| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 16.0% | 100.0% |
| Cumulative Return | -15.32% | 3.01% |
| CAGR﹪ | -3.62% | 0.66% |
| Sharpe | -1.31 | -0.8 |
| Prob. Sharpe Ratio | 0.0% | 1.84% |
| Smart Sharpe | -1.3 | -0.79 |
| Sortino | -1.45 | -1.08 |
| Smart Sortino | -1.44 | -1.08 |
| Sortino/√2 | -1.03 | -0.77 |
| Smart Sortino/√2 | -1.02 | -0.76 |
| Omega | 0.54 | 0.54 |
| Max Drawdown | -23.21% | -16.59% |
| Longest DD Days | 1510 | 1377 |
| Volatility (ann.) | 7.76% | 7.32% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.16 | 0.04 |
| Skew | -13.37 | 0.0 |
| Kurtosis | 322.87 | 2.1 |
| Expected Daily | -0.01% | 0.0% |
| Expected Monthly | -0.3% | 0.05% |
| Expected Yearly | -3.27% | 0.59% |
| Kelly Criterion | -2.33% | -14.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.82% | -0.75% |
| Expected Shortfall (cVaR) | -0.82% | -0.75% |
| Max Consecutive Wins | 6 | 8 |
| Max Consecutive Losses | 5 | 9 |
| Gain/Pain Ratio | -0.22 | 0.02 |
| Gain/Pain (1M) | -0.64 | 0.1 |
| Payoff Ratio | 0.88 | 0.77 |
| Profit Factor | 0.78 | 1.02 |
| Common Sense Ratio | 0.74 | 0.91 |
| CPC Index | 0.36 | 0.4 |
| Tail Ratio | 0.95 | 0.89 |
| Outlier Win Ratio | 23.4 | 3.63 |
| Outlier Loss Ratio | 1.6 | 3.81 |
| MTD | 0.0% | -0.9% |
| 3M | 0.0% | -0.7% |
| 6M | 0.0% | 4.17% |
| YTD | 0.0% | 8.3% |
| 1Y | 0.0% | 6.88% |
| 3Y (ann.) | 0.0% | 3.74% |
| 5Y (ann.) | -3.62% | 0.66% |
| 10Y (ann.) | -3.62% | 0.66% |
| All-time (ann.) | -3.62% | 0.66% |
| Best Day | 2.39% | 2.03% |
| Worst Day | -11.99% | -1.94% |
| Best Month | 4.34% | 5.36% |
| Worst Month | -14.34% | -8.23% |
| Best Year | 4.11% | 8.3% |
| Worst Year | -18.67% | -13.2% |
| Avg. Drawdown | -4.01% | -2.89% |
| Avg. Drawdown Days | 202 | 179 |
| Recovery Factor | -0.66 | 0.18 |
| Ulcer Index | 0.21 | 0.09 |
| Serenity Index | -0.02 | -0.01 |
| Avg. Up Month | 4.04% | 2.15% |
| Avg. Down Month | -5.05% | -2.26% |
| Win Days | 52.22% | 50.36% |
| Win Month | 44.44% | 58.18% |
| Win Quarter | 50.0% | 57.89% |
| Win Year | 50.0% | 80.0% |
| Beta | 0.04 | - |
| Alpha | -0.03 | - |
| Correlation | 3.37% | - |
| Treynor Ratio | -625.62% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.65 | 4.11 | 0.88 | - |
| 2022 | -13.20 | -18.67 | 1.41 | - |
| 2023 | 3.61 | 0.00 | 0.00 | - |
| 2024 | 1.07 | 0.00 | 0.00 | - |
| 2025 | 8.30 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-27 | 2025-12-15 | -23.21 | 1510 |
| 2021-08-04 | 2021-09-15 | -3.67 | 42 |
| 2021-06-15 | 2021-07-23 | -2.40 | 38 |
| 2021-09-16 | 2021-10-07 | -1.87 | 21 |
| 2021-10-18 | 2021-10-20 | -0.39 | 2 |
| 2021-07-29 | 2021-07-30 | -0.29 | 1 |
| 2021-10-08 | 2021-10-12 | -0.16 | 4 |
| 2021-10-21 | 2021-10-22 | -0.07 | 1 |