| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -64.14% | 58.06% |
| CAGR﹪ | -19.05% | 9.9% |
| Sharpe | -0.7 | 27.29 |
| Prob. Sharpe Ratio | 4.44% | 100.0% |
| Smart Sharpe | -0.51 | 20.02 |
| Sortino | -0.73 | - |
| Smart Sortino | -0.54 | - |
| Sortino/√2 | -0.52 | - |
| Smart Sortino/√2 | -0.38 | - |
| Omega | 0.78 | 0.78 |
| Max Drawdown | -74.45% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 36.21% | 0.55% |
| R^2 | 0.51 | 0.51 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.26 | - |
| Skew | -13.83 | 10.38 |
| Kurtosis | 238.65 | 164.85 |
| Expected Daily | -0.13% | 0.06% |
| Expected Monthly | -2.66% | 1.21% |
| Expected Yearly | -15.71% | 7.93% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.85% | -0.0% |
| Expected Shortfall (cVaR) | -3.85% | -0.0% |
| Max Consecutive Wins | 7 | 764 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.22 | - |
| Gain/Pain (1M) | -0.57 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.78 | - |
| Common Sense Ratio | 0.72 | - |
| CPC Index | - | - |
| Tail Ratio | 0.92 | 3.71 |
| Outlier Win Ratio | 1.92 | 20.51 |
| Outlier Loss Ratio | 1.18 | - |
| MTD | -1.77% | 1.12% |
| 3M | 1.69% | 4.27% |
| 6M | 9.56% | 8.21% |
| YTD | 1.12% | 4.72% |
| 1Y | 11.59% | 17.83% |
| 3Y (ann.) | -34.36% | 19.38% |
| 5Y (ann.) | -19.05% | 9.9% |
| 10Y (ann.) | -19.05% | 9.9% |
| All-time (ann.) | -19.05% | 9.9% |
| Best Day | 6.74% | 0.61% |
| Worst Day | -42.23% | 0.0% |
| Best Month | 10.68% | 1.83% |
| Worst Month | -63.37% | 0.41% |
| Best Year | 9.34% | 19.38% |
| Worst Year | -63.37% | 1.23% |
| Avg. Drawdown | -6.73% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.86 | - |
| Ulcer Index | 0.61 | 0.0 |
| Serenity Index | -0.02 | - |
| Avg. Up Month | 2.92% | 1.17% |
| Avg. Down Month | - | - |
| Win Days | 51.12% | 100.0% |
| Win Month | 52.63% | 100.0% |
| Win Quarter | 53.33% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -46.75 | - |
| Alpha | 6.8 | - |
| Correlation | -71.37% | - |
| Treynor Ratio | 1.37% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.77 | 7.45 | 1.98 | + |
| 2022 | 1.36 | -12.17 | -8.92 | - |
| 2023 | 1.23 | -63.37 | -51.54 | - |
| 2024 | 18.74 | -6.18 | -0.33 | - |
| 2025 | 19.38 | 9.34 | 0.48 | - |
| 2026 | 4.72 | 1.12 | 0.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2026-04-15 | -74.45 | 1618 |
| 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 |
| 2021-06-15 | 2021-06-30 | -1.20 | 15 |
| 2021-08-18 | 2021-08-30 | -1.18 | 12 |
| 2021-10-06 | 2021-10-07 | -0.82 | 1 |
| 2021-06-10 | 2021-06-14 | -0.44 | 4 |
| 2021-09-03 | 2021-09-06 | -0.28 | 3 |