| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 43.0% | 97.0% |
| Cumulative Return | -26.36% | -53.64% |
| CAGR﹪ | -4.83% | -11.7% |
| Sharpe | -0.48 | -0.73 |
| Prob. Sharpe Ratio | 0.27% | 0.0% |
| Smart Sharpe | -0.43 | -0.65 |
| Sortino | -0.64 | -0.76 |
| Smart Sortino | -0.57 | -0.68 |
| Sortino/√2 | -0.46 | -0.54 |
| Smart Sortino/√2 | -0.41 | -0.48 |
| Omega | 0.81 | 0.81 |
| Max Drawdown | -34.64% | -63.89% |
| Longest DD Days | 2132 | 1526 |
| Volatility (ann.) | 22.57% | 25.83% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | -0.14 | -0.18 |
| Skew | -1.97 | -25.79 |
| Kurtosis | 65.33 | 787.62 |
| Expected Daily | -0.03% | -0.07% |
| Expected Monthly | -0.54% | -1.34% |
| Expected Yearly | -4.28% | -10.4% |
| Kelly Criterion | -11.45% | -79.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.36% | -2.73% |
| Expected Shortfall (cVaR) | -2.36% | -2.73% |
| Max Consecutive Wins | 6 | 11 |
| Max Consecutive Losses | 5 | 12 |
| Gain/Pain Ratio | -0.08 | -0.24 |
| Gain/Pain (1M) | -0.39 | -0.57 |
| Payoff Ratio | 0.88 | 0.35 |
| Profit Factor | 0.92 | 0.76 |
| Common Sense Ratio | 0.77 | 0.81 |
| CPC Index | 0.39 | 0.14 |
| Tail Ratio | 0.84 | 1.08 |
| Outlier Win Ratio | 13.3 | 11.61 |
| Outlier Loss Ratio | 3.59 | 7.4 |
| MTD | 0.0% | -0.35% |
| 3M | 0.0% | -2.07% |
| 6M | 0.0% | 1.3% |
| YTD | 0.0% | 7.83% |
| 1Y | 0.0% | 13.57% |
| 3Y (ann.) | 0.0% | 5.35% |
| 5Y (ann.) | -5.8% | -15.46% |
| 10Y (ann.) | -4.83% | -11.7% |
| All-time (ann.) | -4.83% | -11.7% |
| Best Day | 14.52% | 6.62% |
| Worst Day | -20.11% | -50.05% |
| Best Month | 7.45% | 7.5% |
| Worst Month | -21.37% | -48.47% |
| Best Year | 5.48% | 7.83% |
| Worst Year | -23.86% | -60.53% |
| Avg. Drawdown | -13.05% | -1.56% |
| Avg. Drawdown Days | 446 | 41 |
| Recovery Factor | -0.76 | -0.84 |
| Ulcer Index | 0.2 | 0.41 |
| Serenity Index | -0.06 | -0.03 |
| Avg. Up Month | 1.97% | 1.13% |
| Avg. Down Month | -3.12% | -2.58% |
| Win Days | 47.93% | 53.38% |
| Win Month | 43.33% | 56.14% |
| Win Quarter | 45.45% | 61.9% |
| Win Year | 25.0% | 71.43% |
| Beta | 0.07 | - |
| Alpha | -0.03 | - |
| Correlation | 7.89% | - |
| Treynor Ratio | -483.79% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 1.47 | -4.76 | -3.23 | - |
| 2020 | 4.43 | 5.48 | 1.23 | + |
| 2021 | -0.35 | -3.72 | 10.77 | - |
| 2022 | -60.53 | -23.86 | 0.39 | + |
| 2023 | 1.72 | 0.00 | 0.00 | - |
| 2024 | 1.41 | 0.00 | 0.00 | - |
| 2025 | 7.83 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-23 | 2025-11-24 | -34.64 | 2132 |
| 2019-11-11 | 2019-12-18 | -8.57 | 37 |
| 2019-12-20 | 2020-01-14 | -8.23 | 25 |
| 2020-01-15 | 2020-01-22 | -7.34 | 7 |
| 2019-09-26 | 2019-10-23 | -6.46 | 27 |