| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -31.8% | 95.58% |
| CAGR﹪ | -6.97% | 13.5% |
| Sharpe | -0.17 | 17.79 |
| Prob. Sharpe Ratio | 34.56% | 99.45% |
| Smart Sharpe | -0.16 | 17.04 |
| Sortino | -0.23 | - |
| Smart Sortino | -0.22 | - |
| Sortino/√2 | -0.16 | - |
| Smart Sortino/√2 | -0.15 | - |
| Omega | 0.97 | 0.97 |
| Max Drawdown | -54.81% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 24.5% | 0.72% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.13 | - |
| Skew | -1.26 | 27.64 |
| Kurtosis | 17.53 | 917.71 |
| Expected Daily | -0.03% | 0.05% |
| Expected Monthly | -0.59% | 1.04% |
| Expected Yearly | -6.18% | 11.83% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.56% | -0.02% |
| Expected Shortfall (cVaR) | -2.56% | -0.02% |
| Max Consecutive Wins | 12 | 1327 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | -0.03 | - |
| Gain/Pain (1M) | -0.13 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.97 | - |
| Common Sense Ratio | 0.87 | - |
| CPC Index | - | - |
| Tail Ratio | 0.9 | 3.37 |
| Outlier Win Ratio | 2.04 | 36.61 |
| Outlier Loss Ratio | 1.62 | - |
| MTD | 1.04% | 0.05% |
| 3M | -7.39% | 3.32% |
| 6M | -17.64% | 6.7% |
| YTD | -17.94% | 10.49% |
| 1Y | -15.59% | 14.81% |
| 3Y (ann.) | -8.07% | 17.57% |
| 5Y (ann.) | -8.46% | 14.04% |
| 10Y (ann.) | -6.97% | 13.5% |
| All-time (ann.) | -6.97% | 13.5% |
| Best Day | 10.89% | 1.55% |
| Worst Day | -16.81% | 0.0% |
| Best Month | 15.49% | 1.83% |
| Worst Month | -26.79% | 0.05% |
| Best Year | 42.49% | 19.38% |
| Worst Year | -41.49% | 3.76% |
| Avg. Drawdown | -7.72% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.58 | - |
| Ulcer Index | 0.29 | 0.0 |
| Serenity Index | -0.04 | - |
| Avg. Up Month | 4.94% | 1.0% |
| Avg. Down Month | - | - |
| Win Days | 54.55% | 100.0% |
| Win Month | 47.69% | 100.0% |
| Win Quarter | 47.83% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | 6.14 | - |
| Alpha | -0.82 | - |
| Correlation | 17.94% | - |
| Treynor Ratio | -5.18% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.76 | -0.30 | -0.08 | - |
| 2022 | 9.41 | -41.49 | -4.41 | - |
| 2023 | 10.00 | 42.49 | 4.25 | + |
| 2024 | 18.74 | -2.85 | -0.15 | - |
| 2025 | 19.38 | 2.93 | 0.15 | - |
| 2026 | 10.49 | -17.94 | -1.71 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2026-10-01 | -54.81 | 1807 |
| 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 |
| 2021-06-17 | 2021-07-02 | -1.63 | 15 |
| 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 |