| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -24.52% | -21.49% |
| CAGR﹪ | -6.29% | -5.43% |
| Sharpe | -0.4 | -0.32 |
| Prob. Sharpe Ratio | 0.48% | 0.68% |
| Smart Sharpe | -0.4 | -0.31 |
| Sortino | -0.51 | -0.39 |
| Smart Sortino | -0.51 | -0.39 |
| Sortino/√2 | -0.36 | -0.28 |
| Smart Sortino/√2 | -0.36 | -0.28 |
| Omega | 0.93 | 0.93 |
| Max Drawdown | -54.81% | -53.79% |
| Longest DD Days | 1469 | 1469 |
| Volatility (ann.) | 25.2% | 26.82% |
| R^2 | 0.32 | 0.32 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.11 | -0.1 |
| Skew | -1.49 | -4.74 |
| Kurtosis | 18.4 | 97.65 |
| Expected Daily | -0.03% | -0.02% |
| Expected Monthly | -0.54% | -0.46% |
| Expected Yearly | -5.47% | -4.72% |
| Kelly Criterion | -1.36% | -6.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.62% | -2.79% |
| Expected Shortfall (cVaR) | -2.62% | -2.79% |
| Max Consecutive Wins | 12 | 11 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | -0.02 | -0.01 |
| Gain/Pain (1M) | -0.09 | -0.05 |
| Payoff Ratio | 0.78 | 0.74 |
| Profit Factor | 0.98 | 0.99 |
| Common Sense Ratio | 0.87 | 0.83 |
| CPC Index | 0.42 | 0.4 |
| Tail Ratio | 0.89 | 0.85 |
| Outlier Win Ratio | 3.87 | 3.99 |
| Outlier Loss Ratio | 2.99 | 3.4 |
| MTD | -6.67% | -7.41% |
| 3M | -8.5% | -8.59% |
| 6M | -8.22% | -8.63% |
| YTD | -6.61% | -6.0% |
| 1Y | 0.6% | 0.62% |
| 3Y (ann.) | 8.69% | 10.02% |
| 5Y (ann.) | -6.29% | -5.43% |
| 10Y (ann.) | -6.29% | -5.43% |
| All-time (ann.) | -6.29% | -5.43% |
| 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 | 195 | 156 |
| Recovery Factor | -0.45 | -0.4 |
| Ulcer Index | 0.29 | 0.28 |
| Serenity Index | -0.04 | -0.04 |
| Avg. Up Month | 5.15% | 5.24% |
| Avg. Down Month | -6.54% | -6.53% |
| Win Days | 55.52% | 54.45% |
| Win Month | 51.92% | 55.77% |
| Win Quarter | 50.0% | 44.44% |
| Win Year | 20.0% | 20.0% |
| Beta | 0.54 | - |
| Alpha | -0.02 | - |
| Correlation | 56.99% | - |
| Treynor Ratio | -58.85% | - |
| 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 | -6.00 | -6.61 | 1.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2025-10-28 | -54.81 | 1469 |
| 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 |