| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 40.0% | 97.0% |
| Cumulative Return | -26.36% | -53.08% |
| CAGR﹪ | -4.56% | -10.91% |
| Sharpe | -0.49 | -0.71 |
| Prob. Sharpe Ratio | 0.2% | 0.0% |
| Smart Sharpe | -0.44 | -0.63 |
| Sortino | -0.65 | -0.73 |
| Smart Sortino | -0.58 | -0.66 |
| Sortino/√2 | -0.46 | -0.52 |
| Smart Sortino/√2 | -0.41 | -0.46 |
| Omega | 0.8 | 0.8 |
| Max Drawdown | -34.64% | -63.89% |
| Longest DD Days | 2269 | 1663 |
| Volatility (ann.) | 21.69% | 25.01% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -0.13 | -0.17 |
| Skew | -2.05 | -26.27 |
| Kurtosis | 70.96 | 828.43 |
| Expected Daily | -0.02% | -0.06% |
| Expected Monthly | -0.49% | -1.21% |
| Expected Yearly | -3.75% | -9.03% |
| Kelly Criterion | -11.45% | -80.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.26% | -2.63% |
| Expected Shortfall (cVaR) | -2.26% | -2.63% |
| Max Consecutive Wins | 6 | 11 |
| Max Consecutive Losses | 5 | 12 |
| Gain/Pain Ratio | -0.08 | -0.21 |
| Gain/Pain (1M) | -0.39 | -0.55 |
| Payoff Ratio | 0.88 | 0.35 |
| Profit Factor | 0.92 | 0.79 |
| Common Sense Ratio | 0.84 | 0.83 |
| CPC Index | 0.39 | 0.15 |
| Tail Ratio | 0.91 | 1.06 |
| Outlier Win Ratio | 13.89 | 10.32 |
| Outlier Loss Ratio | 3.52 | 7.16 |
| MTD | 0.0% | -0.36% |
| 3M | 0.0% | -2.05% |
| 6M | 0.0% | 1.33% |
| YTD | 0.0% | -1.77% |
| 1Y | 0.0% | 4.3% |
| 3Y (ann.) | 0.0% | 5.02% |
| 5Y (ann.) | -5.75% | -15.19% |
| 10Y (ann.) | -4.56% | -10.91% |
| All-time (ann.) | -4.56% | -10.91% |
| 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% | 11.08% |
| Worst Year | -23.86% | -60.53% |
| Avg. Drawdown | -13.05% | -1.56% |
| Avg. Drawdown Days | 473 | 43 |
| Recovery Factor | -0.76 | -0.83 |
| Ulcer Index | 0.21 | 0.42 |
| Serenity Index | -0.06 | -0.03 |
| Avg. Up Month | 1.97% | 1.13% |
| Avg. Down Month | -3.12% | -2.58% |
| Win Days | 47.93% | 53.2% |
| Win Month | 43.33% | 54.84% |
| Win Quarter | 45.45% | 56.52% |
| Win Year | 25.0% | 62.5% |
| Beta | 0.07 | - |
| Alpha | -0.03 | - |
| Correlation | 7.84% | - |
| Treynor Ratio | -490.67% | - |
| 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 | 11.08 | 0.00 | 0.00 | - |
| 2026 | -1.77 | 0.00 | -0.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-23 | 2026-04-10 | -34.64 | 2269 |
| 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 |