| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 51.0% | 99.0% |
| Cumulative Return | 3.68% | 43.54% |
| CAGR﹪ | 1.09% | 11.45% |
| Sharpe | -13.94 | -11.63 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -12.88 | -10.75 |
| Sortino | -10.88 | -9.87 |
| Smart Sortino | -10.06 | -9.12 |
| Sortino/√2 | -7.7 | -6.98 |
| Smart Sortino/√2 | -7.11 | -6.45 |
| Omega | 0.09 | 0.09 |
| Max Drawdown | -27.75% | -24.49% |
| Longest DD Days | 847 | 708 |
| Volatility (ann.) | 14.82% | 16.91% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.04 | 0.47 |
| Skew | -3.48 | -0.15 |
| Kurtosis | 55.61 | 1.88 |
| Expected Daily | 0.0% | 0.04% |
| Expected Monthly | 0.09% | 0.89% |
| Expected Yearly | 0.73% | 7.5% |
| Kelly Criterion | 3.9% | 2.06% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.53% | -1.7% |
| Expected Shortfall (cVaR) | -1.53% | -1.7% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.04 | 0.13 |
| Gain/Pain (1M) | 0.21 | 0.63 |
| Payoff Ratio | 0.89 | 0.97 |
| Profit Factor | 1.04 | 1.13 |
| Common Sense Ratio | 0.91 | 1.2 |
| CPC Index | 0.51 | 0.57 |
| Tail Ratio | 0.88 | 1.06 |
| Outlier Win Ratio | 8.25 | 3.14 |
| Outlier Loss Ratio | 2.68 | 3.34 |
| MTD | 0.0% | -3.85% |
| 3M | 0.0% | 4.07% |
| 6M | 0.0% | 19.76% |
| YTD | 0.0% | 6.3% |
| 1Y | 0.0% | 23.95% |
| 3Y (ann.) | -2.64% | 8.2% |
| 5Y (ann.) | 1.09% | 11.45% |
| 10Y (ann.) | 1.09% | 11.45% |
| All-time (ann.) | 1.09% | 11.45% |
| Best Day | 5.35% | 5.55% |
| Worst Day | -13.61% | -4.32% |
| Best Month | 5.96% | 9.22% |
| Worst Month | -9.4% | -9.21% |
| Best Year | 26.22% | 28.71% |
| Worst Year | -20.03% | -18.11% |
| Avg. Drawdown | -2.6% | -1.62% |
| Avg. Drawdown Days | 43 | 19 |
| Recovery Factor | 0.13 | 1.78 |
| Ulcer Index | 0.15 | 0.1 |
| Serenity Index | -1.63 | -3.82 |
| Avg. Up Month | 3.12% | 4.14% |
| Avg. Down Month | -4.37% | -4.9% |
| Win Days | 54.84% | 51.73% |
| Win Month | 65.22% | 63.41% |
| Win Quarter | 77.78% | 66.67% |
| Win Year | 75.0% | 80.0% |
| Beta | 0.3 | - |
| Alpha | -0.01 | - |
| Correlation | 34.77% | - |
| Treynor Ratio | -2284.88% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.45 | 1.16 | 0.80 | - |
| 2021 | 28.71 | 26.22 | 0.91 | - |
| 2022 | -18.11 | -20.03 | 1.11 | - |
| 2023 | 26.29 | 1.55 | 0.06 | - |
| 2024 | 6.30 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-30 | 2024-04-25 | -27.75 | 847 |
| 2021-09-07 | 2021-10-26 | -6.10 | 49 |
| 2021-02-17 | 2021-04-01 | -5.45 | 43 |
| 2021-11-23 | 2021-12-27 | -4.38 | 34 |
| 2021-05-10 | 2021-06-09 | -3.45 | 30 |
| 2021-01-22 | 2021-02-05 | -3.24 | 14 |
| 2021-07-14 | 2021-07-23 | -2.51 | 9 |
| 2021-04-27 | 2021-05-07 | -1.69 | 10 |
| 2021-08-16 | 2021-08-23 | -1.67 | 7 |
| 2021-06-16 | 2021-06-24 | -1.57 | 8 |