3.23 | -4.38 |
| Omega | 0.44 | 0.44 |
| Max Drawdown | -55.76% | -45.02% |
| Longest DD Days | 539 | 666 |
| Volatility (ann.) | 46.73% | 36.07% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | -0.07 | -0.19 |
| Skew | -3.05 | -0.15 |
| Kurtosis | 29.69 | 0.81 |
| Expected Daily | -0.02% | -0.04% |
| Expected Monthly | -0.36% | -0.79% |
| Expected Yearly | -2.6% | -5.62% |
| Kelly Criterion | -0.12% | -1.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.81% | -3.75% |
| Expected Shortfall (cVaR) | -4.81% | -3.75% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 12 | 6 |
| Gain/Pain Ratio | 0.03 | -0.02 |
| Gain/Pain (1M) | 0.09 | -0.08 |
| Payoff Ratio | 0.94 | 0.89 |
| Profit Factor | 1.03 | 0.98 |
| Common Sense Ratio | 1.05 | 1.0 |
| CPC Index | 0.5 | 0.45 |
| Tail Ratio | 1.02 | 1.02 |
| Outlier Win Ratio | 3.06 | 3.71 |
| Outlier Loss Ratio | 3.28 | 3.5 |
| MTD | -10.15% | 4.95% |
| 3M | -23.48% | -13.91% |
| 6M | 13.18% | 12.36% |
| YTD | 43.51% | 29.88% |
| 1Y | 79.43% | 35.0% |
| 3Y (ann.) | -3.96% | -8.5% |
| 5Y (ann.) | -3.96% | -8.5% |
| 10Y (ann.) | -3.96% | -8.5% |
| All-time (ann.) | -3.96% | -8.5% |
| Best Day | 7.04% | 6.74% |
| Worst Day | -30.74% | -8.9% |
| Best Month | 34.23% | 16.39% |
| Worst Month | -32.45% | -17.11% |
| Best Year | 43.51% | 29.88% |
| Worst Year | -38.81% | -37.52% |
| Avg. Drawdown | -12.25% | -16.96% |
| Avg. Drawdown Days | 76 | 235 |
| Recovery Factor | -0.14 | -0.35 |
| Ulcer Index | 0.32 | 0.25 |
| Serenity Index | -1.15 | -1.53 |
| Avg. Up Month | 12.69% | 8.15% |
| Avg. Down Month | -15.75% | -10.49% |
| Win Days | 51.52% | 52.09% |
| Win Month | 63.64% | 45.45% |
| Win Quarter | 66.67% | 44.44% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.82 | - |
| Alpha | 0.1 | - |
| Correlation | 63.07% | - |
| Treynor Ratio | -866.01% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.58 | 5.22 | 1.46 | + |
| 2022 | -37.52 | -38.81 | 1.03 | - |
| 2023 | 29.88 | 43.51 | 1.46 | + |
| 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 |
| 2023-08-07 | 2023-08-09 | -0.53 | 2 |