| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 19.0% | 99.0% |
| Cumulative Return | -4.19% | 13.44% |
| CAGR﹪ | -0.98% | 2.94% |
| Sharpe | -2.78 | -0.73 |
| Prob. Sharpe Ratio | 0.11% | 14.1% |
| Smart Sharpe | -2.56 | -0.67 |
| Sortino | -3.39 | -0.98 |
| Smart Sortino | -3.12 | -0.9 |
| Sortino/√2 | -2.39 | -0.69 |
| Smart Sortino/√2 | -2.2 | -0.64 |
| Omega | 0.45 | 0.45 |
| Max Drawdown | -9.29% | -17.86% |
| Longest DD Days | 1457 | 979 |
| Volatility (ann.) | 2.77% | 5.12% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.11 | 0.16 |
| Skew | -1.35 | -0.33 |
| Kurtosis | 18.36 | 4.37 |
| Expected Daily | -0.0% | 0.01% |
| Expected Monthly | -0.08% | 0.24% |
| Expected Yearly | -0.85% | 2.55% |
| Kelly Criterion | -13.85% | -16.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.29% | -0.52% |
| Expected Shortfall (cVaR) | -0.29% | -0.52% |
| Max Consecutive Wins | 8 | 12 |
| Max Consecutive Losses | 5 | 10 |
| Gain/Pain Ratio | -0.12 | 0.11 |
| Gain/Pain (1M) | -0.38 | 0.34 |
| Payoff Ratio | 0.68 | 0.66 |
| Profit Factor | 0.88 | 1.11 |
| Common Sense Ratio | 0.75 | 1.06 |
| CPC Index | 0.32 | 0.39 |
| Tail Ratio | 0.85 | 0.95 |
| Outlier Win Ratio | 24.86 | 3.29 |
| Outlier Loss Ratio | 2.03 | 3.0 |
| MTD | 0.0% | 1.23% |
| 3M | 0.0% | 2.13% |
| 6M | 0.0% | 3.28% |
| YTD | 0.0% | 4.89% |
| 1Y | 0.0% | 5.19% |
| 3Y (ann.) | 0.0% | 9.29% |
| 5Y (ann.) | -0.98% | 2.94% |
| 10Y (ann.) | -0.98% | 2.94% |
| All-time (ann.) | -0.98% | 2.94% |
| Best Day | 1.11% | 1.4% |
| Worst Day | -1.47% | -2.42% |
| Best Month | 2.69% | 4.79% |
| Worst Month | -4.87% | -5.2% |
| Best Year | 3.99% | 10.87% |
| Worst Year | -7.86% | -13.29% |
| Avg. Drawdown | -1.08% | -1.33% |
| Avg. Drawdown Days | 119 | 54 |
| Recovery Factor | -0.45 | 0.75 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | -0.02 | 0.02 |
| Avg. Up Month | 1.64% | 1.54% |
| Avg. Down Month | -2.66% | -1.88% |
| Win Days | 53.88% | 53.78% |
| Win Month | 50.0% | 58.49% |
| Win Quarter | 50.0% | 72.22% |
| Win Year | 50.0% | 80.0% |
| Beta | 0.09 | - |
| Alpha | -0.01 | - |
| Correlation | 16.76% | - |
| Treynor Ratio | -123.13% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.64 | 3.99 | 0.86 | - |
| 2022 | -13.29 | -7.86 | 0.59 | + |
| 2023 | 10.87 | 0.00 | 0.00 | - |
| 2024 | 7.52 | 0.00 | 0.00 | - |
| 2025 | 4.89 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-16 | 2025-09-12 | -9.29 | 1457 |
| 2021-05-10 | 2021-05-25 | -1.13 | 15 |
| 2021-07-12 | 2021-08-23 | -1.07 | 42 |
| 2021-07-07 | 2021-07-08 | -0.52 | 1 |
| 2021-06-14 | 2021-06-21 | -0.43 | 7 |
| 2021-09-03 | 2021-09-10 | -0.34 | 7 |
| 2021-09-13 | 2021-09-15 | -0.34 | 2 |
| 2021-06-24 | 2021-06-25 | -0.21 | 1 |
| 2021-05-27 | 2021-06-02 | -0.19 | 6 |
| 2021-06-03 | 2021-06-04 | -0.18 | 1 |