| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 7.53% | 140.35% |
| CAGR﹪ | 0.84% | 10.67% |
| Sharpe | 0.37 | 31.83 |
| Prob. Sharpe Ratio | 86.86% | - |
| Smart Sharpe | 0.34 | 29.59 |
| Sortino | 0.59 | - |
| Smart Sortino | 0.55 | - |
| Sortino/√2 | 0.42 | - |
| Smart Sortino/√2 | 0.39 | - |
| Omega | 1.07 | 1.07 |
| Max Drawdown | -85.83% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 75.62% | 0.32% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.01 | - |
| Skew | 3.03 | 0.79 |
| Kurtosis | 59.73 | -0.52 |
| Expected Daily | 0.0% | 0.04% |
| Expected Monthly | 0.07% | 0.84% |
| Expected Yearly | 0.81% | 10.23% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -7.72% | -0.01% |
| Expected Shortfall (cVaR) | -7.72% | -0.01% |
| Max Consecutive Wins | 9 | 2174 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.07 | - |
| Gain/Pain (1M) | 0.37 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.07 | - |
| Common Sense Ratio | 1.18 | - |
| CPC Index | - | - |
| Tail Ratio | 1.1 | 4.47 |
| Outlier Win Ratio | 1.85 | 153.55 |
| Outlier Loss Ratio | 1.6 | - |
| MTD | 0.49% | 0.25% |
| 3M | -34.01% | 3.38% |
| 6M | -29.85% | 6.73% |
| YTD | -23.29% | 11.92% |
| 1Y | -7.44% | 14.59% |
| 3Y (ann.) | 5.42% | 17.54% |
| 5Y (ann.) | -16.43% | 14.18% |
| 10Y (ann.) | 0.84% | 10.67% |
| All-time (ann.) | 0.84% | 10.67% |
| Best Day | 89.35% | 0.09% |
| Worst Day | -32.51% | 0.0% |
| Best Month | 90.27% | 1.83% |
| Worst Month | -41.2% | 0.25% |
| Best Year | 157.03% | 19.39% |
| Worst Year | -48.9% | 4.97% |
| Avg. Drawdown | -30.68% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.09 | - |
| Ulcer Index | 0.51 | 0.0 |
| Serenity Index | 0.01 | - |
| Avg. Up Month | 18.11% | 0.83% |
| Avg. Down Month | - | - |
| Win Days | 48.96% | 100.0% |
| Win Month | 46.67% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | -5.19 | - |
| Alpha | 0.81 | - |
| Correlation | -2.19% | - |
| Treynor Ratio | -1.45% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | 5.67 | -36.65 | -6.46 | - |
| 2019 | 7.22 | -6.22 | -0.86 | - |
| 2020 | 4.97 | 157.03 | 31.58 | + |
| 2021 | 5.82 | 55.89 | 9.61 | + |
| 2022 | 9.43 | -48.90 | -5.19 | - |
| 2023 | 10.00 | -7.64 | -0.76 | - |
| 2024 | 18.74 | -22.04 | -1.18 | - |
| 2025 | 19.39 | 60.04 | 3.10 | + |
| 2026 | 11.92 | -23.29 | -1.95 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-24 | 2026-11-06 | -85.83 | 1808 |
| 2018-03-22 | 2020-03-04 | -63.64 | 713 |
| 2020-05-21 | 2021-01-14 | -53.50 | 238 |
| 2020-03-09 | 2020-04-16 | -48.13 | 38 |
| 2021-02-09 | 2021-11-18 | -45.04 | 282 |
| 2020-04-21 | 2020-05-08 | -12.83 | 17 |
| 2021-01-15 | 2021-02-03 | -10.95 | 19 |
| 2018-03-19 | 2018-03-21 | -4.94 | 2 |
| 2020-04-17 | 2020-04-20 | -4.71 | 3 |
| 2020-05-18 | 2020-05-20 | -4.05 | 2 |