| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 6.0% | 96.0% |
| Cumulative Return | -41.47% | -0.55% |
| CAGR﹪ | -11.99% | -0.13% |
| Sharpe | -1.12 | -0.27 |
| Prob. Sharpe Ratio | 0.0% | 1.66% |
| Smart Sharpe | -0.77 | -0.18 |
| Sortino | -1.14 | -0.37 |
| Smart Sortino | -0.78 | -0.25 |
| Sortino/√2 | -0.81 | -0.26 |
| Smart Sortino/√2 | -0.55 | -0.18 |
| Omega | 0.26 | 0.26 |
| Max Drawdown | -45.85% | -34.85% |
| Longest DD Days | 1499 | 1499 |
| Volatility (ann.) | 15.7% | 19.12% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.26 | -0.0 |
| Skew | -23.31 | 0.07 |
| Kurtosis | 617.86 | 2.87 |
| Expected Daily | -0.05% | -0.0% |
| Expected Monthly | -1.04% | -0.01% |
| Expected Yearly | -8.54% | -0.09% |
| Kelly Criterion | -11.47% | 8.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.67% | -1.97% |
| Expected Shortfall (cVaR) | -1.67% | -1.97% |
| Max Consecutive Wins | 5 | 9 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | -0.63 | 0.02 |
| Gain/Pain (1M) | -0.86 | 0.07 |
| Payoff Ratio | 1.04 | 1.17 |
| Profit Factor | 0.37 | 1.02 |
| Common Sense Ratio | - | 0.93 |
| CPC Index | 0.17 | 0.6 |
| Tail Ratio | - | 0.91 |
| Outlier Win Ratio | 72.93 | 2.25 |
| Outlier Loss Ratio | 0.93 | 2.29 |
| MTD | 0.0% | 4.23% |
| 3M | 0.0% | 5.2% |
| 6M | 0.0% | 8.49% |
| YTD | 0.0% | 6.99% |
| 1Y | 0.0% | 6.33% |
| 3Y (ann.) | 0.0% | 7.25% |
| 5Y (ann.) | -11.99% | -0.13% |
| 10Y (ann.) | -11.99% | -0.13% |
| All-time (ann.) | -11.99% | -0.13% |
| Best Day | 2.36% | 7.28% |
| Worst Day | -27.91% | -4.94% |
| Best Month | 8.07% | 11.84% |
| Worst Month | -40.83% | -12.82% |
| Best Year | 8.07% | 9.23% |
| Worst Year | -45.85% | -25.68% |
| Avg. Drawdown | -10.0% | -9.23% |
| Avg. Drawdown Days | 303 | 380 |
| Recovery Factor | -0.9 | -0.02 |
| Ulcer Index | 0.45 | 0.19 |
| Serenity Index | -0.02 | -0.02 |
| Avg. Up Month | 8.07% | 8.03% |
| Avg. Down Month | -24.65% | -5.92% |
| Win Days | 43.1% | 50.57% |
| Win Month | 33.33% | 52.94% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 83.33% |
| Beta | -0.02 | - |
| Alpha | -0.11 | - |
| Correlation | -2.33% | - |
| Treynor Ratio | 2532.94% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 8.03 | 8.07 | 1.01 | + |
| 2022 | -25.68 | -45.85 | 1.79 | - |
| 2023 | 9.23 | 0.00 | 0.00 | - |
| 2024 | 4.46 | 0.00 | 0.00 | - |
| 2025 | 1.47 | 0.00 | 0.00 | - |
| 2026 | 6.99 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-03 | 2026-02-10 | -45.85 | 1499 |
| 2021-12-09 | 2021-12-17 | -1.82 | 8 |
| 2021-12-20 | 2021-12-22 | -1.33 | 2 |
| 2021-12-03 | 2021-12-06 | -0.85 | 3 |
| 2021-12-23 | 2021-12-24 | -0.18 | 1 |