| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 17.0% | 100.0% |
| Cumulative Return | -0.53% | 3.36% |
| CAGR﹪ | -0.12% | 0.74% |
| Sharpe | -3.15 | -0.79 |
| Prob. Sharpe Ratio | 0.71% | 1.93% |
| Smart Sharpe | -2.96 | -0.74 |
| Sortino | -3.95 | -1.07 |
| Smart Sortino | -3.72 | -1.01 |
| Sortino/√2 | -2.79 | -0.76 |
| Smart Sortino/√2 | -2.63 | -0.71 |
| Omega | 0.42 | 0.42 |
| Max Drawdown | -5.18% | -16.59% |
| Longest DD Days | 1480 | 1367 |
| Volatility (ann.) | 2.18% | 7.32% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.02 | 0.04 |
| Skew | -0.62 | 0.0 |
| Kurtosis | 17.66 | 2.1 |
| Expected Daily | -0.0% | 0.0% |
| Expected Monthly | -0.01% | 0.06% |
| Expected Yearly | -0.11% | 0.66% |
| Kelly Criterion | -0.5% | 0.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.23% | -0.75% |
| Expected Shortfall (cVaR) | -0.23% | -0.75% |
| Max Consecutive Wins | 6 | 8 |
| Max Consecutive Losses | 4 | 9 |
| Gain/Pain Ratio | -0.02 | 0.02 |
| Gain/Pain (1M) | -0.07 | 0.11 |
| Payoff Ratio | 1.0 | 0.98 |
| Profit Factor | 0.98 | 1.02 |
| Common Sense Ratio | 1.2 | 0.91 |
| CPC Index | 0.49 | 0.51 |
| Tail Ratio | 1.22 | 0.89 |
| Outlier Win Ratio | 37.51 | 2.61 |
| Outlier Loss Ratio | 3.29 | 2.55 |
| MTD | 0.0% | -0.56% |
| 3M | 0.0% | 0.37% |
| 6M | 0.0% | 4.09% |
| YTD | 0.0% | 8.67% |
| 1Y | 0.0% | 5.86% |
| 3Y (ann.) | 0.0% | 4.4% |
| 5Y (ann.) | -0.12% | 0.74% |
| 10Y (ann.) | -0.12% | 0.74% |
| All-time (ann.) | -0.12% | 0.74% |
| Best Day | 1.08% | 2.03% |
| Worst Day | -0.91% | -1.94% |
| Best Month | 3.39% | 5.36% |
| Worst Month | -2.41% | -8.23% |
| Best Year | 4.25% | 8.67% |
| Worst Year | -4.58% | -13.2% |
| Avg. Drawdown | -0.99% | -2.42% |
| Avg. Drawdown Days | 134 | 147 |
| Recovery Factor | -0.1 | 0.2 |
| Ulcer Index | 0.05 | 0.09 |
| Serenity Index | -0.03 | -0.01 |
| Avg. Up Month | 1.12% | 1.18% |
| Avg. Down Month | -1.26% | -1.18% |
| Win Days | 49.73% | 50.49% |
| Win Month | 55.56% | 58.18% |
| Win Quarter | 75.0% | 63.16% |
| Win Year | 50.0% | 80.0% |
| Beta | 0.06 | - |
| Alpha | -0.0 | - |
| Correlation | 18.82% | - |
| Treynor Ratio | -134.23% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.65 | 4.25 | 0.91 | - |
| 2022 | -13.20 | -4.58 | 0.35 | + |
| 2023 | 3.61 | 0.00 | 0.00 | - |
| 2024 | 1.07 | 0.00 | 0.00 | - |
| 2025 | 8.67 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-16 | 2025-12-05 | -5.18 | 1480 |
| 2021-08-04 | 2021-10-26 | -1.79 | 83 |
| 2021-10-28 | 2021-11-08 | -1.49 | 11 |
| 2021-06-11 | 2021-07-02 | -1.31 | 21 |
| 2021-07-29 | 2021-07-30 | -0.62 | 1 |
| 2021-07-21 | 2021-07-22 | -0.40 | 1 |
| 2021-06-02 | 2021-06-04 | -0.34 | 2 |
| 2021-06-07 | 2021-06-10 | -0.29 | 3 |
| 2021-07-16 | 2021-07-19 | -0.18 | 3 |
| 2021-11-10 | 2021-11-12 | -0.16 | 2 |