| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 74.0% | 77.0% |
| Cumulative Return | -32.17% | 15.32% |
| CAGR﹪ | -3.83% | 1.45% |
| Sharpe | -12.65 | -1439.04 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -12.05 | -1369.99 |
| Sortino | -10.58 | -15.87 |
| Smart Sortino | -10.07 | -15.11 |
| Sortino/√2 | -7.48 | -11.22 |
| Smart Sortino/√2 | -7.12 | -10.69 |
| Omega | 0.09 | 0.09 |
| Max Drawdown | -51.45% | -0.03% |
| Longest DD Days | 3612 | 90 |
| Volatility (ann.) | 16.69% | 0.14% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.07 | 54.9 |
| Skew | -0.49 | 2.67 |
| Kurtosis | 28.91 | 9.35 |
| Expected Daily | -0.02% | 0.01% |
| Expected Monthly | -0.32% | 0.12% |
| Expected Yearly | -3.47% | 1.3% |
| Kelly Criterion | -22.81% | 83.96% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.74% | -0.01% |
| Expected Shortfall (cVaR) | -1.74% | -0.01% |
| Max Consecutive Wins | 9 | 263 |
| Max Consecutive Losses | 8 | 5 |
| Gain/Pain Ratio | -0.03 | 33.22 |
| Gain/Pain (1M) | -0.13 | 1202.95 |
| Payoff Ratio | 0.65 | 3.05 |
| Profit Factor | 0.97 | 34.22 |
| Common Sense Ratio | 0.88 | 675.03 |
| CPC Index | 0.33 | 91.69 |
| Tail Ratio | 0.91 | 19.73 |
| Outlier Win Ratio | 3.15 | 214.9 |
| Outlier Loss Ratio | 1.97 | 872.44 |
| MTD | 0.0% | 0.3% |
| 3M | 0.0% | 1.34% |
| 6M | 0.0% | 2.71% |
| YTD | 0.0% | 2.07% |
| 1Y | 0.0% | 5.48% |
| 3Y (ann.) | -4.91% | 2.99% |
| 5Y (ann.) | -3.77% | 2.1% |
| 10Y (ann.) | -3.83% | 1.45% |
| All-time (ann.) | -3.83% | 1.45% |
| Best Day | 12.14% | 0.07% |
| Worst Day | -12.33% | -0.03% |
| Best Month | 13.92% | 0.47% |
| Worst Month | -17.4% | -0.0% |
| Best Year | 30.91% | 5.12% |
| Worst Year | -35.82% | 0.01% |
| Avg. Drawdown | -51.45% | -0.0% |
| Avg. Drawdown Days | 3612 | 8 |
| Recovery Factor | -0.63 | 581.63 |
| Ulcer Index | 0.29 | 0.0 |
| Serenity Index | -0.64 | -719223.47 |
| Avg. Up Month | 3.22% | 0.07% |
| Avg. Down Month | -9.34% | -0.0% |
| Win Days | 51.4% | 87.92% |
| Win Month | 50.54% | 94.96% |
| Win Quarter | 56.25% | 100.0% |
| Win Year | 44.44% | 100.0% |
| Beta | -0.35 | - |
| Alpha | -0.02 | - |
| Correlation | -0.3% | - |
| Treynor Ratio | 2077.65% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 0.01 | -35.82 | -4492.14 | - |
| 2015 | 0.02 | -13.64 | -570.20 | - |
| 2016 | 0.25 | 30.91 | 125.60 | + |
| 2017 | 0.82 | 14.80 | 18.12 | + |
| 2018 | 1.83 | -12.52 | -6.83 | - |
| 2019 | 2.21 | 19.67 | 8.89 | + |
| 2020 | 0.54 | -13.01 | -23.88 | - |
| 2021 | 0.05 | 4.12 | 91.17 | + |
| 2022 | 1.54 | -14.13 | -9.18 | - |
| 2023 | 5.12 | 0.00 | 0.00 | - |
| 2024 | 2.07 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2014-06-30 | 2024-05-20 | -51.45 | 3612 |