| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | 3.18% | 31.97% |
| CAGR﹪ | 0.98% | 9.05% |
| Sharpe | -5.39 | -2.24 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.63 | -1.92 |
| Sortino | -5.85 | -2.82 |
| Smart Sortino | -5.02 | -2.42 |
| Sortino/√2 | -4.14 | -1.99 |
| Smart Sortino/√2 | -3.55 | -1.71 |
| Omega | 0.32 | 0.32 |
| Max Drawdown | -19.37% | -33.79% |
| Longest DD Days | 472 | 416 |
| Volatility (ann.) | 12.5% | 24.97% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.05 | 0.27 |
| Skew | -1.41 | -0.41 |
| Kurtosis | 23.34 | 12.04 |
| Expected Daily | 0.0% | 0.04% |
| Expected Monthly | 0.09% | 0.82% |
| Expected Yearly | 0.63% | 5.7% |
| Kelly Criterion | -0.97% | 0.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.29% | -2.53% |
| Expected Shortfall (cVaR) | -1.29% | -2.53% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.03 | 0.11 |
| Gain/Pain (1M) | 0.14 | 0.56 |
| Payoff Ratio | 0.82 | 0.88 |
| Profit Factor | 1.03 | 1.11 |
| Common Sense Ratio | 0.94 | 1.05 |
| CPC Index | 0.46 | 0.52 |
| Tail Ratio | 0.91 | 0.94 |
| Outlier Win Ratio | 7.47 | 3.1 |
| Outlier Loss Ratio | 5.56 | 2.98 |
| MTD | -4.04% | -2.46% |
| 3M | -2.89% | -0.99% |
| 6M | -2.7% | -2.99% |
| YTD | -0.41% | 3.66% |
| 1Y | -10.89% | -6.2% |
| 3Y (ann.) | 4.43% | 23.64% |
| 5Y (ann.) | 0.98% | 9.05% |
| 10Y (ann.) | 0.98% | 9.05% |
| All-time (ann.) | 0.98% | 9.05% |
| Best Day | 6.07% | 9.39% |
| Worst Day | -6.59% | -11.98% |
| Best Month | 5.86% | 12.82% |
| Worst Month | -8.22% | -12.35% |
| Best Year | 13.01% | 29.88% |
| Worst Year | -12.83% | -18.32% |
| Avg. Drawdown | -2.38% | -2.06% |
| Avg. Drawdown Days | 46 | 16 |
| Recovery Factor | 0.16 | 0.95 |
| Ulcer Index | 0.07 | 0.1 |
| Serenity Index | -0.87 | -0.56 |
| Avg. Up Month | 2.62% | 4.93% |
| Avg. Down Month | -2.81% | -5.56% |
| Win Days | 54.59% | 53.22% |
| Win Month | 51.52% | 61.76% |
| Win Quarter | 61.54% | 76.92% |
| Win Year | 60.0% | 80.0% |
| Beta | 0.23 | - |
| Alpha | -0.01 | - |
| Correlation | 44.97% | - |
| Treynor Ratio | -429.94% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 1.71 | 0.95 | 0.56 | - |
| 2020 | 17.99 | 13.01 | 0.72 | - |
| 2021 | 29.88 | 4.18 | 0.14 | - |
| 2022 | -18.32 | -12.83 | 0.70 | + |
| 2023 | 3.66 | -0.41 | -0.11 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2023-02-24 | -19.37 | 472 |
| 2020-02-25 | 2020-06-10 | -16.18 | 106 |
| 2020-08-07 | 2021-06-09 | -5.89 | 306 |
| 2021-09-07 | 2021-10-28 | -3.30 | 51 |
| 2021-07-30 | 2021-08-23 | -1.44 | 24 |
| 2021-06-14 | 2021-07-06 | -1.37 | 22 |
| 2020-06-11 | 2020-06-19 | -1.10 | 8 |
| 2020-06-25 | 2020-07-02 | -0.99 | 7 |
| 2020-01-06 | 2020-01-16 | -0.82 | 10 |
| 2021-10-29 | 2021-11-05 | -0.62 | 7 |