| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -15.02% | 44.67% |
| CAGR﹪ | -3.79% | 9.15% |
| Sharpe | -0.03 | 2.39 |
| Prob. Sharpe Ratio | 47.79% | 99.97% |
| Smart Sharpe | -0.03 | 2.25 |
| Sortino | -0.04 | 115.16 |
| Smart Sortino | -0.03 | 108.38 |
| Sortino/√2 | -0.02 | 81.43 |
| Smart Sortino/√2 | -0.02 | 76.63 |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -54.81% | -1.25% |
| Longest DD Days | 1413 | 209 |
| Volatility (ann.) | 25.1% | 3.72% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.07 | 7.29 |
| Skew | -1.59 | 32.09 |
| Kurtosis | 19.27 | 1038.18 |
| Expected Daily | -0.02% | 0.04% |
| Expected Monthly | -0.31% | 0.71% |
| Expected Yearly | -3.2% | 7.66% |
| Kelly Criterion | 4.94% | 91.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.6% | -0.35% |
| Expected Shortfall (cVaR) | -2.6% | -0.35% |
| Max Consecutive Wins | 12 | 771 |
| Max Consecutive Losses | 6 | 65 |
| Gain/Pain Ratio | -0.01 | 29.47 |
| Gain/Pain (1M) | -0.02 | 29.47 |
| Payoff Ratio | 0.86 | 2.35 |
| Profit Factor | 0.99 | 30.47 |
| Common Sense Ratio | 0.9 | 117.98 |
| CPC Index | 0.48 | 67.08 |
| Tail Ratio | 0.91 | 3.87 |
| Outlier Win Ratio | 2.08 | 48.49 |
| Outlier Loss Ratio | 1.61 | 102.22 |
| MTD | -1.4% | 0.05% |
| 3M | 10.84% | 1.35% |
| 6M | -2.26% | 2.85% |
| YTD | 5.24% | 4.96% |
| 1Y | 13.91% | 9.2% |
| 3Y (ann.) | 19.22% | 7.98% |
| 5Y (ann.) | -3.79% | 9.15% |
| 10Y (ann.) | -3.79% | 9.15% |
| All-time (ann.) | -3.79% | 9.15% |
| Best Day | 10.89% | 7.61% |
| Worst Day | -16.81% | -0.02% |
| Best Month | 15.49% | 7.61% |
| Worst Month | -26.79% | -0.52% |
| Best Year | 42.49% | 11.92% |
| Worst Year | -41.49% | 4.69% |
| Avg. Drawdown | -7.72% | -1.25% |
| Avg. Drawdown Days | 169 | 209 |
| Recovery Factor | -0.27 | 35.6 |
| Ulcer Index | 0.29 | 0.0 |
| Serenity Index | -0.02 | 54.13 |
| Avg. Up Month | 5.38% | 0.85% |
| Avg. Down Month | -4.32% | -0.35% |
| Win Days | 56.12% | 93.83% |
| Win Month | 51.92% | 94.23% |
| Win Quarter | 50.0% | 94.44% |
| Win Year | 40.0% | 100.0% |
| Beta | 1.4 | - |
| Alpha | -0.13 | - |
| Correlation | 20.79% | - |
| Treynor Ratio | -10.71% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.69 | -0.30 | -0.06 | - |
| 2022 | 11.92 | -41.49 | -3.48 | - |
| 2023 | 7.42 | 42.49 | 5.73 | + |
| 2024 | 9.51 | -2.85 | -0.30 | - |
| 2025 | 4.96 | 5.24 | 1.06 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2025-09-02 | -54.81 | 1413 |
| 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 |