| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -10.19% | 15.76% |
| CAGR﹪ | -5.2% | 7.55% |
| Sharpe | 0.08 | 10.67 |
| Prob. Sharpe Ratio | 53.75% | 100.0% |
| Smart Sharpe | 0.07 | 10.24 |
| Sortino | 0.09 | - |
| Smart Sortino | 0.09 | - |
| Sortino/√2 | 0.06 | - |
| Smart Sortino/√2 | 0.06 | - |
| Omega | 1.02 | 1.02 |
| Max Drawdown | -50.23% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 42.02% | 0.87% |
| R^2 | 0.43 | 0.43 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.1 | - |
| Skew | -6.08 | 11.85 |
| Kurtosis | 71.1 | 146.45 |
| Expected Daily | -0.03% | 0.04% |
| Expected Monthly | -0.49% | 0.67% |
| Expected Yearly | -3.52% | 5.0% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.34% | -0.05% |
| Expected Shortfall (cVaR) | -4.34% | -0.05% |
| Max Consecutive Wins | 8 | 395 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.02 | - |
| Gain/Pain (1M) | 0.05 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.02 | - |
| Common Sense Ratio | 1.32 | - |
| CPC Index | - | - |
| Tail Ratio | 1.3 | 1.84 |
| Outlier Win Ratio | 1.76 | 61.66 |
| Outlier Loss Ratio | 1.68 | - |
| MTD | -21.81% | 1.13% |
| 3M | -29.66% | 3.8% |
| 6M | -1.54% | 5.9% |
| YTD | 9.55% | 7.29% |
| 1Y | 35.69% | 8.64% |
| 3Y (ann.) | -5.2% | 7.55% |
| 5Y (ann.) | -5.2% | 7.55% |
| 10Y (ann.) | -5.2% | 7.55% |
| All-time (ann.) | -5.2% | 7.55% |
| Best Day | 9.98% | 0.82% |
| Worst Day | -32.81% | 0.0% |
| Best Month | 28.06% | 1.13% |
| Worst Month | -32.81% | 0.0% |
| Best Year | 9.55% | 7.29% |
| Worst Year | -24.1% | 1.25% |
| Avg. Drawdown | -7.09% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.2 | - |
| Ulcer Index | 0.26 | 0.0 |
| Serenity Index | -0.02 | - |
| Avg. Up Month | 9.3% | 0.65% |
| Avg. Down Month | - | - |
| Win Days | 53.11% | 100.0% |
| Win Month | 61.9% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -31.45 | - |
| Alpha | 2.96 | - |
| Correlation | -65.36% | - |
| Treynor Ratio | 0.32% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.25 | 8.01 | 6.43 | + |
| 2022 | 6.57 | -24.10 | -3.67 | - |
| 2023 | 7.29 | 9.55 | 1.31 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2023-06-14 | -50.23 | 524 |
| 2023-08-14 | 2023-11-02 | -32.63 | 80 |
| 2021-11-23 | 2022-01-04 | -6.38 | 42 |
| 2021-11-17 | 2021-11-22 | -1.71 | 5 |
| 2023-06-20 | 2023-06-26 | -1.65 | 6 |
| 2023-07-20 | 2023-07-28 | -1.46 | 8 |
| 2023-07-03 | 2023-07-07 | -1.07 | 4 |
| 2021-11-08 | 2021-11-12 | -0.81 | 4 |
| 2023-07-17 | 2023-07-19 | -0.79 | 2 |
| 2023-08-07 | 2023-08-09 | -0.76 | 2 |