| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -0.09% | 72.34% |
| CAGR﹪ | -0.02% | 13.94% |
| Sharpe | 0.15 | 20.32 |
| Prob. Sharpe Ratio | 61.67% | 100.0% |
| Smart Sharpe | 0.11 | 15.44 |
| Sortino | 0.2 | - |
| Smart Sortino | 0.15 | - |
| Sortino/√2 | 0.14 | - |
| Smart Sortino/√2 | 0.11 | - |
| Omega | 1.03 | 1.03 |
| Max Drawdown | -51.95% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 28.89% | 0.65% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.0 | - |
| Skew | -1.11 | 11.7 |
| Kurtosis | 40.16 | 192.31 |
| Expected Daily | -0.0% | 0.05% |
| Expected Monthly | -0.0% | 1.07% |
| Expected Yearly | -0.02% | 11.5% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.98% | -0.01% |
| Expected Shortfall (cVaR) | -2.98% | -0.01% |
| Max Consecutive Wins | 9 | 1044 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | 0.03 | - |
| Gain/Pain (1M) | 0.15 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.03 | - |
| Common Sense Ratio | 1.04 | - |
| CPC Index | - | - |
| Tail Ratio | 1.0 | 3.25 |
| Outlier Win Ratio | 1.92 | 38.58 |
| Outlier Loss Ratio | 2.07 | - |
| MTD | 0.23% | 1.3% |
| 3M | -7.73% | 5.09% |
| 6M | 4.39% | 9.91% |
| YTD | 7.82% | 17.88% |
| 1Y | 17.93% | 21.89% |
| 3Y (ann.) | 19.09% | 16.16% |
| 5Y (ann.) | -0.02% | 13.94% |
| 10Y (ann.) | -0.02% | 13.94% |
| All-time (ann.) | -0.02% | 13.94% |
| Best Day | 20.38% | 0.77% |
| Worst Day | -21.92% | 0.0% |
| Best Month | 13.61% | 1.83% |
| Worst Month | -18.68% | 0.5% |
| Best Year | 57.86% | 18.74% |
| Worst Year | -37.05% | 2.32% |
| Avg. Drawdown | -8.54% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.0 | - |
| Ulcer Index | 0.24 | 0.0 |
| Serenity Index | -0.0 | - |
| Avg. Up Month | 4.69% | 1.0% |
| Avg. Down Month | - | - |
| Win Days | 52.43% | 100.0% |
| Win Month | 56.86% | 100.0% |
| Win Quarter | 55.56% | 100.0% |
| Win Year | 40.0% | 100.0% |
| Beta | -1.76 | - |
| Alpha | 0.27 | - |
| Correlation | -3.95% | - |
| Treynor Ratio | 0.05% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.32 | -3.08 | -1.33 | - |
| 2022 | 9.41 | -37.05 | -3.94 | - |
| 2023 | 10.00 | 57.86 | 5.79 | + |
| 2024 | 18.74 | -3.78 | -0.20 | - |
| 2025 | 17.88 | 7.82 | 0.44 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-02-20 | -51.95 | 1218 |
| 2025-08-12 | 2025-11-06 | -13.29 | 86 |
| 2025-02-25 | 2025-08-05 | -12.79 | 161 |
| 2021-09-16 | 2021-09-27 | -3.36 | 11 |
| 2021-09-07 | 2021-09-13 | -1.19 | 6 |
| 2021-10-06 | 2021-10-08 | -1.00 | 2 |
| 2021-09-28 | 2021-10-05 | -0.92 | 7 |
| 2021-10-15 | 2021-10-19 | -0.64 | 4 |
| 2021-10-12 | 2021-10-14 | -0.27 | 2 |
| 2025-02-21 | 2025-02-24 | -0.02 | 3 |