| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -9.21% | 4.45% |
| CAGR﹪ | -7.25% | 3.45% |
| Sharpe | -0.05 | 0.35 |
| Prob. Sharpe Ratio | 48.22% | 61.5% |
| Smart Sharpe | -0.04 | 0.32 |
| Sortino | -0.05 | 0.39 |
| Smart Sortino | -0.05 | 0.36 |
| Sortino/√2 | -0.04 | 0.28 |
| Smart Sortino/√2 | -0.03 | 0.26 |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -40.33% | -32.89% |
| Longest DD Days | 197 | 364 |
| Volatility (ann.) | 40.37% | 35.39% |
| R^2 | 0.73 | 0.73 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.18 | 0.1 |
| Skew | -8.31 | -8.21 |
| Kurtosis | 99.95 | 102.77 |
| Expected Daily | -0.05% | 0.02% |
| Expected Monthly | -0.87% | 0.4% |
| Expected Yearly | -3.17% | 1.46% |
| Kelly Criterion | -7.81% | 2.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.19% | -3.62% |
| Expected Shortfall (cVaR) | -4.19% | -3.62% |
| Max Consecutive Wins | 4 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | -0.01 | 0.11 |
| Gain/Pain (1M) | -0.04 | 0.33 |
| Payoff Ratio | 0.83 | 0.9 |
| Profit Factor | 0.99 | 1.11 |
| Common Sense Ratio | 1.26 | 1.2 |
| CPC Index | 0.42 | 0.54 |
| Tail Ratio | 1.28 | 1.08 |
| Outlier Win Ratio | 3.09 | 3.9 |
| Outlier Loss Ratio | 2.85 | 3.73 |
| MTD | 5.01% | 9.04% |
| 3M | 22.37% | 25.42% |
| 6M | 24.29% | 27.12% |
| YTD | 7.2% | 8.91% |
| 1Y | -13.73% | -3.39% |
| 3Y (ann.) | -7.25% | 3.45% |
| 5Y (ann.) | -7.25% | 3.45% |
| 10Y (ann.) | -7.25% | 3.45% |
| All-time (ann.) | -7.25% | 3.45% |
| Best Day | 4.75% | 8.19% |
| Worst Day | -30.6% | -26.9% |
| Best Month | 14.62% | 14.61% |
| Worst Month | -34.2% | -27.43% |
| Best Year | 7.2% | 8.91% |
| Worst Year | -17.47% | -6.4% |
| Avg. Drawdown | -7.07% | -4.53% |
| Avg. Drawdown Days | 36 | 41 |
| Recovery Factor | -0.23 | 0.14 |
| Ulcer Index | 0.25 | 0.2 |
| Serenity Index | -0.02 | 0.01 |
| Avg. Up Month | 5.29% | 6.02% |
| Avg. Down Month | -20.72% | -15.19% |
| Win Days | 51.21% | 53.81% |
| Win Month | 81.82% | 63.64% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.97 | - |
| Alpha | -0.14 | - |
| Correlation | 85.22% | - |
| Treynor Ratio | -9.48% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.46 | 2.61 | 1.06 | + |
| 2022 | -6.40 | -17.47 | 2.73 | - |
| 2023 | 8.91 | 7.20 | 0.81 | - |
| 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 |