| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 23.59% | 62.81% |
| CAGR﹪ | 7.73% | 18.7% |
| Sharpe | -2.78 | -8.96 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -1.89 | -6.08 |
| Sortino | -4.39 | -8.64 |
| Smart Sortino | -2.98 | -5.87 |
| Sortino/√2 | -3.11 | -6.11 |
| Smart Sortino/√2 | -2.11 | -4.15 |
| Omega | 0.44 | 0.44 |
| Max Drawdown | -52.3% | -27.13% |
| Longest DD Days | 802 | 273 |
| Volatility (ann.) | 65.27% | 20.99% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.15 | 0.69 |
| Skew | 6.26 | 0.49 |
| Kurtosis | 120.32 | 4.28 |
| Expected Daily | 0.03% | 0.07% |
| Expected Monthly | 0.61% | 1.4% |
| Expected Yearly | 5.44% | 12.96% |
| Kelly Criterion | -1.17% | 8.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.65% | -2.09% |
| Expected Shortfall (cVaR) | -6.65% | -2.09% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 7 | 14 |
| Gain/Pain Ratio | 0.14 | 0.19 |
| Gain/Pain (1M) | 0.95 | 0.99 |
| Payoff Ratio | 0.98 | 0.88 |
| Profit Factor | 1.14 | 1.19 |
| Common Sense Ratio | 1.09 | 1.19 |
| CPC Index | 0.56 | 0.6 |
| Tail Ratio | 0.95 | 1.0 |
| Outlier Win Ratio | 3.54 | 6.59 |
| Outlier Loss Ratio | 3.27 | 5.43 |
| MTD | 1.49% | 1.94% |
| 3M | -1.59% | 1.24% |
| 6M | -0.99% | 1.35% |
| YTD | -4.05% | 1.08% |
| 1Y | -0.52% | 6.91% |
| 3Y (ann.) | 7.73% | 18.7% |
| 5Y (ann.) | 7.73% | 18.7% |
| 10Y (ann.) | 7.73% | 18.7% |
| All-time (ann.) | 7.73% | 18.7% |
| Best Day | 65.24% | 9.2% |
| Worst Day | -37.87% | -3.98% |
| Best Month | 44.02% | 13.91% |
| Worst Month | -40.91% | -10.13% |
| Best Year | 12.76% | 54.34% |
| Worst Year | -4.05% | 1.08% |
| Avg. Drawdown | -6.65% | -2.92% |
| Avg. Drawdown Days | 65 | 25 |
| Recovery Factor | 0.45 | 2.31 |
| Ulcer Index | 0.21 | 0.11 |
| Serenity Index | -3.9 | -4.02 |
| Avg. Up Month | 5.37% | 5.33% |
| Avg. Down Month | -7.27% | -4.54% |
| Win Days | 49.84% | 57.12% |
| Win Month | 57.14% | 62.86% |
| Win Quarter | 61.54% | 69.23% |
| Win Year | 75.0% | 100.0% |
| Beta | 0.44 | - |
| Alpha | 0.18 | - |
| Correlation | 14.25% | - |
| Treynor Ratio | -1526.44% | - |
| 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 | 1.08 | -4.05 | -3.77 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-07 | 2025-10-17 | -52.30 | 802 |
| 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 |