| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 4.0% | 100.0% |
| Cumulative Return | -36.18% | 49.74% |
| CAGR﹪ | -10.37% | 10.34% |
| Sharpe | -0.9 | 0.26 |
| Prob. Sharpe Ratio | 0.0% | 20.52% |
| Smart Sharpe | -0.81 | 0.23 |
| Sortino | -0.92 | 0.35 |
| Smart Sortino | -0.83 | 0.32 |
| Sortino/√2 | -0.65 | 0.25 |
| Smart Sortino/√2 | -0.59 | 0.23 |
| Omega | 0.24 | 0.24 |
| Max Drawdown | -38.92% | -32.34% |
| Longest DD Days | 1446 | 1209 |
| Volatility (ann.) | 17.16% | 15.06% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.27 | 0.32 |
| Skew | -29.02 | -0.47 |
| Kurtosis | 915.15 | 4.12 |
| Expected Daily | -0.04% | 0.04% |
| Expected Monthly | -0.88% | 0.79% |
| Expected Yearly | -7.21% | 6.96% |
| Kelly Criterion | -1.69% | -10.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.81% | -1.52% |
| Expected Shortfall (cVaR) | -1.81% | -1.52% |
| Max Consecutive Wins | 3 | 12 |
| Max Consecutive Losses | 4 | 14 |
| Gain/Pain Ratio | -0.64 | 0.13 |
| Gain/Pain (1M) | -0.96 | 0.54 |
| Payoff Ratio | 1.18 | 0.72 |
| Profit Factor | 0.36 | 1.13 |
| Common Sense Ratio | - | 1.13 |
| CPC Index | 0.19 | 0.44 |
| Tail Ratio | - | 1.0 |
| Outlier Win Ratio | 64.46 | 1.86 |
| Outlier Loss Ratio | 0.69 | 2.52 |
| MTD | 0.0% | -2.08% |
| 3M | 0.0% | 17.44% |
| 6M | 0.0% | 39.45% |
| YTD | 0.0% | 11.36% |
| 1Y | 0.0% | 60.09% |
| 3Y (ann.) | 0.0% | 22.39% |
| 5Y (ann.) | -10.37% | 10.34% |
| 10Y (ann.) | -10.37% | 10.34% |
| All-time (ann.) | -10.37% | 10.34% |
| Best Day | 4.47% | 4.77% |
| Worst Day | -34.0% | -6.37% |
| Best Month | 0.99% | 13.72% |
| Worst Month | -37.0% | -13.44% |
| Best Year | 0.31% | 48.75% |
| Worst Year | -36.38% | -20.07% |
| Avg. Drawdown | -12.21% | -2.53% |
| Avg. Drawdown Days | 372 | 50 |
| Recovery Factor | -0.93 | 1.54 |
| Ulcer Index | 0.38 | 0.15 |
| Serenity Index | -0.02 | 0.1 |
| Avg. Up Month | 0.99% | 0.01% |
| Avg. Down Month | -37.0% | -4.52% |
| Win Days | 45.0% | 53.85% |
| Win Month | 66.67% | 58.82% |
| Win Quarter | 50.0% | 61.11% |
| Win Year | 50.0% | 50.0% |
| Beta | -0.05 | - |
| Alpha | -0.08 | - |
| Correlation | -4.21% | - |
| Treynor Ratio | 899.1% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.30 | 0.31 | -1.04 | + |
| 2022 | -20.07 | -36.38 | 1.81 | - |
| 2023 | 18.19 | 0.00 | 0.00 | - |
| 2024 | -4.02 | 0.00 | -0.00 | + |
| 2025 | 48.75 | 0.00 | 0.00 | - |
| 2026 | 11.36 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-17 | 2026-02-02 | -38.92 | 1446 |
| 2022-01-13 | 2022-02-16 | -8.02 | 34 |
| 2022-01-03 | 2022-01-11 | -1.83 | 8 |
| 2021-12-29 | 2021-12-30 | -0.07 | 1 |