| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 18.47% | 53.38% |
| CAGR﹪ | 5.95% | 15.71% |
| Sharpe | -2.86 | -9.03 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -1.94 | -6.14 |
| Sortino | -4.5 | -8.66 |
| Smart Sortino | -3.06 | -5.89 |
| Sortino/√2 | -3.18 | -6.12 |
| Smart Sortino/√2 | -2.16 | -4.16 |
| Omega | 0.43 | 0.43 |
| Max Drawdown | -52.3% | -27.13% |
| Longest DD Days | 834 | 273 |
| Volatility (ann.) | 64.31% | 21.12% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.11 | 0.58 |
| Skew | 6.34 | 0.42 |
| Kurtosis | 123.6 | 4.12 |
| Expected Daily | 0.02% | 0.06% |
| Expected Monthly | 0.47% | 1.2% |
| Expected Yearly | 4.33% | 11.29% |
| Kelly Criterion | -1.36% | 6.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.56% | -2.12% |
| Expected Shortfall (cVaR) | -6.56% | -2.12% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 7 | 14 |
| Gain/Pain Ratio | 0.13 | 0.16 |
| Gain/Pain (1M) | 0.85 | 0.81 |
| Payoff Ratio | 0.98 | 0.86 |
| Profit Factor | 1.13 | 1.16 |
| Common Sense Ratio | 1.06 | 1.15 |
| CPC Index | 0.55 | 0.57 |
| Tail Ratio | 0.94 | 0.99 |
| Outlier Win Ratio | 3.49 | 6.38 |
| Outlier Loss Ratio | 3.26 | 5.27 |
| MTD | 1.58% | 1.5% |
| 3M | -13.45% | -14.27% |
| 6M | -4.61% | -4.25% |
| YTD | -8.03% | -4.78% |
| 1Y | -6.17% | 2.22% |
| 3Y (ann.) | 5.59% | 16.29% |
| 5Y (ann.) | 5.95% | 15.71% |
| 10Y (ann.) | 5.95% | 15.71% |
| All-time (ann.) | 5.95% | 15.71% |
| Best Day | 65.24% | 9.2% |
| Worst Day | -37.87% | -4.1% |
| Best Month | 44.02% | 13.91% |
| Worst Month | -40.91% | -10.13% |
| Best Year | 12.76% | 54.34% |
| Worst Year | -8.03% | -4.78% |
| Avg. Drawdown | -6.65% | -2.93% |
| Avg. Drawdown Days | 67 | 26 |
| Recovery Factor | 0.35 | 1.97 |
| Ulcer Index | 0.21 | 0.11 |
| Serenity Index | -3.78 | -3.88 |
| Avg. Up Month | 5.38% | 5.31% |
| Avg. Down Month | -7.03% | -4.6% |
| Win Days | 49.84% | 56.89% |
| Win Month | 55.56% | 61.11% |
| Win Quarter | 53.85% | 61.54% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.45 | - |
| Alpha | 0.17 | - |
| Correlation | 14.91% | - |
| Treynor Ratio | -1501.08% | - |
| 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 | -4.78 | -8.03 | 1.68 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-07 | 2025-11-18 | -52.30 | 834 |
| 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 |