| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 37.0% | 100.0% |
| Cumulative Return | -16.2% | 85.15% |
| CAGR﹪ | -3.14% | 11.74% |
| Sharpe | -0.42 | 0.32 |
| Prob. Sharpe Ratio | 0.23% | 18.76% |
| Smart Sharpe | -0.39 | 0.3 |
| Sortino | -0.52 | 0.44 |
| Smart Sortino | -0.48 | 0.41 |
| Sortino/√2 | -0.37 | 0.31 |
| Smart Sortino/√2 | -0.34 | 0.29 |
| Omega | 0.88 | 0.88 |
| Max Drawdown | -43.46% | -30.96% |
| Longest DD Days | 1388 | 796 |
| Volatility (ann.) | 18.97% | 16.45% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.07 | 0.38 |
| Skew | -3.54 | -0.77 |
| Kurtosis | 48.71 | 10.48 |
| Expected Daily | -0.01% | 0.04% |
| Expected Monthly | -0.26% | 0.91% |
| Expected Yearly | -2.9% | 10.81% |
| Kelly Criterion | -4.64% | 2.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.97% | -1.66% |
| Expected Shortfall (cVaR) | -1.97% | -1.66% |
| Max Consecutive Wins | 9 | 12 |
| Max Consecutive Losses | 5 | 9 |
| Gain/Pain Ratio | -0.02 | 0.15 |
| Gain/Pain (1M) | -0.08 | 0.72 |
| Payoff Ratio | 0.76 | 0.87 |
| Profit Factor | 0.98 | 1.15 |
| Common Sense Ratio | 0.91 | 1.27 |
| CPC Index | 0.41 | 0.55 |
| Tail Ratio | 0.92 | 1.1 |
| Outlier Win Ratio | 9.88 | 4.08 |
| Outlier Loss Ratio | 2.29 | 4.63 |
| MTD | 0.0% | 3.9% |
| 3M | 0.0% | 11.23% |
| 6M | 0.0% | 12.43% |
| YTD | 0.0% | 19.33% |
| 1Y | 0.0% | 25.33% |
| 3Y (ann.) | 0.0% | 22.87% |
| 5Y (ann.) | -0.51% | 12.58% |
| 10Y (ann.) | -3.14% | 11.74% |
| All-time (ann.) | -3.14% | 11.74% |
| Best Day | 6.18% | 7.58% |
| Worst Day | -18.26% | -8.52% |
| Best Month | 15.1% | 11.45% |
| Worst Month | -22.96% | -10.81% |
| Best Year | 18.59% | 27.43% |
| Worst Year | -26.74% | -20.51% |
| Avg. Drawdown | -5.39% | -2.36% |
| Avg. Drawdown Days | 94 | 24 |
| Recovery Factor | -0.37 | 2.75 |
| Ulcer Index | 0.25 | 0.11 |
| Serenity Index | -0.03 | 0.37 |
| Avg. Up Month | 5.56% | 4.13% |
| Avg. Down Month | -8.28% | -4.07% |
| Win Days | 54.67% | 54.58% |
| Win Month | 53.85% | 64.71% |
| Win Quarter | 66.67% | 65.22% |
| Win Year | 33.33% | 83.33% |
| Beta | 0.51 | - |
| Alpha | -0.07 | - |
| Correlation | 44.31% | - |
| Treynor Ratio | -45.41% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 16.68 | -3.54 | -0.21 | - |
| 2021 | 11.67 | 18.59 | 1.59 | + |
| 2022 | -20.51 | -26.74 | 1.30 | - |
| 2023 | 27.43 | 0.00 | 0.00 | - |
| 2024 | 17.56 | 0.00 | 0.00 | - |
| 2025 | 19.33 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-13 | 2021-02-11 | -43.46 | 364 |
| 2021-10-27 | 2025-08-15 | -31.33 | 1388 |
| 2021-02-16 | 2021-04-28 | -7.63 | 71 |
| 2021-09-16 | 2021-10-14 | -5.11 | 28 |
| 2021-05-10 | 2021-05-27 | -4.97 | 17 |
| 2021-06-29 | 2021-09-01 | -4.89 | 64 |
| 2020-01-30 | 2020-02-04 | -2.89 | 5 |
| 2021-06-16 | 2021-06-24 | -2.40 | 8 |
| 2020-02-07 | 2020-02-12 | -2.14 | 5 |
| 2021-04-29 | 2021-05-07 | -1.94 | 8 |