| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | -65.13% | 68.58% |
| CAGR﹪ | -17.72% | 10.15% |
| Sharpe | -0.62 | 27.19 |
| Prob. Sharpe Ratio | 5.12% | 100.0% |
| Smart Sharpe | -0.46 | 20.19 |
| Sortino | -0.66 | - |
| Smart Sortino | -0.49 | - |
| Sortino/√2 | -0.47 | - |
| Smart Sortino/√2 | -0.35 | - |
| Omega | 0.81 | 0.81 |
| Max Drawdown | -74.45% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 33.38% | 0.51% |
| R^2 | 0.46 | 0.46 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.24 | - |
| Skew | -14.21 | 11.06 |
| Kurtosis | 266.4 | 191.21 |
| Expected Daily | -0.11% | 0.05% |
| Expected Monthly | -2.31% | 1.17% |
| Expected Yearly | -16.1% | 9.09% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.54% | -0.0% |
| Expected Shortfall (cVaR) | -3.54% | -0.0% |
| Max Consecutive Wins | 8 | 950 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.19 | - |
| Gain/Pain (1M) | -0.53 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.81 | - |
| Common Sense Ratio | 0.75 | - |
| CPC Index | - | - |
| Tail Ratio | 0.93 | 3.6 |
| Outlier Win Ratio | 1.93 | 22.49 |
| Outlier Loss Ratio | 1.38 | - |
| MTD | 0.29% | 0.04% |
| 3M | 10.38% | 3.32% |
| 6M | -1.13% | 6.68% |
| YTD | -1.68% | 11.68% |
| 1Y | 6.53% | 14.58% |
| 3Y (ann.) | -29.52% | 18.02% |
| 5Y (ann.) | -20.3% | 10.51% |
| 10Y (ann.) | -17.72% | 10.15% |
| All-time (ann.) | -17.72% | 10.15% |
| Best Day | 6.74% | 0.61% |
| Worst Day | -42.23% | 0.0% |
| Best Month | 10.68% | 1.83% |
| Worst Month | -63.37% | 0.04% |
| Best Year | 9.34% | 19.38% |
| Worst Year | -63.37% | 1.23% |
| Avg. Drawdown | -6.73% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.87 | - |
| Ulcer Index | 0.63 | 0.0 |
| Serenity Index | -0.02 | - |
| Avg. Up Month | 3.07% | 1.12% |
| Avg. Down Month | - | - |
| Win Days | 51.54% | 100.0% |
| Win Month | 51.11% | 100.0% |
| Win Quarter | 52.94% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | -44.59 | - |
| Alpha | 5.97 | - |
| Correlation | -68.01% | - |
| Treynor Ratio | 1.46% | - |
| 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 | 11.68 | -1.68 | -0.14 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2026-11-01 | -74.45 | 1818 |
| 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 |