| Metric | bh_ret | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 71.0% | 71.0% |
| Cumulative Return | -5.22% | 2.56% |
| CAGR﹪ | -8.78% | 4.43% |
| Sharpe | -1.56 | 0.78 |
| Prob. Sharpe Ratio | 10.86% | 72.77% |
| Smart Sharpe | -1.41 | 0.71 |
| Sortino | -1.97 | 1.22 |
| Smart Sortino | -1.78 | 1.1 |
| Sortino/√2 | -1.39 | 0.86 |
| Smart Sortino/√2 | -1.26 | 0.78 |
| Omega | 1.16 | 1.16 |
| Max Drawdown | -7.54% | -3.21% |
| Max DD Date | 2024-12-18 | 2024-09-26 |
| Max DD Period Start | 2024-08-26 | 2024-08-12 |
| Max DD Period End | 2024-12-31 | 2024-11-10 |
| Longest DD Days | 128 | 91 |
| Volatility (ann.) | 5.79% | 5.76% |
| R^2 | 0.99 | 0.99 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | -1.17 | 1.38 |
| Skew | -0.85 | 0.76 |
| Kurtosis | 4.35 | 3.75 |
| Expected Daily | -0.04% | 0.02% |
| Expected Monthly | -1.07% | 0.51% |
| Expected Yearly | -5.22% | 2.56% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.64% | -0.58% |
| Expected Shortfall (cVaR) | -0.64% | -0.58% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | -0.26 | 0.16 |
| Gain/Pain (1M) | -0.73 | 0.94 |
| Payoff Ratio | - | - |
| Profit Factor | 0.74 | 1.16 |
| Common Sense Ratio | 0.78 | 1.04 |
| CPC Index | - | - |
| Tail Ratio | 1.06 | 0.9 |
| Outlier Win Ratio | 5.32 | 4.81 |
| Outlier Loss Ratio | 2.81 | 2.74 |
| MTD | -2.09% | 1.74% |
| 3M | -7.2% | 5.72% |
| 6M | -5.22% | 2.56% |
| YTD | -5.22% | 2.56% |
| 1Y | -5.22% | 2.56% |
| 3Y (ann.) | -8.78% | 4.43% |
| 5Y (ann.) | -8.78% | 4.43% |
| 10Y (ann.) | -8.78% | 4.43% |
| All-time (ann.) | -8.78% | 4.43% |
| Best Day | 0.76% | 1.73% |
| Worst Day | -1.84% | -0.76% |
| Best Month | 1.12% | 2.29% |
| Worst Month | -2.81% | -1.6% |
| Best Year | -5.22% | 2.56% |
| Worst Year | -5.22% | 2.56% |
| Avg. Drawdown | -2.09% | -1.61% |
| Avg. Drawdown Days | 34 | 33 |
| Recovery Factor | 0.7 | 0.82 |
| Ulcer Index | 0.04 | 0.02 |
| Serenity Index | -0.06 | 0.21 |
| Avg. Up Month | - | - |
| Avg. Down Month | - | - |
| Win Days | 41.35% | 53.85% |
| Win Month | 40.0% | 60.0% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 0.0% | 100.0% |
| Beta | - | -0.99 |
| Alpha | - | -0.04 |
| Correlation | - | -99.33% |
| Treynor Ratio | - | -2.59% |
| Year | bh_ret | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | -5.22 | 2.56 | -0.49 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-08-12 | 2024-11-10 | -3.21 | 91 |
| 2024-11-25 | 2024-12-17 | -1.80 | 23 |
| 2024-12-19 | 2024-12-30 | -0.77 | 12 |
| 2024-11-15 | 2024-11-20 | -0.67 | 6 |