| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 21.22% | 61.02% |
| CAGR﹪ | 4.12% | 10.52% |
| Sharpe | 0.3 | 28.88 |
| Prob. Sharpe Ratio | 73.3% | - |
| Smart Sharpe | 0.29 | 28.6 |
| Sortino | 0.38 | - |
| Smart Sortino | 0.38 | - |
| Sortino/√2 | 0.27 | - |
| Smart Sortino/√2 | 0.27 | - |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -49.72% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 23.62% | 0.35% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.08 | - |
| Skew | -3.18 | 1.07 |
| Kurtosis | 50.06 | 1.53 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.33% | 0.82% |
| Expected Yearly | 3.26% | 8.26% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.42% | -0.0% |
| Expected Shortfall (cVaR) | -2.42% | -0.0% |
| Max Consecutive Wins | 12 | 1183 |
| Max Consecutive Losses | 12 | 0 |
| Gain/Pain Ratio | 0.06 | - |
| Gain/Pain (1M) | 0.27 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.06 | - |
| Common Sense Ratio | 0.92 | - |
| CPC Index | - | - |
| Tail Ratio | 0.87 | 5.08 |
| Outlier Win Ratio | 1.95 | 42.39 |
| Outlier Loss Ratio | 1.92 | - |
| MTD | -4.61% | 0.24% |
| 3M | -0.33% | 5.56% |
| 6M | 4.9% | 11.11% |
| YTD | -0.33% | 5.56% |
| 1Y | -15.19% | 20.68% |
| 3Y (ann.) | 6.6% | 13.57% |
| 5Y (ann.) | 4.12% | 10.52% |
| 10Y (ann.) | 4.12% | 10.52% |
| All-time (ann.) | 4.12% | 10.52% |
| 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% | 18.74% |
| Worst Year | -31.18% | 2.45% |
| Avg. Drawdown | -3.19% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.43 | - |
| Ulcer Index | 0.22 | 0.0 |
| Serenity Index | 0.04 | - |
| Avg. Up Month | 3.95% | 0.78% |
| Avg. Down Month | - | - |
| Win Days | 54.43% | 100.0% |
| Win Month | 67.24% | 100.0% |
| Win Quarter | 57.14% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -1.56 | - |
| Alpha | 0.23 | - |
| Correlation | -2.32% | - |
| Treynor Ratio | -13.57% | - |
| 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 | 5.56 | -0.33 | -0.06 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-04-03 | -49.72 | 1260 |
| 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 |