| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 55.0% | 100.0% |
| Cumulative Return | -66.89% | -3.51% |
| CAGR﹪ | -22.6% | -0.82% |
| Sharpe | -0.88 | -0.09 |
| Prob. Sharpe Ratio | 0.0% | 2.37% |
| Smart Sharpe | -0.6 | -0.06 |
| Sortino | -0.92 | -0.11 |
| Smart Sortino | -0.62 | -0.08 |
| Sortino/√2 | -0.65 | -0.08 |
| Smart Sortino/√2 | -0.44 | -0.05 |
| Omega | 0.65 | 0.65 |
| Max Drawdown | -74.45% | -53.53% |
| Longest DD Days | 1434 | 1215 |
| Volatility (ann.) | 30.15% | 30.27% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.3 | -0.02 |
| Skew | -17.01 | -4.11 |
| Kurtosis | 353.37 | 98.84 |
| Expected Daily | -0.1% | -0.0% |
| Expected Monthly | -2.06% | -0.07% |
| Expected Yearly | -19.83% | -0.71% |
| Kelly Criterion | -13.63% | -2.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.2% | -3.12% |
| Expected Shortfall (cVaR) | -3.2% | -3.12% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | -0.28 | 0.03 |
| Gain/Pain (1M) | -0.65 | 0.13 |
| Payoff Ratio | 0.76 | 0.8 |
| Profit Factor | 0.72 | 1.03 |
| Common Sense Ratio | 0.64 | 0.98 |
| CPC Index | 0.28 | 0.45 |
| Tail Ratio | 0.89 | 0.95 |
| Outlier Win Ratio | 10.71 | 3.02 |
| Outlier Loss Ratio | 2.94 | 2.68 |
| MTD | -1.77% | -3.64% |
| 3M | 3.26% | 0.61% |
| 6M | 1.99% | -3.12% |
| YTD | 1.84% | -4.46% |
| 1Y | 9.02% | 2.11% |
| 3Y (ann.) | -30.24% | 14.9% |
| 5Y (ann.) | -22.6% | -0.82% |
| 10Y (ann.) | -22.6% | -0.82% |
| All-time (ann.) | -22.6% | -0.82% |
| Best Day | 6.74% | 20.04% |
| Worst Day | -42.23% | -33.28% |
| Best Month | 10.68% | 15.56% |
| Worst Month | -63.37% | -30.02% |
| Best Year | 7.72% | 53.84% |
| Worst Year | -63.37% | -37.26% |
| Avg. Drawdown | -7.18% | -6.92% |
| Avg. Drawdown Days | 129 | 118 |
| Recovery Factor | -0.9 | -0.07 |
| Ulcer Index | 0.47 | 0.25 |
| Serenity Index | -0.04 | -0.02 |
| Avg. Up Month | 3.43% | 4.67% |
| Avg. Down Month | -8.1% | -6.89% |
| Win Days | 50.84% | 54.45% |
| Win Month | 50.0% | 56.6% |
| Win Quarter | 46.15% | 52.63% |
| Win Year | 40.0% | 60.0% |
| Beta | 0.33 | - |
| Alpha | -0.21 | - |
| Correlation | 33.01% | - |
| Treynor Ratio | -224.68% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.95 | 7.72 | 2.61 | + |
| 2022 | -37.26 | -12.17 | 0.33 | + |
| 2023 | 53.84 | -63.37 | -1.18 | - |
| 2024 | 1.64 | -6.18 | -3.77 | - |
| 2025 | -4.46 | 1.84 | -0.41 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2025-10-13 | -74.45 | 1434 |
| 2021-07-08 | 2021-08-10 | -3.46 | 33 |
| 2021-09-07 | 2021-10-05 | -2.26 | 28 |
| 2021-10-21 | 2021-11-08 | -1.56 | 18 |
| 2021-10-12 | 2021-10-19 | -1.29 | 7 |
| 2021-08-18 | 2021-08-30 | -1.18 | 12 |
| 2021-10-06 | 2021-10-07 | -0.82 | 1 |
| 2021-06-23 | 2021-06-30 | -0.35 | 7 |
| 2021-09-03 | 2021-09-06 | -0.28 | 3 |
| 2021-08-31 | 2021-09-01 | -0.27 | 1 |