| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -5.75% | 368.94% |
| CAGR﹪ | -0.37% | 10.16% |
| Sharpe | -0.02 | 38.97 |
| Prob. Sharpe Ratio | 46.03% | - |
| Smart Sharpe | -0.02 | 37.47 |
| Sortino | -0.03 | - |
| Smart Sortino | -0.03 | - |
| Sortino/√2 | -0.02 | - |
| Smart Sortino/√2 | -0.02 | - |
| Omega | 1.0 | 1.0 |
| Max Drawdown | -25.03% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 6.48% | 0.25% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | -0.01 | - |
| Skew | -0.02 | 1.29 |
| Kurtosis | 41.54 | 1.41 |
| Expected Daily | -0.0% | 0.04% |
| Expected Monthly | -0.03% | 0.8% |
| Expected Yearly | -0.35% | 9.52% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.67% | -0.01% |
| Expected Shortfall (cVaR) | -0.67% | -0.01% |
| Max Consecutive Wins | 12 | 4013 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.0 | - |
| Gain/Pain (1M) | -0.02 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.0 | - |
| Common Sense Ratio | 0.89 | - |
| CPC Index | - | - |
| Tail Ratio | 0.89 | 3.69 |
| Outlier Win Ratio | 1.97 | 12.83 |
| Outlier Loss Ratio | 1.77 | - |
| MTD | -0.62% | 0.2% |
| 3M | -2.17% | 3.3% |
| 6M | -4.0% | 6.8% |
| YTD | -3.54% | 9.48% |
| 1Y | -3.1% | 15.09% |
| 3Y (ann.) | 1.87% | 17.54% |
| 5Y (ann.) | -3.76% | 13.95% |
| 10Y (ann.) | -1.24% | 10.19% |
| All-time (ann.) | -0.37% | 10.16% |
| Best Day | 7.06% | 0.09% |
| Worst Day | -4.96% | 0.0% |
| Best Month | 5.19% | 1.83% |
| Worst Month | -6.4% | 0.2% |
| Best Year | 11.01% | 19.39% |
| Worst Year | -17.58% | 2.78% |
| Avg. Drawdown | -2.02% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.23 | - |
| Ulcer Index | 0.11 | 0.0 |
| Serenity Index | -0.01 | - |
| Avg. Up Month | 1.23% | 0.81% |
| Avg. Down Month | - | - |
| Win Days | 52.55% | 100.0% |
| Win Month | 51.81% | 100.0% |
| Win Quarter | 53.85% | 100.0% |
| Win Year | 52.94% | 100.0% |
| Beta | 0.04 | - |
| Alpha | -0.01 | - |
| Correlation | 0.15% | - |
| Treynor Ratio | -150.72% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2010 | 2.78 | -1.27 | -0.46 | - |
| 2011 | 8.61 | 1.85 | 0.21 | - |
| 2012 | 10.28 | 7.24 | 0.70 | - |
| 2013 | 9.64 | -8.33 | -0.86 | - |
| 2014 | 9.97 | 3.99 | 0.40 | - |
| 2015 | 12.30 | -3.86 | -0.31 | - |
| 2016 | 9.60 | 3.35 | 0.35 | - |
| 2017 | 7.87 | 3.29 | 0.42 | - |
| 2018 | 6.96 | -6.26 | -0.90 | - |
| 2019 | 7.22 | 11.01 | 1.53 | + |
| 2020 | 4.97 | 6.48 | 1.30 | + |
| 2021 | 5.82 | -3.62 | -0.62 | - |
| 2022 | 9.43 | -17.58 | -1.87 | - |
| 2023 | 10.00 | 4.58 | 0.46 | - |
| 2024 | 18.74 | -2.22 | -0.12 | - |
| 2025 | 19.39 | 2.89 | 0.15 | - |
| 2026 | 9.48 | -3.54 | -0.37 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-08-05 | 2026-09-04 | -25.03 | 2221 |
| 2020-03-09 | 2020-06-30 | -19.11 | 113 |
| 2012-10-16 | 2019-08-16 | -10.74 | 2495 |
| 2010-11-05 | 2011-08-02 | -5.19 | 270 |
| 2011-11-03 | 2012-01-31 | -3.75 | 89 |
| 2011-09-07 | 2011-10-31 | -3.07 | 54 |
| 2019-08-28 | 2020-01-15 | -2.58 | 140 |
| 2011-08-05 | 2011-09-06 | -2.36 | 32 |
| 2012-02-29 | 2012-06-21 | -2.12 | 113 |
| 2012-07-27 | 2012-08-31 | -1.61 | 35 |