| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -33.49% | -28.59% |
| CAGR﹪ | -7.74% | -6.43% |
| Sharpe | -0.48 | -0.38 |
| Prob. Sharpe Ratio | 0.14% | 0.24% |
| Smart Sharpe | -0.47 | -0.38 |
| Sortino | -0.63 | -0.48 |
| Smart Sortino | -0.61 | -0.47 |
| Sortino/√2 | -0.44 | -0.34 |
| Smart Sortino/√2 | -0.43 | -0.33 |
| Omega | 0.91 | 0.91 |
| Max Drawdown | -54.81% | -53.79% |
| Longest DD Days | 1737 | 1737 |
| Volatility (ann.) | 24.44% | 25.8% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.14 | -0.12 |
| Skew | -1.32 | -4.51 |
| Kurtosis | 18.46 | 97.98 |
| Expected Daily | -0.03% | -0.03% |
| Expected Monthly | -0.67% | -0.55% |
| Expected Yearly | -6.57% | -5.46% |
| Kelly Criterion | -2.33% | -6.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.55% | -2.69% |
| Expected Shortfall (cVaR) | -2.55% | -2.69% |
| Max Consecutive Wins | 12 | 11 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | -0.04 | -0.03 |
| Gain/Pain (1M) | -0.14 | -0.09 |
| Payoff Ratio | 0.8 | 0.77 |
| Profit Factor | 0.96 | 0.97 |
| Common Sense Ratio | 0.84 | 0.8 |
| CPC Index | 0.42 | 0.4 |
| Tail Ratio | 0.87 | 0.83 |
| Outlier Win Ratio | 3.81 | 3.92 |
| Outlier Loss Ratio | 3.13 | 3.56 |
| MTD | -9.78% | -8.28% |
| 3M | -21.86% | -20.19% |
| 6M | -22.0% | -20.38% |
| YTD | -20.06% | -18.04% |
| 1Y | -19.82% | -17.7% |
| 3Y (ann.) | -8.42% | -6.98% |
| 5Y (ann.) | -8.48% | -7.11% |
| 10Y (ann.) | -7.74% | -6.43% |
| All-time (ann.) | -7.74% | -6.43% |
| 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 | 228 | 183 |
| Recovery Factor | -0.61 | -0.53 |
| Ulcer Index | 0.29 | 0.27 |
| Serenity Index | -0.05 | -0.05 |
| Avg. Up Month | 5.07% | 5.13% |
| Avg. Down Month | -6.23% | -6.13% |
| Win Days | 54.52% | 53.65% |
| Win Month | 49.18% | 54.1% |
| Win Quarter | 47.62% | 42.86% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.57 | - |
| Alpha | -0.03 | - |
| Correlation | 59.9% | - |
| Treynor Ratio | -71.34% | - |
| 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 | 4.31 | 2.93 | 0.68 | - |
| 2026 | -18.04 | -20.06 | 1.11 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2026-07-23 | -54.81 | 1737 |
| 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 |