| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 8.35% | 98.36% |
| CAGR﹪ | 1.29% | 11.54% |
| Sharpe | 0.25 | 26.24 |
| Prob. Sharpe Ratio | 70.91% | 100.0% |
| Smart Sharpe | 0.24 | 25.96 |
| Sortino | 0.29 | - |
| Smart Sortino | 0.29 | - |
| Sortino/√2 | 0.2 | - |
| Smart Sortino/√2 | 0.2 | - |
| Omega | 1.07 | 1.07 |
| Max Drawdown | -71.54% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 31.65% | 0.43% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.02 | - |
| Skew | -13.05 | 2.25 |
| Kurtosis | 358.8 | 13.09 |
| Expected Daily | 0.01% | 0.04% |
| Expected Monthly | 0.11% | 0.91% |
| Expected Yearly | 1.15% | 10.28% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.25% | -0.0% |
| Expected Shortfall (cVaR) | -3.25% | -0.0% |
| Max Consecutive Wins | 11 | 1529 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | 0.07 | - |
| Gain/Pain (1M) | 0.25 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.07 | - |
| Common Sense Ratio | 1.08 | - |
| CPC Index | - | - |
| Tail Ratio | 1.01 | 5.14 |
| Outlier Win Ratio | 2.04 | 41.4 |
| Outlier Loss Ratio | 1.94 | - |
| MTD | 3.02% | 1.12% |
| 3M | 2.16% | 4.12% |
| 6M | 3.11% | 8.06% |
| YTD | 1.47% | 4.72% |
| 1Y | 24.58% | 17.55% |
| 3Y (ann.) | 17.99% | 17.12% |
| 5Y (ann.) | -2.31% | 13.42% |
| 10Y (ann.) | 1.29% | 11.54% |
| All-time (ann.) | 1.29% | 11.54% |
| Best Day | 16.77% | 0.26% |
| Worst Day | -54.05% | 0.0% |
| Best Month | 21.4% | 1.83% |
| Worst Month | -62.61% | 0.37% |
| Best Year | 54.14% | 19.39% |
| Worst Year | -60.04% | 4.72% |
| Avg. Drawdown | -4.87% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.12 | - |
| Ulcer Index | 0.33 | 0.0 |
| Serenity Index | 0.01 | - |
| Avg. Up Month | 4.79% | 0.89% |
| Avg. Down Month | - | - |
| Win Days | 54.1% | 100.0% |
| Win Month | 67.12% | 100.0% |
| Win Quarter | 69.23% | 100.0% |
| Win Year | 71.43% | 100.0% |
| Beta | -0.14 | - |
| Alpha | 0.09 | - |
| Correlation | -0.19% | - |
| Treynor Ratio | -58.78% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 4.94 | 14.48 | 2.93 | + |
| 2021 | 5.82 | 18.52 | 3.18 | + |
| 2022 | 9.40 | -60.04 | -6.39 | - |
| 2023 | 10.00 | 54.14 | 5.42 | + |
| 2024 | 18.74 | 40.88 | 2.18 | + |
| 2025 | 19.39 | -9.32 | -0.48 | - |
| 2026 | 4.72 | 1.47 | 0.31 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-18 | 2026-04-17 | -71.54 | 1611 |
| 2020-02-20 | 2020-08-21 | -28.38 | 183 |
| 2020-09-03 | 2020-11-09 | -7.45 | 67 |
| 2021-02-16 | 2021-04-05 | -6.20 | 48 |
| 2021-09-08 | 2021-10-28 | -5.92 | 50 |
| 2020-01-17 | 2020-02-06 | -3.97 | 20 |
| 2021-05-10 | 2021-06-01 | -3.32 | 22 |
| 2021-01-27 | 2021-02-05 | -3.13 | 9 |
| 2021-08-16 | 2021-09-01 | -2.74 | 16 |
| 2021-07-06 | 2021-08-11 | -2.54 | 36 |