| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -18.26% | -12.89% |
| CAGR﹪ | -4.43% | -3.05% |
| Sharpe | -0.33 | -0.23 |
| Prob. Sharpe Ratio | 0.69% | 1.13% |
| Smart Sharpe | -0.32 | -0.23 |
| Sortino | -0.42 | -0.29 |
| Smart Sortino | -0.42 | -0.28 |
| Sortino/√2 | -0.3 | -0.2 |
| Smart Sortino/√2 | -0.29 | -0.2 |
| Omega | 0.94 | 0.94 |
| Max Drawdown | -54.81% | -53.79% |
| Longest DD Days | 1514 | 1514 |
| Volatility (ann.) | 24.98% | 26.54% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.08 | -0.06 |
| Skew | -1.49 | -4.76 |
| Kurtosis | 18.57 | 98.99 |
| Expected Daily | -0.02% | -0.01% |
| Expected Monthly | -0.37% | -0.26% |
| Expected Yearly | -3.95% | -2.72% |
| Kelly Criterion | -0.64% | -5.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.59% | -2.75% |
| Expected Shortfall (cVaR) | -2.59% | -2.75% |
| Max Consecutive Wins | 12 | 11 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | -0.01 | 0.01 |
| Gain/Pain (1M) | -0.04 | 0.02 |
| Payoff Ratio | 0.79 | 0.76 |
| Profit Factor | 0.99 | 1.01 |
| Common Sense Ratio | 0.89 | 0.85 |
| CPC Index | 0.43 | 0.41 |
| Tail Ratio | 0.9 | 0.84 |
| Outlier Win Ratio | 3.81 | 3.92 |
| Outlier Loss Ratio | 2.99 | 3.42 |
| MTD | 1.12% | 2.96% |
| 3M | -5.43% | -3.47% |
| 6M | 6.57% | 8.87% |
| YTD | 1.12% | 4.29% |
| 1Y | 15.46% | 18.97% |
| 3Y (ann.) | 11.46% | 13.59% |
| 5Y (ann.) | -4.43% | -3.05% |
| 10Y (ann.) | -4.43% | -3.05% |
| All-time (ann.) | -4.43% | -3.05% |
| Best Day | 10.89% | 14.95% |
| Worst Day | -16.81% | -29.96% |
| Best Month | 15.49% | 17.2% |
| Worst Month | -26.79% | -25.87% |
| Best Year | 42.49% | 45.7% |
| Worst Year | -41.49% | -40.77% |
| Avg. Drawdown | -8.48% | -6.92% |
| Avg. Drawdown Days | 200 | 160 |
| Recovery Factor | -0.33 | -0.24 |
| Ulcer Index | 0.29 | 0.28 |
| Serenity Index | -0.03 | -0.03 |
| Avg. Up Month | 5.07% | 5.21% |
| Avg. Down Month | -6.53% | -6.49% |
| Win Days | 55.64% | 54.55% |
| Win Month | 53.7% | 57.41% |
| Win Quarter | 55.56% | 50.0% |
| Win Year | 40.0% | 40.0% |
| Beta | 0.54 | - |
| Alpha | -0.02 | - |
| Correlation | 57.25% | - |
| Treynor Ratio | -46.9% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.06 | -0.20 | 3.45 | - |
| 2022 | -40.77 | -41.49 | 1.02 | - |
| 2023 | 45.70 | 42.49 | 0.93 | - |
| 2024 | -3.15 | -2.85 | 0.90 | + |
| 2025 | 4.29 | 1.12 | 0.26 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2025-12-12 | -54.81 | 1514 |
| 2021-09-08 | 2021-10-19 | -6.25 | 41 |
| 2021-07-13 | 2021-08-04 | -3.13 | 22 |
| 2021-08-18 | 2021-08-31 | -2.22 | 13 |
| 2021-08-11 | 2021-08-16 | -0.52 | 5 |
| 2021-07-06 | 2021-07-08 | -0.46 | 2 |
| 2021-08-06 | 2021-08-10 | -0.33 | 4 |
| 2021-07-09 | 2021-07-12 | -0.08 | 3 |