| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -21.57% | 42.08% |
| CAGR﹪ | -6.19% | 9.68% |
| Sharpe | -0.12 | 2.4 |
| Prob. Sharpe Ratio | 40.76% | 99.98% |
| Smart Sharpe | -0.11 | 2.25 |
| Sortino | -0.15 | 115.78 |
| Smart Sortino | -0.15 | 108.67 |
| Sortino/√2 | -0.11 | 81.87 |
| Smart Sortino/√2 | -0.1 | 76.84 |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -54.81% | -1.25% |
| Longest DD Days | 1262 | 209 |
| Volatility (ann.) | 25.77% | 3.93% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.11 | 7.71 |
| Skew | -1.62 | 30.38 |
| Kurtosis | 19.26 | 930.27 |
| Expected Daily | -0.03% | 0.04% |
| Expected Monthly | -0.52% | 0.75% |
| Expected Yearly | -4.74% | 7.28% |
| Kelly Criterion | 4.72% | 90.38% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.68% | -0.37% |
| Expected Shortfall (cVaR) | -2.68% | -0.37% |
| Max Consecutive Wins | 10 | 661 |
| Max Consecutive Losses | 6 | 65 |
| Gain/Pain Ratio | -0.02 | 28.04 |
| Gain/Pain (1M) | -0.08 | 28.04 |
| Payoff Ratio | 0.86 | 2.52 |
| Profit Factor | 0.98 | 29.04 |
| Common Sense Ratio | 0.87 | 112.45 |
| CPC Index | 0.47 | 68.16 |
| Tail Ratio | 0.89 | 3.87 |
| Outlier Win Ratio | 2.09 | 46.36 |
| Outlier Loss Ratio | 1.63 | 105.49 |
| MTD | -5.18% | 0.16% |
| 3M | -1.39% | 3.02% |
| 6M | -0.51% | 6.63% |
| YTD | -2.87% | 3.08% |
| 1Y | -18.18% | 10.67% |
| 3Y (ann.) | 5.35% | 6.91% |
| 5Y (ann.) | -6.19% | 9.68% |
| 10Y (ann.) | -6.19% | 9.68% |
| All-time (ann.) | -6.19% | 9.68% |
| 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% | 3.08% |
| Avg. Drawdown | -7.72% | -1.25% |
| Avg. Drawdown Days | 152 | 209 |
| Recovery Factor | -0.39 | 33.54 |
| Ulcer Index | 0.29 | 0.0 |
| Serenity Index | -0.02 | 48.05 |
| Avg. Up Month | 5.57% | 0.91% |
| Avg. Down Month | -4.32% | -0.35% |
| Win Days | 55.87% | 93.11% |
| Win Month | 51.06% | 93.62% |
| Win Quarter | 47.06% | 94.12% |
| Win Year | 20.0% | 100.0% |
| Beta | 1.4 | - |
| Alpha | -0.16 | - |
| Correlation | 21.4% | - |
| Treynor Ratio | -15.38% | - |
| 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 | 3.08 | -2.87 | -0.93 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2025-04-04 | -54.81 | 1262 |
| 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 |