| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 13.0% | 99.0% |
| Cumulative Return | -23.98% | 8.67% |
| CAGR﹪ | -6.42% | 2.03% |
| Sharpe | -1.73 | -0.88 |
| Prob. Sharpe Ratio | 0.0% | 7.93% |
| Smart Sharpe | -1.56 | -0.8 |
| Sortino | -1.88 | -1.18 |
| Smart Sortino | -1.69 | -1.06 |
| Sortino/√2 | -1.33 | -0.83 |
| Smart Sortino/√2 | -1.2 | -0.75 |
| Omega | 0.41 | 0.41 |
| Max Drawdown | -28.36% | -17.86% |
| Longest DD Days | 1436 | 979 |
| Volatility (ann.) | 7.59% | 5.22% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.23 | 0.11 |
| Skew | -10.79 | -0.3 |
| Kurtosis | 212.89 | 4.16 |
| Expected Daily | -0.03% | 0.01% |
| Expected Monthly | -0.54% | 0.16% |
| Expected Yearly | -5.34% | 1.68% |
| Kelly Criterion | -42.34% | -18.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.81% | -0.53% |
| Expected Shortfall (cVaR) | -0.81% | -0.53% |
| Max Consecutive Wins | 4 | 9 |
| Max Consecutive Losses | 5 | 10 |
| Gain/Pain Ratio | -0.4 | 0.07 |
| Gain/Pain (1M) | -0.81 | 0.23 |
| Payoff Ratio | 0.52 | 0.66 |
| Profit Factor | 0.6 | 1.07 |
| Common Sense Ratio | 0.5 | 1.02 |
| CPC Index | 0.16 | 0.38 |
| Tail Ratio | 0.83 | 0.95 |
| Outlier Win Ratio | 25.34 | 4.43 |
| Outlier Loss Ratio | 1.16 | 5.06 |
| MTD | 0.0% | 0.12% |
| 3M | 0.0% | 3.43% |
| 6M | 0.0% | 6.97% |
| YTD | 0.0% | 5.11% |
| 1Y | 0.0% | 4.78% |
| 3Y (ann.) | 0.0% | 8.36% |
| 5Y (ann.) | -6.42% | 2.03% |
| 10Y (ann.) | -6.42% | 2.03% |
| All-time (ann.) | -6.42% | 2.03% |
| Best Day | 1.89% | 1.4% |
| Worst Day | -10.27% | -2.42% |
| Best Month | 3.37% | 4.79% |
| Worst Month | -18.5% | -5.2% |
| Best Year | 0.29% | 10.87% |
| Worst Year | -24.2% | -13.29% |
| Avg. Drawdown | -4.39% | -1.44% |
| Avg. Drawdown Days | 186 | 59 |
| Recovery Factor | -0.85 | 0.49 |
| Ulcer Index | 0.27 | 0.08 |
| Serenity Index | -0.01 | 0.0 |
| Avg. Up Month | 1.86% | 0.57% |
| Avg. Down Month | -10.33% | -2.35% |
| Win Days | 51.2% | 52.73% |
| Win Month | 57.14% | 58.82% |
| Win Quarter | 33.33% | 66.67% |
| Win Year | 50.0% | 80.0% |
| Beta | 0.12 | - |
| Alpha | -0.07 | - |
| Correlation | 7.96% | - |
| Treynor Ratio | -267.82% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.03 | 0.29 | 9.74 | + |
| 2022 | -13.29 | -24.20 | 1.82 | - |
| 2023 | 10.87 | 0.00 | 0.00 | - |
| 2024 | 7.52 | 0.00 | 0.00 | - |
| 2025 | 5.11 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-10 | 2025-10-16 | -28.36 | 1436 |
| 2021-10-27 | 2021-11-09 | -2.42 | 13 |
| 2021-09-16 | 2021-10-15 | -2.10 | 29 |
| 2021-09-06 | 2021-09-13 | -0.99 | 7 |
| 2021-10-18 | 2021-10-20 | -0.45 | 2 |
| 2021-09-02 | 2021-09-03 | -0.35 | 1 |
| 2021-10-21 | 2021-10-22 | -0.25 | 1 |
| 2021-09-14 | 2021-09-15 | -0.18 | 1 |