| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 95.0% |
| Cumulative Return | -15.9% | -11.78% |
| CAGR﹪ | -8.45% | -6.19% |
| Sharpe | -0.18 | -0.61 |
| Prob. Sharpe Ratio | 7.95% | 4.1% |
| Smart Sharpe | -0.18 | -0.58 |
| Sortino | -0.21 | -0.8 |
| Smart Sortino | -0.2 | -0.76 |
| Sortino/√2 | -0.15 | -0.56 |
| Smart Sortino/√2 | -0.14 | -0.54 |
| Omega | 0.96 | 0.96 |
| Max Drawdown | -50.23% | -30.25% |
| Longest DD Days | 524 | 668 |
| Volatility (ann.) | 42.51% | 20.95% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -0.17 | -0.2 |
| Skew | -6.03 | -0.92 |
| Kurtosis | 69.63 | 6.22 |
| Expected Daily | -0.04% | -0.03% |
| Expected Monthly | -0.82% | -0.6% |
| Expected Yearly | -5.61% | -4.09% |
| Kelly Criterion | 0.47% | -5.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.41% | -2.19% |
| Expected Shortfall (cVaR) | -4.41% | -2.19% |
| Max Consecutive Wins | 8 | 9 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | -0.01 | -0.05 |
| Gain/Pain (1M) | -0.01 | -0.16 |
| Payoff Ratio | 0.91 | 0.87 |
| Profit Factor | 0.99 | 0.95 |
| Common Sense Ratio | 1.28 | 0.9 |
| CPC Index | 0.48 | 0.42 |
| Tail Ratio | 1.29 | 0.95 |
| Outlier Win Ratio | 2.94 | 4.61 |
| Outlier Loss Ratio | 2.78 | 4.21 |
| MTD | -21.81% | 2.95% |
| 3M | -29.66% | -7.27% |
| 6M | -1.54% | 6.97% |
| YTD | 9.55% | 11.44% |
| 1Y | 35.69% | 16.01% |
| 3Y (ann.) | -8.45% | -6.19% |
| 5Y (ann.) | -8.45% | -6.19% |
| 10Y (ann.) | -8.45% | -6.19% |
| All-time (ann.) | -8.45% | -6.19% |
| Best Day | 9.98% | 3.99% |
| Worst Day | -32.81% | -8.89% |
| Best Month | 28.06% | 7.44% |
| Worst Month | -32.81% | -9.14% |
| Best Year | 9.55% | 11.44% |
| Worst Year | -24.1% | -20.91% |
| Avg. Drawdown | -8.17% | -17.85% |
| Avg. Drawdown Days | 57 | 356 |
| Recovery Factor | -0.32 | -0.39 |
| Ulcer Index | 0.26 | 0.17 |
| Serenity Index | -0.05 | -0.05 |
| Avg. Up Month | 11.57% | 5.85% |
| Avg. Down Month | -11.33% | -5.84% |
| Win Days | 52.53% | 50.82% |
| Win Month | 57.14% | 42.86% |
| Win Quarter | 66.67% | 44.44% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.96 | - |
| Alpha | 0.05 | - |
| Correlation | 47.28% | - |
| Treynor Ratio | -23.87% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.10 | 1.15 | 11.78 | + |
| 2022 | -20.91 | -24.10 | 1.15 | - |
| 2023 | 11.44 | 9.55 | 0.83 | - |
| 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 | 2023-06-28 | -1.65 | 8 |
| 2023-07-20 | 2023-07-28 | -1.46 | 8 |
| 2023-07-03 | 2023-07-07 | -1.07 | 4 |
| 2023-07-17 | 2023-07-19 | -0.79 | 2 |
| 2023-08-07 | 2023-08-09 | -0.76 | 2 |
| 2023-07-10 | 2023-07-12 | -0.58 | 2 |