| Metric | BTC Buy-and-Hold | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 4.69% | 25.96% |
| CAGR﹪ | 3.23% | 17.38% |
| Sharpe | 1.72 | 1.1 |
| Prob. Sharpe Ratio | 98.05% | 90.65% |
| Smart Sharpe | 0.15 | 0.1 |
| Sortino | 2.72 | 1.67 |
| Smart Sortino | 0.24 | 0.15 |
| Sortino/√2 | 1.93 | 1.18 |
| Smart Sortino/√2 | 0.17 | 0.11 |
| Omega | 1.24 | 1.15 |
| Max Drawdown | -21.93% | -1.03% |
| Max DD Date | 2023-09-05 | 2023-01-03 |
| Max DD Period Start | 2023-06-29 | 2023-01-03 |
| Max DD Period End | 2023-11-10 | 2023-01-03 |
| Longest DD Days | 135 | 3 |
| Volatility (ann.) | 346.22% | 15.71% |
| R^2 | 0.97 | 0.97 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.15 | 16.83 |
| Skew | 0.0 | 0.01 |
| Kurtosis | -2.01 | -1.97 |
| Ulcer Performance Index | 0.33 | 39.71 |
| Risk-Adjusted Return | 3.23% | 17.38% |
| Risk-Return Ratio | 0.11 | 0.07 |
| Avg. Return | 2.36% | 0.07% |
| Avg. Win | 23.97% | 0.16% |
| Avg. Loss | -19.43% | -0.04% |
| Win/Loss Ratio | 1.23 | 3.85 |
| Profit Ratio | 1.23 | 1.16 |
| Expected Daily | 0.01% | 0.06% |
| Expected Monthly | 0.38% | 1.94% |
| Expected Yearly | 4.69% | 25.96% |
| Kelly Criterion | 9.47% | 36.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -33.52% | -1.56% |
| Expected Shortfall (cVaR) | -33.52% | -1.56% |
| Max Consecutive Wins | 1 | 2 |
| Max Consecutive Losses | 1 | 2 |
| Gain/Pain Ratio | 0.24 | 0.15 |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | 1.23 | 3.85 |
| Profit Factor | 1.24 | 1.15 |
| Common Sense Ratio | 1.55 | 1.33 |
| CPC Index | 0.77 | 2.21 |
| Tail Ratio | 1.25 | 1.15 |
| Outlier Win Ratio | 1.04 | 1.13 |
| Outlier Loss Ratio | 1.02 | 1.13 |
| MTD | 1.17% | 0.98% |
| 3M | 2.93% | 4.99% |
| 6M | 1.61% | 11.35% |
| YTD | 4.69% | 25.96% |
| 1Y | 4.69% | 25.96% |
| 3Y (ann.) | 3.23% | 17.38% |
| 5Y (ann.) | 3.23% | 17.38% |
| 10Y (ann.) | 3.23% | 17.38% |
| All-time (ann.) | 3.23% | 17.38% |
| Best Day | 25.3% | 1.2% |
| Worst Day | -19.95% | -1.03% |
| Best Month | 25.66% | 3.27% |
| Worst Month | -20.12% | 0.98% |
| Best Year | 4.69% | 25.96% |
| Worst Year | 4.69% | 25.96% |
| Avg. Drawdown | -19.94% | -0.93% |
| Avg. Drawdown Days | 15 | 1 |
| Recovery Factor | 39.01 | 24.07 |
| Ulcer Index | 0.14 | 0.01 |
| Serenity Index | 49.3 | 30.75 |
| Avg. Up Month | 8.55% | 1.56% |
| Avg. Down Month | - | - |
| Win Days | 50.0% | 49.86% |
| Win Month | 75.0% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | -0.04 |
| Alpha | - | 0.44 |
| Correlation | - | -98.44% |
| Treynor Ratio | - | -581.28% |
| Year | BTC Buy-and-Hold | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | -15.64 | 25.96 | -1.66 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-01-03 | 2023-01-03 | -1.03 | 1 |
| 2023-01-09 | 2023-01-09 | -1.03 | 1 |
| 2023-01-07 | 2023-01-07 | -1.03 | 1 |
| 2023-01-13 | 2023-01-13 | -1.03 | 1 |
| 2023-01-15 | 2023-01-15 | -1.02 | 1 |
| 2023-01-17 | 2023-01-17 | -1.02 | 1 |
| 2023-01-11 | 2023-01-11 | -1.02 | 1 |
| 2023-01-19 | 2023-01-19 | -1.02 | 1 |
| 2023-01-05 | 2023-01-05 | -1.02 | 1 |
| 2023-01-21 | 2023-01-21 | -1.01 | 1 |