| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 7.07% | 42.22% |
| CAGR﹪ | 1.24% | 6.54% |
| Sharpe | 0.19 | 19.14 |
| Prob. Sharpe Ratio | 66.58% | 100.0% |
| Smart Sharpe | 0.16 | 16.54 |
| Sortino | 0.24 | 62.28 |
| Smart Sortino | 0.21 | 53.82 |
| Sortino/√2 | 0.17 | 44.04 |
| Smart Sortino/√2 | 0.15 | 38.06 |
| Omega | 1.04 | 1.04 |
| Max Drawdown | -52.71% | -1.25% |
| Longest DD Days | 1850 | 183 |
| Volatility (ann.) | 26.33% | 0.33% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.02 | 5.21 |
| Skew | -4.38 | -0.12 |
| Kurtosis | 91.38 | 2.97 |
| Expected Daily | 0.0% | 0.03% |
| Expected Monthly | 0.11% | 0.54% |
| Expected Yearly | 1.15% | 6.05% |
| Kelly Criterion | -11.25% | 88.77% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.71% | -0.01% |
| Expected Shortfall (cVaR) | -2.71% | -0.01% |
| Max Consecutive Wins | 10 | 748 |
| Max Consecutive Losses | 8 | 48 |
| Gain/Pain Ratio | 0.04 | 20.21 |
| Gain/Pain (1M) | 0.19 | 20.21 |
| Payoff Ratio | 0.72 | 1.58 |
| Profit Factor | 1.04 | 21.21 |
| Common Sense Ratio | 0.99 | 437.46 |
| CPC Index | 0.4 | 31.15 |
| Tail Ratio | 0.95 | 20.63 |
| Outlier Win Ratio | 1.84 | 58.82 |
| Outlier Loss Ratio | 1.76 | 106.11 |
| MTD | -3.5% | 0.06% |
| 3M | 6.23% | 0.72% |
| 6M | -5.04% | 2.29% |
| YTD | -8.12% | 5.5% |
| 1Y | -0.65% | 6.24% |
| 3Y (ann.) | 0.71% | 7.29% |
| 5Y (ann.) | -1.2% | 6.29% |
| 10Y (ann.) | 1.24% | 6.54% |
| All-time (ann.) | 1.24% | 6.54% |
| Best Day | 15.24% | 0.09% |
| Worst Day | -30.58% | -0.09% |
| Best Month | 15.94% | 1.62% |
| Worst Month | -29.54% | -0.52% |
| Best Year | 48.13% | 9.51% |
| Worst Year | -35.9% | 2.29% |
| Avg. Drawdown | -4.4% | -0.58% |
| Avg. Drawdown Days | 110 | 94 |
| Recovery Factor | 0.13 | 33.64 |
| Ulcer Index | 0.22 | 0.0 |
| Serenity Index | 0.01 | 5.98 |
| Avg. Up Month | 4.68% | 0.62% |
| Avg. Down Month | -4.87% | -0.21% |
| Win Days | 53.45% | 93.13% |
| Win Month | 56.92% | 92.31% |
| Win Quarter | 60.87% | 91.3% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.7 | - |
| Alpha | 0.09 | - |
| Correlation | -0.88% | - |
| Treynor Ratio | -10.15% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 6.09 | 12.35 | 2.03 | + |
| 2022 | 2.29 | -35.90 | -15.70 | - |
| 2023 | 7.42 | 48.13 | 6.49 | + |
| 2024 | 9.51 | -4.01 | -0.42 | - |
| 2025 | 5.60 | 13.81 | 2.47 | + |
| 2026 | 5.50 | -8.12 | -1.48 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-12 | 2026-11-05 | -52.71 | 1850 |
| 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 |