| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -33.04% | -33.17% |
| CAGR﹪ | -7.62% | -7.66% |
| Sharpe | -0.48 | -0.43 |
| Prob. Sharpe Ratio | 0.15% | 0.17% |
| Smart Sharpe | -0.46 | -0.41 |
| Sortino | -0.62 | -0.54 |
| Smart Sortino | -0.59 | -0.52 |
| Sortino/√2 | -0.44 | -0.38 |
| Smart Sortino/√2 | -0.42 | -0.37 |
| Omega | 0.91 | 0.91 |
| Max Drawdown | -54.81% | -54.01% |
| Longest DD Days | 1735 | 1735 |
| Volatility (ann.) | 24.56% | 26.11% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.14 | -0.14 |
| Skew | -1.31 | -4.06 |
| Kurtosis | 18.28 | 98.19 |
| Expected Daily | -0.03% | -0.03% |
| Expected Monthly | -0.66% | -0.66% |
| Expected Yearly | -6.47% | -6.5% |
| Kelly Criterion | -2.28% | -7.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.56% | -2.72% |
| Expected Shortfall (cVaR) | -2.56% | -2.72% |
| Max Consecutive Wins | 12 | 11 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | -0.04 | -0.04 |
| Gain/Pain (1M) | -0.14 | -0.13 |
| Payoff Ratio | 0.8 | 0.77 |
| Profit Factor | 0.96 | 0.96 |
| Common Sense Ratio | 0.85 | 0.81 |
| CPC Index | 0.42 | 0.4 |
| Tail Ratio | 0.88 | 0.84 |
| Outlier Win Ratio | 3.71 | 3.85 |
| Outlier Loss Ratio | 3.09 | 3.54 |
| MTD | -9.17% | -9.49% |
| 3M | -21.0% | -21.37% |
| 6M | -21.14% | -21.5% |
| YTD | -19.52% | -19.74% |
| 1Y | -18.23% | -18.61% |
| 3Y (ann.) | -7.89% | -7.93% |
| 5Y (ann.) | -8.36% | -8.44% |
| 10Y (ann.) | -7.62% | -7.66% |
| All-time (ann.) | -7.62% | -7.66% |
| Best Day | 10.89% | 16.87% |
| Worst Day | -16.81% | -29.98% |
| Best Month | 15.49% | 16.69% |
| Worst Month | -26.79% | -24.71% |
| Best Year | 42.49% | 43.25% |
| Worst Year | -41.49% | -41.56% |
| Avg. Drawdown | -8.48% | -6.9% |
| Avg. Drawdown Days | 228 | 182 |
| Recovery Factor | -0.6 | -0.61 |
| Ulcer Index | 0.29 | 0.29 |
| Serenity Index | -0.05 | -0.05 |
| Avg. Up Month | 5.07% | 5.01% |
| Avg. Down Month | -5.83% | -5.82% |
| Win Days | 54.49% | 53.34% |
| Win Month | 49.18% | 50.82% |
| Win Quarter | 47.62% | 47.62% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.57 | - |
| Alpha | -0.02 | - |
| Correlation | 60.31% | - |
| Treynor Ratio | -70.58% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.04 | -0.20 | 4.84 | - |
| 2022 | -41.56 | -41.49 | 1.00 | + |
| 2023 | 43.25 | 42.49 | 0.98 | - |
| 2024 | -3.35 | -2.85 | 0.85 | + |
| 2025 | 2.95 | 2.93 | 0.99 | - |
| 2026 | -19.74 | -19.52 | 0.99 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2026-07-21 | -54.81 | 1735 |
| 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 |