| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 7.0% | 97.0% |
| Cumulative Return | -5.1% | -57.05% |
| CAGR﹪ | -1.07% | -15.95% |
| Sharpe | -4.61 | -0.65 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.98 | -0.56 |
| Sortino | -4.87 | -0.66 |
| Smart Sortino | -4.21 | -0.57 |
| Sortino/√2 | -3.44 | -0.47 |
| Smart Sortino/√2 | -2.98 | -0.4 |
| Omega | 0.17 | 0.17 |
| Max Drawdown | -6.21% | -65.15% |
| Longest DD Days | 1632 | 1645 |
| Volatility (ann.) | 1.8% | 34.1% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | -0.17 | -0.24 |
| Skew | -6.9 | -25.67 |
| Kurtosis | 107.09 | 715.94 |
| Expected Daily | -0.01% | -0.1% |
| Expected Monthly | -0.12% | -1.95% |
| Expected Yearly | -0.87% | -13.14% |
| Kelly Criterion | -41.76% | -96.82% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.19% | -3.59% |
| Expected Shortfall (cVaR) | -0.19% | -3.59% |
| Max Consecutive Wins | 2 | 8 |
| Max Consecutive Losses | 2 | 10 |
| Gain/Pain Ratio | -0.44 | -0.25 |
| Gain/Pain (1M) | -0.81 | -0.6 |
| Payoff Ratio | 0.54 | 0.33 |
| Profit Factor | 0.56 | 0.75 |
| Common Sense Ratio | - | 0.82 |
| CPC Index | 0.15 | 0.13 |
| Tail Ratio | - | 1.08 |
| Outlier Win Ratio | 147.83 | 3.36 |
| Outlier Loss Ratio | 2.69 | 2.2 |
| MTD | 0.0% | -1.91% |
| 3M | 0.0% | -1.49% |
| 6M | 0.0% | -1.39% |
| YTD | 0.0% | -2.42% |
| 1Y | 0.0% | 4.96% |
| 3Y (ann.) | 0.0% | 7.09% |
| 5Y (ann.) | -1.07% | -15.95% |
| 10Y (ann.) | -1.07% | -15.95% |
| All-time (ann.) | -1.07% | -15.95% |
| Best Day | 0.7% | 3.7% |
| Worst Day | -1.91% | -59.9% |
| Best Month | 0.79% | 7.37% |
| Worst Month | -3.41% | -59.81% |
| Best Year | 0.0% | 12.21% |
| Worst Year | -4.71% | -64.04% |
| Avg. Drawdown | -1.61% | -4.11% |
| Avg. Drawdown Days | 345 | 106 |
| Recovery Factor | -0.82 | -0.88 |
| Ulcer Index | 0.05 | 0.53 |
| Serenity Index | -0.03 | -0.03 |
| Avg. Up Month | 0.39% | 0.51% |
| Avg. Down Month | -1.04% | -1.99% |
| Win Days | 50.0% | 51.65% |
| Win Month | 30.0% | 55.81% |
| Win Quarter | 25.0% | 68.75% |
| Win Year | 0.0% | 66.67% |
| Beta | 0.0 | - |
| Alpha | -0.02 | - |
| Correlation | 1.71% | - |
| Treynor Ratio | -13393.85% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.68 | -0.41 | -0.60 | - |
| 2022 | -64.04 | -4.71 | 0.07 | + |
| 2023 | 4.48 | 0.00 | 0.00 | - |
| 2024 | 3.70 | 0.00 | 0.00 | - |
| 2025 | 12.21 | 0.00 | 0.00 | - |
| 2026 | -2.42 | 0.00 | -0.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2026-03-20 | -6.21 | 1632 |
| 2021-06-17 | 2021-08-13 | -0.59 | 57 |
| 2021-08-17 | 2021-08-23 | -0.49 | 6 |
| 2021-06-02 | 2021-06-15 | -0.39 | 13 |
| 2021-09-02 | 2021-09-17 | -0.39 | 15 |