| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 25.0% | 90.0% |
| Cumulative Return | -100.0% | -100.0% |
| CAGR﹪ | -52.4% | -100.0% |
| Sharpe | 0.39 | 0.07 |
| Prob. Sharpe Ratio | 94.49% | 60.07% |
| Smart Sharpe | 0.32 | 0.06 |
| Sortino | 0.69 | 0.08 |
| Smart Sortino | 0.56 | 0.06 |
| Sortino/√2 | 0.48 | 0.06 |
| Smart Sortino/√2 | 0.4 | 0.05 |
| Omega | 1.19 | 1.19 |
| Max Drawdown | -100.0% | -100.0% |
| Longest DD Days | 5839 | 2225 |
| Volatility (ann.) | 158.6% | 30.98% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | -0.52 | -1.0 |
| Skew | 3.88 | -34.36 |
| Kurtosis | 57.19 | 1780.75 |
| Expected Daily | -0.31% | -100.0% |
| Expected Monthly | -5.97% | -100.0% |
| Expected Yearly | -50.3% | -100.0% |
| Kelly Criterion | 6.29% | 4.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -16.19% | -3.2% |
| Expected Shortfall (cVaR) | -16.19% | -3.2% |
| Max Consecutive Wins | 5 | 10 |
| Max Consecutive Losses | 7 | 11 |
| Gain/Pain Ratio | 0.19 | 0.03 |
| Gain/Pain (1M) | 0.86 | 0.09 |
| Payoff Ratio | 1.26 | 1.06 |
| Profit Factor | 1.19 | 1.03 |
| Common Sense Ratio | 1.08 | 1.14 |
| CPC Index | 0.72 | 0.55 |
| Tail Ratio | 0.9 | 1.11 |
| Outlier Win Ratio | 12.97 | 37.56 |
| Outlier Loss Ratio | 1.73 | 23.01 |
| MTD | 0.0% | 0.0% |
| 3M | 0.0% | 0.0% |
| 6M | 0.0% | 0.0% |
| YTD | 0.0% | 0.0% |
| 1Y | 0.0% | 0.0% |
| 3Y (ann.) | -90.95% | -100.0% |
| 5Y (ann.) | -74.39% | -100.0% |
| 10Y (ann.) | -58.34% | -100.0% |
| All-time (ann.) | -52.4% | -100.0% |
| Best Day | 168.11% | 14.29% |
| Worst Day | -99.5% | -100.0% |
| Best Month | 178.16% | 23.05% |
| Worst Month | -99.5% | -100.0% |
| Best Year | 0.0% | 70.55% |
| Worst Year | -99.8% | -100.0% |
| Avg. Drawdown | -100.0% | -6.67% |
| Avg. Drawdown Days | 5839 | 130 |
| Recovery Factor | -1.0 | -1.0 |
| Ulcer Index | 0.93 | 0.37 |
| Serenity Index | -0.09 | -0.07 |
| Avg. Up Month | 17.16% | 3.92% |
| Avg. Down Month | -15.69% | -2.69% |
| Win Days | 47.71% | 50.58% |
| Win Month | 36.03% | 53.45% |
| Win Quarter | 33.33% | 51.72% |
| Win Year | 7.14% | 60.0% |
| Beta | -0.01 | - |
| Alpha | 0.62 | - |
| Correlation | -0.15% | - |
| Treynor Ratio | 13414.68% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2010 | 2.88 | -55.17 | -19.17 | - |
| 2011 | 5.16 | -63.08 | -12.22 | - |
| 2012 | -5.41 | -20.83 | 3.85 | - |
| 2013 | 7.98 | -18.95 | -2.37 | - |
| 2014 | 70.55 | -51.30 | -0.73 | - |
| 2015 | 31.41 | -6.67 | -0.21 | - |
| 2016 | -16.74 | -17.14 | 1.02 | - |
| 2017 | -5.94 | -53.34 | 8.97 | - |
| 2018 | 20.63 | -26.83 | -1.30 | - |
| 2019 | -10.84 | -49.49 | 4.57 | - |
| 2020 | 20.05 | -20.00 | -1.00 | - |
| 2021 | 0.36 | -37.50 | -105.30 | - |
| 2022 | -6.40 | 0.00 | -0.00 | + |
| 2023 | 29.27 | 0.00 | 0.00 | - |
| 2024 | -100.00 | -99.80 | 1.00 | + |
| 2025 | 0.00 | 0.00 | nan | + |
| 2026 | 0.00 | 0.00 | nan | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2010-01-25 | 2026-01-20 | -100.00 | 5839 |