| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -67.81% | 40.59% |
| CAGR﹪ | -24.2% | 8.68% |
| Sharpe | -0.94 | 23.71 |
| Prob. Sharpe Ratio | 1.41% | 100.0% |
| Smart Sharpe | -0.68 | 17.13 |
| Sortino | -0.98 | - |
| Smart Sortino | -0.71 | - |
| Sortino/√2 | -0.69 | - |
| Smart Sortino/√2 | -0.5 | - |
| Omega | 0.69 | 0.69 |
| Max Drawdown | -74.45% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 41.04% | 0.63% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | -0.33 | - |
| Skew | -12.62 | 9.34 |
| Kurtosis | 191.74 | 129.78 |
| Expected Daily | -0.2% | 0.06% |
| Expected Monthly | -3.83% | 1.18% |
| Expected Yearly | -20.29% | 7.05% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.41% | -0.01% |
| Expected Shortfall (cVaR) | -4.41% | -0.01% |
| Max Consecutive Wins | 7 | 573 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.31 | - |
| Gain/Pain (1M) | -0.68 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.69 | - |
| Common Sense Ratio | 0.62 | - |
| CPC Index | - | - |
| Tail Ratio | 0.9 | 3.71 |
| Outlier Win Ratio | 2.01 | 21.43 |
| Outlier Loss Ratio | 1.13 | - |
| MTD | -3.14% | 0.68% |
| 3M | 1.41% | 4.96% |
| 6M | 0.62% | 10.7% |
| YTD | -0.77% | 11.19% |
| 1Y | 3.35% | 21.88% |
| 3Y (ann.) | -50.34% | 20.77% |
| 5Y (ann.) | -24.2% | 8.68% |
| 10Y (ann.) | -24.2% | 8.68% |
| All-time (ann.) | -24.2% | 8.68% |
| 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 | 7.45% | 18.74% |
| Worst Year | -63.37% | 1.23% |
| Avg. Drawdown | -6.73% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.91 | - |
| Ulcer Index | 0.58 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 2.92% | 1.13% |
| Avg. Down Month | - | - |
| Win Days | 50.93% | 100.0% |
| Win Month | 48.28% | 100.0% |
| Win Quarter | 41.67% | 100.0% |
| Win Year | 20.0% | 100.0% |
| Beta | -47.94 | - |
| Alpha | 6.79 | - |
| Correlation | -73.7% | - |
| Treynor Ratio | 1.41% | - |
| 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 | 11.19 | -0.77 | -0.07 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2025-07-11 | -74.45 | 1340 |
| 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 |