| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 41.0% | 100.0% |
| Cumulative Return | -14.52% | 29.52% |
| CAGR﹪ | -2.41% | 4.1% |
| Sharpe | -0.4 | 0.04 |
| Prob. Sharpe Ratio | 0.16% | 1.55% |
| Smart Sharpe | -0.39 | 0.03 |
| Sortino | -0.53 | 0.05 |
| Smart Sortino | -0.52 | 0.05 |
| Sortino/√2 | -0.38 | 0.04 |
| Smart Sortino/√2 | -0.37 | 0.04 |
| Omega | 0.9 | 0.9 |
| Max Drawdown | -50.72% | -65.76% |
| Longest DD Days | 1711 | 1709 |
| Volatility (ann.) | 18.57% | 27.89% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.05 | 0.06 |
| Skew | -0.97 | 0.38 |
| Kurtosis | 26.34 | 11.17 |
| Expected Daily | -0.01% | 0.02% |
| Expected Monthly | -0.2% | 0.33% |
| Expected Yearly | -2.22% | 3.76% |
| Kelly Criterion | 1.09% | -2.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.93% | -2.86% |
| Expected Shortfall (cVaR) | -1.93% | -2.86% |
| Max Consecutive Wins | 7 | 10 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | -0.01 | 0.05 |
| Gain/Pain (1M) | -0.05 | 0.26 |
| Payoff Ratio | 0.94 | 0.98 |
| Profit Factor | 0.99 | 1.05 |
| Common Sense Ratio | 1.0 | 1.12 |
| CPC Index | 0.48 | 0.51 |
| Tail Ratio | 1.01 | 1.07 |
| Outlier Win Ratio | 12.19 | 3.14 |
| Outlier Loss Ratio | 2.9 | 3.31 |
| MTD | 0.0% | -2.83% |
| 3M | 0.0% | 8.21% |
| 6M | 0.0% | 26.24% |
| YTD | 0.0% | 41.09% |
| 1Y | 0.0% | 34.15% |
| 3Y (ann.) | 0.0% | 21.58% |
| 5Y (ann.) | -9.95% | -2.42% |
| 10Y (ann.) | -2.41% | 4.1% |
| All-time (ann.) | -2.41% | 4.1% |
| Best Day | 11.6% | 18.52% |
| Worst Day | -14.66% | -13.63% |
| Best Month | 9.82% | 33.85% |
| Worst Month | -18.69% | -18.55% |
| Best Year | 22.65% | 41.09% |
| Worst Year | -26.92% | -26.38% |
| Avg. Drawdown | -5.81% | -6.04% |
| Avg. Drawdown Days | 91 | 91 |
| Recovery Factor | -0.29 | 0.45 |
| Ulcer Index | 0.4 | 0.39 |
| Serenity Index | -0.01 | 0.01 |
| Avg. Up Month | 6.19% | 5.87% |
| Avg. Down Month | -5.76% | -4.86% |
| Win Days | 52.19% | 49.43% |
| Win Month | 41.18% | 55.13% |
| Win Quarter | 50.0% | 55.56% |
| Win Year | 50.0% | 57.14% |
| Beta | 0.29 | - |
| Alpha | -0.03 | - |
| Correlation | 42.86% | - |
| Treynor Ratio | -75.39% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 14.91 | 15.76 | 1.06 | + |
| 2020 | 25.45 | 22.65 | 0.89 | - |
| 2021 | -26.38 | -26.92 | 1.02 | - |
| 2022 | -20.99 | -17.62 | 0.84 | + |
| 2023 | -9.37 | 0.00 | -0.00 | + |
| 2024 | 20.79 | 0.00 | 0.00 | - |
| 2025 | 41.09 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-02-16 | 2025-10-24 | -50.72 | 1711 |
| 2020-01-20 | 2020-06-23 | -23.70 | 155 |
| 2019-07-03 | 2019-09-12 | -10.99 | 71 |
| 2020-11-06 | 2021-01-12 | -10.68 | 67 |
| 2019-09-13 | 2019-12-12 | -9.29 | 90 |
| 2020-08-27 | 2020-10-12 | -7.76 | 46 |
| 2021-01-26 | 2021-02-09 | -6.11 | 14 |
| 2020-07-14 | 2020-08-25 | -5.84 | 42 |
| 2019-05-22 | 2019-06-11 | -3.05 | 20 |
| 2019-06-13 | 2019-06-18 | -2.76 | 5 |