| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 7.0% | 100.0% |
| Cumulative Return | -4.52% | 48.51% |
| CAGR﹪ | -0.98% | 8.82% |
| Sharpe | -1.12 | 0.19 |
| Prob. Sharpe Ratio | 0.39% | 12.07% |
| Smart Sharpe | -0.96 | 0.16 |
| Sortino | -1.48 | 0.26 |
| Smart Sortino | -1.27 | 0.22 |
| Sortino/√2 | -1.05 | 0.18 |
| Smart Sortino/√2 | -0.9 | 0.16 |
| Omega | 0.56 | 0.56 |
| Max Drawdown | -10.71% | -25.5% |
| Longest DD Days | 1650 | 520 |
| Volatility (ann.) | 6.72% | 17.76% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.09 | 0.35 |
| Skew | -1.7 | -0.06 |
| Kurtosis | 56.78 | 3.95 |
| Expected Daily | -0.0% | 0.03% |
| Expected Monthly | -0.08% | 0.7% |
| Expected Yearly | -0.77% | 6.81% |
| Kelly Criterion | -4.73% | 1.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.7% | -1.8% |
| Expected Shortfall (cVaR) | -0.7% | -1.8% |
| Max Consecutive Wins | 5 | 9 |
| Max Consecutive Losses | 4 | 8 |
| Gain/Pain Ratio | -0.07 | 0.1 |
| Gain/Pain (1M) | -0.27 | 0.6 |
| Payoff Ratio | 0.87 | 0.95 |
| Profit Factor | 0.93 | 1.1 |
| Common Sense Ratio | - | 1.11 |
| CPC Index | 0.41 | 0.55 |
| Tail Ratio | - | 1.0 |
| Outlier Win Ratio | 53.64 | 2.66 |
| Outlier Loss Ratio | 1.79 | 3.05 |
| MTD | 0.0% | 3.46% |
| 3M | 0.0% | -0.52% |
| 6M | 0.0% | 10.06% |
| YTD | 0.0% | 4.98% |
| 1Y | 0.0% | 14.25% |
| 3Y (ann.) | 0.0% | 12.91% |
| 5Y (ann.) | -0.98% | 8.82% |
| 10Y (ann.) | -0.98% | 8.82% |
| All-time (ann.) | -0.98% | 8.82% |
| Best Day | 3.43% | 7.44% |
| Worst Day | -4.97% | -4.96% |
| Best Month | 5.52% | 9.75% |
| Worst Month | -5.81% | -9.26% |
| Best Year | 3.72% | 19.19% |
| Worst Year | -7.95% | -11.9% |
| Avg. Drawdown | -3.08% | -2.84% |
| Avg. Drawdown Days | 281 | 38 |
| Recovery Factor | -0.42 | 1.9 |
| Ulcer Index | 0.1 | 0.08 |
| Serenity Index | -0.03 | 0.37 |
| Avg. Up Month | 4.21% | 5.49% |
| Avg. Down Month | -4.44% | -4.49% |
| Win Days | 51.35% | 52.22% |
| Win Month | 50.0% | 57.89% |
| Win Quarter | 66.67% | 60.0% |
| Win Year | 50.0% | 83.33% |
| Beta | 0.09 | - |
| Alpha | -0.02 | - |
| Correlation | 22.97% | - |
| Treynor Ratio | -132.56% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 5.09 | 3.72 | 0.73 | - |
| 2022 | -11.90 | -7.95 | 0.67 | + |
| 2023 | 19.19 | 0.00 | 0.00 | - |
| 2024 | 7.69 | 0.00 | 0.00 | - |
| 2025 | 19.04 | 0.00 | 0.00 | - |
| 2026 | 4.98 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2026-05-25 | -10.71 | 1650 |
| 2021-09-29 | 2021-10-15 | -4.72 | 16 |
| 2021-10-18 | 2021-10-25 | -1.76 | 7 |
| 2021-09-22 | 2021-09-27 | -0.50 | 5 |
| 2021-11-09 | 2021-11-12 | -0.47 | 3 |
| 2021-10-27 | 2021-11-01 | -0.29 | 5 |