| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 5.78% | 47.01% |
| CAGR﹪ | 1.5% | 10.76% |
| Sharpe | 0.21 | 28.76 |
| Prob. Sharpe Ratio | 64.93% | 100.0% |
| Smart Sharpe | 0.18 | 24.0 |
| Sortino | 0.26 | - |
| Smart Sortino | 0.22 | - |
| Sortino/√2 | 0.19 | - |
| Smart Sortino/√2 | 0.15 | - |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -52.71% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 29.11% | 0.39% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.03 | - |
| Skew | -5.21 | 2.2 |
| Kurtosis | 97.03 | 7.55 |
| Expected Daily | 0.01% | 0.04% |
| Expected Monthly | 0.13% | 0.9% |
| Expected Yearly | 1.13% | 8.01% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.99% | -0.0% |
| Expected Shortfall (cVaR) | -2.99% | -0.0% |
| Max Consecutive Wins | 10 | 876 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.05 | - |
| Gain/Pain (1M) | 0.22 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.05 | - |
| Common Sense Ratio | 0.95 | - |
| CPC Index | - | - |
| Tail Ratio | 0.91 | 3.96 |
| Outlier Win Ratio | 1.92 | 40.03 |
| Outlier Loss Ratio | 1.74 | - |
| MTD | 3.31% | 1.81% |
| 3M | 6.84% | 6.24% |
| 6M | -2.21% | 11.12% |
| YTD | 3.31% | 1.81% |
| 1Y | -4.07% | 19.97% |
| 3Y (ann.) | 0.69% | 11.92% |
| 5Y (ann.) | 1.5% | 10.76% |
| 10Y (ann.) | 1.5% | 10.76% |
| All-time (ann.) | 1.5% | 10.76% |
| Best Day | 15.24% | 0.16% |
| Worst Day | -30.58% | 0.0% |
| Best Month | 15.94% | 1.83% |
| Worst Month | -29.54% | 0.36% |
| Best Year | 48.13% | 18.74% |
| Worst Year | -35.9% | 1.81% |
| Avg. Drawdown | -4.4% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.11 | - |
| Ulcer Index | 0.26 | 0.0 |
| Serenity Index | 0.01 | - |
| Avg. Up Month | 4.49% | 0.86% |
| Avg. Down Month | - | - |
| Win Days | 54.65% | 100.0% |
| Win Month | 62.79% | 100.0% |
| Win Quarter | 62.5% | 100.0% |
| Win Year | 60.0% | 100.0% |
| Beta | -1.51 | - |
| Alpha | 0.23 | - |
| Correlation | -2.0% | - |
| Treynor Ratio | -3.83% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.60 | 12.35 | 2.69 | + |
| 2022 | 5.69 | -35.90 | -6.31 | - |
| 2023 | 10.00 | 48.13 | 4.81 | + |
| 2024 | 18.74 | -4.01 | -0.21 | - |
| 2025 | 1.81 | 3.31 | 1.83 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-12 | 2025-01-20 | -52.71 | 1196 |
| 2021-07-06 | 2021-08-10 | -5.38 | 35 |
| 2021-09-16 | 2021-09-27 | -3.01 | 11 |
| 2021-04-27 | 2021-05-06 | -2.73 | 9 |
| 2021-08-18 | 2021-08-31 | -2.54 | 13 |
| 2021-06-24 | 2021-07-01 | -1.91 | 7 |
| 2021-05-19 | 2021-05-26 | -1.82 | 7 |
| 2021-06-15 | 2021-06-23 | -1.73 | 8 |
| 2021-05-11 | 2021-05-18 | -1.72 | 7 |
| 2021-09-28 | 2021-10-05 | -1.49 | 7 |