| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -9.21% | -46.43% |
| CAGR﹪ | -7.25% | -38.48% |
| Sharpe | -5.22 | -4.88 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.8 | -4.49 |
| Sortino | -5.14 | -5.14 |
| Smart Sortino | -4.73 | -4.72 |
| Sortino/√2 | -3.64 | -3.63 |
| Smart Sortino/√2 | -3.34 | -3.34 |
| Omega | 0.24 | 0.24 |
| Max Drawdown | -40.33% | -53.8% |
| Longest DD Days | 197 | 463 |
| Volatility (ann.) | 40.37% | 54.58% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | -0.18 | -0.72 |
| Skew | -8.31 | -3.85 |
| Kurtosis | 99.95 | 46.78 |
| Expected Daily | -0.05% | -0.3% |
| Expected Monthly | -0.87% | -5.52% |
| Expected Yearly | -3.17% | -18.78% |
| Kelly Criterion | -7.51% | 2.34% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.19% | -5.88% |
| Expected Shortfall (cVaR) | -4.19% | -5.88% |
| Max Consecutive Wins | 4 | 7 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | -0.01 | -0.25 |
| Gain/Pain (1M) | -0.04 | -0.77 |
| Payoff Ratio | 0.83 | 1.05 |
| Profit Factor | 0.99 | 0.75 |
| Common Sense Ratio | 1.26 | 0.52 |
| CPC Index | 0.42 | 0.39 |
| Tail Ratio | 1.28 | 0.7 |
| Outlier Win Ratio | 3.44 | 2.98 |
| Outlier Loss Ratio | 5.7 | 4.03 |
| MTD | 5.01% | -0.79% |
| 3M | 22.37% | -0.17% |
| 6M | 24.29% | -2.3% |
| YTD | 7.2% | 2.5% |
| 1Y | -13.73% | -28.42% |
| 3Y (ann.) | -7.25% | -38.48% |
| 5Y (ann.) | -7.25% | -38.48% |
| 10Y (ann.) | -7.25% | -38.48% |
| All-time (ann.) | -7.25% | -38.48% |
| Best Day | 4.75% | 20.04% |
| Worst Day | -30.6% | -33.28% |
| Best Month | 14.62% | 10.69% |
| Worst Month | -34.2% | -30.02% |
| Best Year | 7.2% | 2.5% |
| Worst Year | -17.47% | -43.12% |
| Avg. Drawdown | -7.07% | -27.08% |
| Avg. Drawdown Days | 36 | 232 |
| Recovery Factor | -0.23 | -0.86 |
| Ulcer Index | 0.25 | 0.39 |
| Serenity Index | -1.66 | -1.01 |
| Avg. Up Month | 3.89% | 4.79% |
| Avg. Down Month | -20.72% | -10.65% |
| Win Days | 51.21% | 50.0% |
| Win Month | 81.82% | 27.27% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 66.67% | 33.33% |
| Beta | 0.16 | - |
| Alpha | 0.08 | - |
| Correlation | 22.29% | - |
| Treynor Ratio | -4302.26% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -8.11 | 2.61 | -0.32 | + |
| 2022 | -43.12 | -17.47 | 0.41 | + |
| 2023 | 2.50 | 7.20 | 2.88 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-08-11 | 2023-02-24 | -40.33 | 197 |
| 2022-01-27 | 2022-02-21 | -5.92 | 25 |
| 2021-11-29 | 2022-01-05 | -3.22 | 37 |
| 2022-01-06 | 2022-01-24 | -2.96 | 18 |
| 2021-11-23 | 2021-11-26 | -1.38 | 3 |
| 2021-11-17 | 2021-11-19 | -1.35 | 2 |
| 2022-02-22 | 2022-02-25 | -1.15 | 3 |
| 2022-01-25 | 2022-01-26 | -0.29 | 1 |