| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 19.0% | 100.0% |
| Cumulative Return | -39.55% | 47.43% |
| CAGR﹪ | -10.59% | 9.02% |
| Sharpe | -0.88 | 0.18 |
| Prob. Sharpe Ratio | 0.0% | 15.54% |
| Smart Sharpe | -0.73 | 0.15 |
| Sortino | -0.9 | 0.25 |
| Smart Sortino | -0.75 | 0.21 |
| Sortino/√2 | -0.64 | 0.18 |
| Smart Sortino/√2 | -0.53 | 0.15 |
| Omega | 0.49 | 0.49 |
| Max Drawdown | -44.24% | -26.62% |
| Longest DD Days | 1501 | 699 |
| Volatility (ann.) | 17.68% | 14.76% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.24 | 0.34 |
| Skew | -26.38 | -0.3 |
| Kurtosis | 811.54 | 4.22 |
| Expected Daily | -0.04% | 0.03% |
| Expected Monthly | -0.91% | 0.71% |
| Expected Yearly | -9.58% | 8.07% |
| Kelly Criterion | -18.16% | -1.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.87% | -1.49% |
| Expected Shortfall (cVaR) | -1.87% | -1.49% |
| Max Consecutive Wins | 5 | 15 |
| Max Consecutive Losses | 6 | 11 |
| Gain/Pain Ratio | -0.36 | 0.12 |
| Gain/Pain (1M) | -0.71 | 0.58 |
| Payoff Ratio | 0.72 | 0.84 |
| Profit Factor | 0.64 | 1.12 |
| Common Sense Ratio | 0.96 | 1.15 |
| CPC Index | 0.23 | 0.5 |
| Tail Ratio | 1.49 | 1.03 |
| Outlier Win Ratio | 25.53 | 2.64 |
| Outlier Loss Ratio | 2.02 | 3.08 |
| MTD | 0.0% | 0.53% |
| 3M | 0.0% | 7.61% |
| 6M | 0.0% | 18.92% |
| YTD | 0.0% | 25.18% |
| 1Y | 0.0% | 19.01% |
| 3Y (ann.) | 0.0% | 16.8% |
| 5Y (ann.) | -10.59% | 9.02% |
| 10Y (ann.) | -10.59% | 9.02% |
| All-time (ann.) | -10.59% | 9.02% |
| Best Day | 2.95% | 5.07% |
| Worst Day | -34.76% | -5.64% |
| Best Month | 4.96% | 10.99% |
| Worst Month | -41.63% | -9.51% |
| Best Year | 6.83% | 25.18% |
| Worst Year | -43.42% | -12.46% |
| Avg. Drawdown | -4.79% | -2.59% |
| Avg. Drawdown Days | 134 | 28 |
| Recovery Factor | -0.89 | 1.78 |
| Ulcer Index | 0.4 | 0.08 |
| Serenity Index | -0.02 | 0.31 |
| Avg. Up Month | 2.72% | 2.66% |
| Avg. Down Month | -10.79% | -2.7% |
| Win Days | 50.46% | 53.71% |
| Win Month | 54.55% | 61.82% |
| Win Quarter | 50.0% | 63.16% |
| Win Year | 50.0% | 80.0% |
| Beta | -0.0 | - |
| Alpha | -0.09 | - |
| Correlation | -0.08% | - |
| Treynor Ratio | 48309.79% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.53 | 6.83 | 0.91 | - |
| 2022 | -12.46 | -43.42 | 3.48 | - |
| 2023 | 18.95 | 0.00 | 0.00 | - |
| 2024 | 5.19 | 0.00 | 0.00 | - |
| 2025 | 25.18 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-07 | 2025-10-17 | -44.24 | 1501 |
| 2021-06-16 | 2021-08-13 | -4.70 | 58 |
| 2021-08-16 | 2021-09-02 | -2.79 | 17 |
| 2021-05-10 | 2021-05-20 | -2.76 | 10 |
| 2021-04-27 | 2021-05-06 | -1.33 | 9 |
| 2021-06-03 | 2021-06-04 | -0.62 | 1 |
| 2021-05-25 | 2021-05-27 | -0.31 | 2 |
| 2021-06-09 | 2021-06-10 | -0.27 | 1 |
| 2021-05-28 | 2021-05-31 | -0.15 | 3 |
| 2021-06-07 | 2021-06-08 | -0.12 | 1 |