| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 9.73% | 47.7% |
| CAGR﹪ | 2.5% | 10.93% |
| Sharpe | -3.35 | -9.17 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.31 | -6.31 |
| Sortino | -5.12 | -8.71 |
| Smart Sortino | -3.52 | -5.99 |
| Sortino/√2 | -3.62 | -6.16 |
| Smart Sortino/√2 | -2.49 | -4.24 |
| Omega | 0.38 | 0.38 |
| Max Drawdown | -52.3% | -34.23% |
| Longest DD Days | 1136 | 567 |
| Volatility (ann.) | 57.06% | 21.32% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.05 | 0.32 |
| Skew | 6.97 | 0.29 |
| Kurtosis | 153.46 | 3.54 |
| Expected Daily | 0.01% | 0.04% |
| Expected Monthly | 0.2% | 0.85% |
| Expected Yearly | 1.87% | 8.11% |
| Kelly Criterion | -0.68% | 4.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -2.16% |
| Expected Shortfall (cVaR) | -5.84% | -2.16% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 7 | 14 |
| Gain/Pain Ratio | 0.1 | 0.12 |
| Gain/Pain (1M) | 0.61 | 0.6 |
| Payoff Ratio | 0.99 | 0.89 |
| Profit Factor | 1.1 | 1.12 |
| Common Sense Ratio | 1.06 | 1.11 |
| CPC Index | 0.54 | 0.55 |
| Tail Ratio | 0.97 | 0.99 |
| Outlier Win Ratio | 3.55 | 5.62 |
| Outlier Loss Ratio | 3.49 | 5.1 |
| MTD | 4.84% | 4.86% |
| 3M | -6.82% | -6.19% |
| 6M | -14.77% | -15.6% |
| YTD | -11.92% | -10.92% |
| 1Y | -13.68% | -11.5% |
| 3Y (ann.) | -6.47% | -2.84% |
| 5Y (ann.) | 2.5% | 10.93% |
| 10Y (ann.) | 2.5% | 10.93% |
| All-time (ann.) | 2.5% | 10.93% |
| Best Day | 65.24% | 9.2% |
| Worst Day | -37.87% | -4.29% |
| Best Month | 44.02% | 13.91% |
| Worst Month | -40.91% | -10.13% |
| Best Year | 12.76% | 54.34% |
| Worst Year | -11.92% | -10.92% |
| Avg. Drawdown | -6.65% | -3.32% |
| Avg. Drawdown Days | 87 | 35 |
| Recovery Factor | 0.19 | 1.39 |
| Ulcer Index | 0.23 | 0.13 |
| Serenity Index | -2.86 | -3.07 |
| Avg. Up Month | 5.07% | 5.07% |
| Avg. Down Month | -5.93% | -4.13% |
| Win Days | 49.94% | 54.94% |
| Win Month | 52.17% | 56.52% |
| Win Quarter | 56.25% | 68.75% |
| Win Year | 60.0% | 80.0% |
| Beta | 0.52 | - |
| Alpha | 0.1 | - |
| Correlation | 19.56% | - |
| Treynor Ratio | -1318.11% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 2.69 | 9.69 | 3.61 | + |
| 2023 | 54.34 | 4.14 | 0.08 | - |
| 2024 | 1.64 | 12.76 | 7.80 | + |
| 2025 | 2.94 | -3.29 | -1.12 | - |
| 2026 | -10.92 | -11.92 | 1.09 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-07 | 2026-09-16 | -52.30 | 1136 |
| 2023-04-14 | 2023-06-13 | -8.86 | 60 |
| 2023-02-15 | 2023-04-06 | -7.13 | 50 |
| 2023-07-17 | 2023-07-28 | -3.83 | 11 |
| 2022-12-22 | 2023-01-04 | -3.74 | 13 |
| 2023-01-11 | 2023-01-18 | -3.38 | 7 |
| 2023-01-19 | 2023-01-30 | -3.31 | 11 |
| 2023-07-11 | 2023-07-12 | -3.14 | 1 |
| 2023-02-06 | 2023-02-13 | -3.06 | 7 |
| 2023-07-13 | 2023-07-14 | -2.89 | 1 |