| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | -69.7% | 62.16% |
| CAGR﹪ | -20.9% | 9.96% |
| Sharpe | -0.8 | 27.14 |
| Prob. Sharpe Ratio | 1.47% | 100.0% |
| Smart Sharpe | -0.59 | 20.07 |
| Sortino | -0.84 | - |
| Smart Sortino | -0.62 | - |
| Sortino/√2 | -0.59 | - |
| Smart Sortino/√2 | -0.44 | - |
| Omega | 0.75 | 0.75 |
| Max Drawdown | -74.45% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 34.71% | 0.53% |
| R^2 | 0.49 | 0.49 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | -0.28 | - |
| Skew | -14.16 | 10.86 |
| Kurtosis | 254.75 | 180.61 |
| Expected Daily | -0.14% | 0.06% |
| Expected Monthly | -2.87% | 1.19% |
| Expected Yearly | -18.05% | 8.39% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.71% | -0.0% |
| Expected Shortfall (cVaR) | -3.71% | -0.0% |
| Max Consecutive Wins | 7 | 847 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.25 | - |
| Gain/Pain (1M) | -0.61 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.75 | - |
| Common Sense Ratio | 0.69 | - |
| CPC Index | - | - |
| Tail Ratio | 0.91 | 3.69 |
| Outlier Win Ratio | 1.93 | 21.07 |
| Outlier Loss Ratio | 1.28 | - |
| MTD | -6.15% | 0.45% |
| 3M | -15.63% | 3.39% |
| 6M | -13.35% | 7.2% |
| YTD | -14.57% | 7.43% |
| 1Y | -5.28% | 15.51% |
| 3Y (ann.) | -36.07% | 18.58% |
| 5Y (ann.) | -22.17% | 10.09% |
| 10Y (ann.) | -20.9% | 9.96% |
| All-time (ann.) | -20.9% | 9.96% |
| 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 | -0.94 | - |
| Ulcer Index | 0.62 | 0.0 |
| Serenity Index | -0.02 | - |
| Avg. Up Month | 2.92% | 1.17% |
| Avg. Down Month | - | - |
| Win Days | 50.51% | 100.0% |
| Win Month | 48.78% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | -45.77 | - |
| Alpha | 6.3 | - |
| Correlation | -69.82% | - |
| Treynor Ratio | 1.52% | - |
| 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 | 7.43 | -14.57 | -1.96 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2026-07-12 | -74.45 | 1706 |
| 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 |