| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 88.0% | 12.0% |
| Cumulative Return | -17.07% | 18.52% |
| CAGR﹪ | -6.73% | 6.53% |
| Sharpe | -0.91 | 0.42 |
| Prob. Sharpe Ratio | 3.08% | 30.45% |
| Smart Sharpe | -0.89 | 0.41 |
| Sortino | -1.15 | 0.66 |
| Smart Sortino | -1.13 | 0.65 |
| Sortino/√2 | -0.81 | 0.47 |
| Smart Sortino/√2 | -0.8 | 0.46 |
| Omega | 0.85 | 0.85 |
| Max Drawdown | -31.69% | -29.43% |
| Longest DD Days | 974 | 730 |
| Volatility (ann.) | 22.82% | 31.09% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.21 | 0.22 |
| Skew | -1.25 | 1.12 |
| Kurtosis | 7.78 | 14.6 |
| Expected Daily | -0.07% | 0.06% |
| Expected Monthly | -0.57% | 0.52% |
| Expected Yearly | -4.57% | 4.34% |
| Kelly Criterion | -3.43% | 33.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.42% | -3.14% |
| Expected Shortfall (cVaR) | -2.42% | -3.14% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 8 | 3 |
| Gain/Pain Ratio | -0.11 | 0.31 |
| Gain/Pain (1M) | -0.36 | 0.31 |
| Payoff Ratio | 0.87 | 2.11 |
| Profit Factor | 0.89 | 1.31 |
| Common Sense Ratio | 0.88 | 15.92 |
| CPC Index | 0.4 | 1.51 |
| Tail Ratio | 0.99 | 12.12 |
| Outlier Win Ratio | 7.72 | 18.1 |
| Outlier Loss Ratio | 4.19 | 1.1 |
| MTD | 0.0% | 5.4% |
| 3M | 0.0% | 6.12% |
| 6M | 0.0% | 16.05% |
| YTD | 0.0% | 20.33% |
| 1Y | 0.0% | 22.56% |
| 3Y (ann.) | -6.73% | 6.53% |
| 5Y (ann.) | -6.73% | 6.53% |
| 10Y (ann.) | -6.73% | 6.53% |
| All-time (ann.) | -6.73% | 6.53% |
| Best Day | 3.67% | 12.0% |
| Worst Day | -9.88% | -8.48% |
| Best Month | 8.46% | 12.0% |
| Worst Month | -9.88% | -8.48% |
| Best Year | 3.01% | 20.33% |
| Worst Year | -18.79% | -9.36% |
| Avg. Drawdown | -15.94% | -11.93% |
| Avg. Drawdown Days | 488 | 264 |
| Recovery Factor | -0.54 | 0.63 |
| Ulcer Index | 0.2 | 0.17 |
| Serenity Index | -0.05 | 0.04 |
| Avg. Up Month | 8.46% | 9.34% |
| Avg. Down Month | -7.98% | -5.31% |
| Win Days | 51.81% | 54.55% |
| Win Month | 35.71% | 53.12% |
| Win Quarter | 33.33% | 58.33% |
| Win Year | 33.33% | 50.0% |
| Beta | 0.07 | - |
| Alpha | -0.15 | - |
| Correlation | 9.38% | - |
| Treynor Ratio | -349.46% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -2.15 | -0.87 | 0.41 | + |
| 2022 | -9.36 | -18.79 | 2.01 | - |
| 2023 | 11.05 | 3.01 | 0.27 | - |
| 2024 | 20.33 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-22 | 2024-07-23 | -31.69 | 974 |
| 2021-11-17 | 2021-11-19 | -0.19 | 2 |