| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | -68.11% | 66.69% |
| CAGR﹪ | -19.46% | 10.16% |
| Sharpe | -0.71 | 27.4 |
| Prob. Sharpe Ratio | 2.74% | 100.0% |
| Smart Sharpe | -0.53 | 20.23 |
| Sortino | -0.75 | - |
| Smart Sortino | -0.56 | - |
| Sortino/√2 | -0.53 | - |
| Smart Sortino/√2 | -0.39 | - |
| Omega | 0.78 | 0.78 |
| Max Drawdown | -74.45% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 33.95% | 0.52% |
| R^2 | 0.47 | 0.47 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.26 | - |
| Skew | -14.11 | 10.96 |
| Kurtosis | 259.8 | 186.76 |
| Expected Daily | -0.13% | 0.06% |
| Expected Monthly | -2.62% | 1.2% |
| Expected Yearly | -17.34% | 8.89% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.61% | -0.0% |
| Expected Shortfall (cVaR) | -3.61% | -0.0% |
| Max Consecutive Wins | 8 | 909 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.22 | - |
| Gain/Pain (1M) | -0.59 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.78 | - |
| Common Sense Ratio | 0.7 | - |
| CPC Index | - | - |
| Tail Ratio | 0.9 | 3.69 |
| Outlier Win Ratio | 1.91 | 21.79 |
| Outlier Loss Ratio | 1.41 | - |
| MTD | 2.88% | 1.08% |
| 3M | -4.61% | 3.65% |
| 6M | -14.29% | 7.13% |
| YTD | -10.08% | 10.43% |
| 1Y | -6.82% | 15.28% |
| 3Y (ann.) | -32.81% | 18.38% |
| 5Y (ann.) | -22.11% | 10.44% |
| 10Y (ann.) | -19.46% | 10.16% |
| All-time (ann.) | -19.46% | 10.16% |
| 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 | -0.91 | - |
| Ulcer Index | 0.63 | 0.0 |
| Serenity Index | -0.02 | - |
| Avg. Up Month | 2.92% | 1.17% |
| Avg. Down Month | - | - |
| Win Days | 50.95% | 100.0% |
| Win Month | 48.84% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | -44.89 | - |
| Alpha | 6.11 | - |
| Correlation | -68.32% | - |
| 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 | 10.43 | -10.08 | -0.97 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2026-09-19 | -74.45 | 1775 |
| 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 |