| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 12.93% | 92.72% |
| CAGR﹪ | 2.09% | 11.78% |
| Sharpe | 0.21 | 31.64 |
| Prob. Sharpe Ratio | 69.04% | - |
| Smart Sharpe | 0.21 | 31.28 |
| Sortino | 0.27 | - |
| Smart Sortino | 0.27 | - |
| Sortino/√2 | 0.19 | - |
| Smart Sortino/√2 | 0.19 | - |
| Omega | 1.04 | 1.04 |
| Max Drawdown | -49.72% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 23.43% | 0.36% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.04 | - |
| Skew | -2.73 | 0.57 |
| Kurtosis | 42.52 | 0.27 |
| Expected Daily | 0.01% | 0.04% |
| Expected Monthly | 0.17% | 0.93% |
| Expected Yearly | 1.75% | 9.83% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.41% | -0.01% |
| Expected Shortfall (cVaR) | -2.41% | -0.01% |
| Max Consecutive Wins | 12 | 1460 |
| Max Consecutive Losses | 12 | 0 |
| Gain/Pain Ratio | 0.04 | - |
| Gain/Pain (1M) | 0.19 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.04 | - |
| Common Sense Ratio | 0.89 | - |
| CPC Index | - | - |
| Tail Ratio | 0.85 | 4.84 |
| Outlier Win Ratio | 1.99 | 39.19 |
| Outlier Loss Ratio | 1.9 | - |
| MTD | 0.09% | 1.09% |
| 3M | -7.71% | 3.73% |
| 6M | 2.99% | 7.73% |
| YTD | -4.13% | 5.83% |
| 1Y | -3.97% | 17.08% |
| 3Y (ann.) | -1.61% | 17.29% |
| 5Y (ann.) | -4.76% | 13.22% |
| 10Y (ann.) | 2.09% | 11.78% |
| All-time (ann.) | 2.09% | 11.78% |
| Best Day | 8.74% | 0.2% |
| Worst Day | -22.7% | 0.0% |
| Best Month | 17.92% | 1.83% |
| Worst Month | -23.84% | 0.2% |
| Best Year | 36.13% | 19.38% |
| Worst Year | -31.18% | 2.45% |
| Avg. Drawdown | -3.19% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.26 | - |
| Ulcer Index | 0.22 | 0.0 |
| Serenity Index | 0.02 | - |
| Avg. Up Month | 3.97% | 0.85% |
| Avg. Down Month | - | - |
| Win Days | 54.05% | 100.0% |
| Win Month | 63.38% | 100.0% |
| Win Quarter | 56.0% | 100.0% |
| Win Year | 42.86% | 100.0% |
| Beta | -1.34 | - |
| Alpha | 0.2 | - |
| Correlation | -2.04% | - |
| Treynor Ratio | -9.68% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 2.45 | 27.65 | 11.27 | + |
| 2021 | 5.82 | 8.47 | 1.46 | + |
| 2022 | 7.72 | -31.18 | -4.04 | - |
| 2023 | 10.00 | 36.13 | 3.61 | + |
| 2024 | 18.74 | -6.24 | -0.33 | - |
| 2025 | 19.38 | -3.15 | -0.16 | - |
| 2026 | 5.83 | -4.13 | -0.71 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2026-05-19 | -49.72 | 1671 |
| 2020-08-14 | 2020-11-09 | -6.79 | 87 |
| 2021-06-15 | 2021-09-06 | -6.01 | 83 |
| 2021-01-15 | 2021-03-12 | -4.70 | 56 |
| 2021-04-27 | 2021-06-02 | -3.59 | 36 |
| 2021-09-07 | 2021-10-07 | -3.46 | 30 |
| 2021-03-16 | 2021-04-08 | -3.05 | 23 |
| 2020-12-18 | 2020-12-23 | -2.20 | 5 |
| 2020-07-08 | 2020-07-20 | -2.09 | 12 |
| 2020-11-30 | 2020-12-02 | -1.55 | 2 |