| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 11.29% | 69.69% |
| CAGR﹪ | 1.36% | 6.9% |
| Sharpe | 0.38 | 11.44 |
| Prob. Sharpe Ratio | 86.54% | 100.0% |
| Smart Sharpe | 0.35 | 10.65 |
| Sortino | 0.61 | 97.63 |
| Smart Sortino | 0.57 | 90.91 |
| Sortino/√2 | 0.43 | 69.03 |
| Smart Sortino/√2 | 0.4 | 64.28 |
| Omega | 1.07 | 1.07 |
| Max Drawdown | -85.83% | -1.25% |
| Longest DD Days | 1542 | 209 |
| Volatility (ann.) | 76.77% | 0.59% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.02 | 5.5 |
| Skew | 3.17 | 5.74 |
| Kurtosis | 61.21 | 43.32 |
| Expected Daily | 0.01% | 0.03% |
| Expected Monthly | 0.11% | 0.55% |
| Expected Yearly | 1.2% | 6.05% |
| Kelly Criterion | 3.57% | 88.08% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -7.84% | -0.03% |
| Expected Shortfall (cVaR) | -7.84% | -0.03% |
| Max Consecutive Wins | 9 | 730 |
| Max Consecutive Losses | 8 | 64 |
| Gain/Pain Ratio | 0.07 | 24.34 |
| Gain/Pain (1M) | 0.38 | 24.34 |
| Payoff Ratio | 1.15 | 2.48 |
| Profit Factor | 1.07 | 25.34 |
| Common Sense Ratio | 1.17 | 142.07 |
| CPC Index | 0.6 | 57.43 |
| Tail Ratio | 1.09 | 5.61 |
| Outlier Win Ratio | 1.9 | 214.5 |
| Outlier Loss Ratio | 1.64 | 389.55 |
| MTD | -10.08% | 0.15% |
| 3M | -5.4% | 1.0% |
| 6M | 95.66% | 1.78% |
| YTD | -20.6% | 0.44% |
| 1Y | 57.67% | 4.42% |
| 3Y (ann.) | 4.68% | 7.33% |
| 5Y (ann.) | -12.48% | 8.41% |
| 10Y (ann.) | 1.36% | 6.9% |
| All-time (ann.) | 1.36% | 6.9% |
| Best Day | 89.35% | 0.32% |
| Worst Day | -32.51% | -0.02% |
| Best Month | 90.27% | 7.61% |
| Worst Month | -41.2% | -0.52% |
| Best Year | 157.03% | 11.92% |
| Worst Year | -48.9% | 0.44% |
| Avg. Drawdown | -30.68% | -0.54% |
| Avg. Drawdown Days | 260 | 114 |
| Recovery Factor | 0.13 | 55.54 |
| Ulcer Index | 0.51 | 0.0 |
| Serenity Index | 0.01 | 23.93 |
| Avg. Up Month | 19.11% | 0.54% |
| Avg. Down Month | -12.9% | -0.28% |
| Win Days | 48.45% | 91.51% |
| Win Month | 45.83% | 91.67% |
| Win Quarter | 51.52% | 93.94% |
| Win Year | 33.33% | 100.0% |
| Beta | -3.02 | - |
| Alpha | 0.49 | - |
| Correlation | -2.3% | - |
| Treynor Ratio | -3.74% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | 3.70 | -36.65 | -9.90 | - |
| 2019 | 3.05 | -6.22 | -2.04 | - |
| 2020 | 4.91 | 157.03 | 31.97 | + |
| 2021 | 8.39 | 55.89 | 6.66 | + |
| 2022 | 11.92 | -48.90 | -4.10 | - |
| 2023 | 7.42 | -7.64 | -1.03 | - |
| 2024 | 9.51 | -22.04 | -2.32 | - |
| 2025 | 5.60 | 60.04 | 10.72 | + |
| 2026 | 0.44 | -20.60 | -47.19 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-24 | 2026-02-13 | -85.83 | 1542 |
| 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 | 2020-05-11 | -12.83 | 20 |
| 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 |