| Metric | bh_ret | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 71.0% | 71.0% |
| Cumulative Return | -5.22% | -5.37% |
| CAGR﹪ | -8.78% | -9.03% |
| Sharpe | -1.56 | -1.6 |
| Prob. Sharpe Ratio | 10.86% | 10.19% |
| Smart Sharpe | -1.39 | -1.43 |
| Sortino | -1.97 | -2.02 |
| Smart Sortino | -1.76 | -1.8 |
| Sortino/√2 | -1.39 | -1.43 |
| Smart Sortino/√2 | -1.24 | -1.28 |
| Omega | 0.73 | 0.73 |
| Max Drawdown | -7.54% | -7.66% |
| Max DD Date | 2024-12-18 | 2024-12-18 |
| Max DD Period Start | 2024-08-26 | 2024-08-26 |
| Max DD Period End | 2024-12-31 | 2024-12-31 |
| Longest DD Days | 128 | 128 |
| Volatility (ann.) | 5.79% | 5.79% |
| R^2 | 1.0 | 1.0 |
| Information Ratio | -0.21 | -0.21 |
| Calmar | -1.17 | -1.18 |
| Skew | -0.85 | -0.84 |
| Kurtosis | 4.35 | 4.32 |
| Expected Daily | -0.04% | -0.04% |
| Expected Monthly | -1.07% | -1.1% |
| Expected Yearly | -5.22% | -5.37% |
| Kelly Criterion | -13.49% | -15.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.64% | -0.64% |
| Expected Shortfall (cVaR) | -1.08% | -1.08% |
| Max Consecutive Wins | 4 | 4 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | -0.26 | -0.27 |
| Gain/Pain (1M) | -0.73 | -0.75 |
| Payoff Ratio | 1.07 | 1.06 |
| Profit Factor | 0.74 | 0.73 |
| Common Sense Ratio | 0.78 | 0.77 |
| CPC Index | 0.33 | 0.31 |
| Tail Ratio | 1.06 | 1.06 |
| Outlier Win Ratio | 4.31 | 4.26 |
| Outlier Loss Ratio | 3.33 | 3.36 |
| MTD | -2.09% | -2.09% |
| 3M | -7.2% | -7.24% |
| 6M | -5.22% | -5.37% |
| YTD | -5.22% | -5.37% |
| 1Y | -5.22% | -5.37% |
| 3Y (ann.) | -8.78% | -9.03% |
| 5Y (ann.) | -8.78% | -9.03% |
| 10Y (ann.) | -8.78% | -9.03% |
| All-time (ann.) | -8.78% | -9.03% |
| Best Day | 0.76% | 0.76% |
| Worst Day | -1.84% | -1.84% |
| Best Month | 1.12% | 1.09% |
| Worst Month | -2.81% | -2.81% |
| Best Year | -5.22% | -5.37% |
| Worst Year | -5.22% | -5.37% |
| Avg. Drawdown | -2.09% | -2.12% |
| Avg. Drawdown Days | 34 | 34 |
| Recovery Factor | 0.7 | 0.71 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | -0.06 | -0.06 |
| Avg. Up Month | 0.95% | 0.89% |
| Avg. Down Month | -2.39% | -2.4% |
| Win Days | 41.35% | 40.38% |
| Win Month | 40.0% | 40.0% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 0.0% | 0.0% |
| Beta | - | 1.0 |
| Alpha | - | -0.0 |
| Correlation | - | 99.99% |
| Treynor Ratio | - | -5.37% |
| Year | bh_ret | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | -5.22 | -5.37 | 1.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-08-26 | 2024-12-31 | -7.66 | 128 |
| 2024-08-15 | 2024-08-15 | -0.38 | 1 |
| 2024-08-22 | 2024-08-22 | -0.35 | 1 |
| 2024-08-07 | 2024-08-11 | -0.11 | 5 |
| Metric | bh_ret | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 71.0% | 71.0% |
| Cumulative Return | -5.22% | -29.2% |
| CAGR﹪ | -8.78% | -44.68% |
| Sharpe | -1.56 | -8.13 |
| Prob. Sharpe Ratio | 10.86% | 0.0% |
| Smart Sharpe | -1.49 | -7.8 |
| Sortino | -1.97 | -7.57 |
| Smart Sortino | -1.89 | -7.26 |
| Sortino/√2 | -1.39 | -5.36 |
| Smart Sortino/√2 | -1.33 | -5.13 |
| Omega | 0.16 | 0.16 |
| Max Drawdown | -7.54% | - |
| Max DD Date | 2024-12-18 | - |
| Max DD Period Start | 2024-08-26 | - |
| Max DD Period End | 2024-12-31 | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 5.79% | 7.24% |
| R^2 | 0.49 | 0.49 |
| Information Ratio | -0.6 | -0.6 |
| Calmar | -1.17 | -1.53 |
| Skew | -0.85 | -1.64 |
| Kurtosis | 4.35 | 6.02 |
| Expected Daily | -0.04% | -0.23% |
| Expected Monthly | -1.07% | -6.67% |
| Expected Yearly | -5.22% | -29.2% |
| Kelly Criterion | -6.58% | -124.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.64% | -0.98% |
| Expected Shortfall (cVaR) | -1.39% | -1.39% |
| Max Consecutive Wins | 4 | 3 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | -0.26 | -0.84 |
| Gain/Pain (1M) | -0.73 | -1.0 |
| Payoff Ratio | 1.22 | 0.53 |
| Profit Factor | 0.74 | 0.16 |
| Common Sense Ratio | 0.78 | 0.07 |
| CPC Index | 0.37 | 0.02 |
| Tail Ratio | 1.06 | 0.41 |
| Outlier Win Ratio | 4.09 | 6.95 |
| Outlier Loss Ratio | 4.5 | 2.91 |
| MTD | -2.09% | -10.1% |
| 3M | -7.2% | -26.45% |
| 6M | -5.22% | -29.2% |
| YTD | -5.22% | -29.2% |
| 1Y | -5.22% | -29.2% |
| 3Y (ann.) | -8.78% | -44.68% |
| 5Y (ann.) | -8.78% | -44.68% |
| 10Y (ann.) | -8.78% | -44.68% |
| All-time (ann.) | -8.78% | -44.68% |
| Best Day | 0.76% | 0.7% |
| Worst Day | -1.84% | -2.61% |
| Best Month | 1.12% | -1.49% |
| Worst Month | -2.81% | -11.74% |
| Best Year | -5.22% | -29.2% |
| Worst Year | -5.22% | -29.2% |
| Avg. Drawdown | -2.09% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.7 | 1.18 |
| Ulcer Index | 0.04 | 0.14 |
| Serenity Index | -0.03 | -0.06 |
| Avg. Up Month | - | - |
| Avg. Down Month | -2.39% | -9.55% |
| Win Days | 41.35% | 22.12% |
| Win Month | 40.0% | 0.0% |
| Win Quarter | 50.0% | 0.0% |
| Win Year | 0.0% | 0.0% |
| Beta | - | 0.87 |
| Alpha | - | -0.51 |
| Correlation | - | 69.81% |
| Treynor Ratio | - | -33.45% |
| Year | bh_ret | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | -5.22 | -29.20 | 5.59 | - |