| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -66.15% | -66.1% |
| CAGR﹪ | -21.69% | -21.66% |
| Sharpe | -0.99 | -0.7 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -0.72 | -0.51 |
| Sortino | -1.03 | -0.73 |
| Smart Sortino | -0.75 | -0.53 |
| Sortino/√2 | -0.73 | -0.51 |
| Smart Sortino/√2 | -0.53 | -0.37 |
| Omega | 0.69 | 0.69 |
| Max Drawdown | -74.45% | -74.38% |
| Longest DD Days | 1479 | 1479 |
| Volatility (ann.) | 38.67% | 43.53% |
| R^2 | 0.45 | 0.45 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.29 | -0.29 |
| Skew | -13.1 | -21.31 |
| Kurtosis | 211.49 | 514.91 |
| Expected Daily | -0.16% | -0.16% |
| Expected Monthly | -3.23% | -3.22% |
| Expected Yearly | -19.48% | -19.45% |
| Kelly Criterion | -18.86% | -15.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.13% | -4.61% |
| Expected Shortfall (cVaR) | -4.13% | -4.61% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | -0.26 | -0.22 |
| Gain/Pain (1M) | -0.63 | -0.56 |
| Payoff Ratio | 0.69 | 0.71 |
| Profit Factor | 0.74 | 0.78 |
| Common Sense Ratio | 0.69 | 0.74 |
| CPC Index | 0.26 | 0.29 |
| Tail Ratio | 0.93 | 0.94 |
| Outlier Win Ratio | 3.75 | 3.76 |
| Outlier Loss Ratio | 2.17 | 2.51 |
| MTD | 3.34% | 3.23% |
| 3M | -2.71% | -2.75% |
| 6M | 7.41% | 7.48% |
| YTD | 4.29% | 4.21% |
| 1Y | 18.43% | 18.37% |
| 3Y (ann.) | -41.43% | -43.87% |
| 5Y (ann.) | -21.69% | -21.66% |
| 10Y (ann.) | -21.69% | -21.66% |
| All-time (ann.) | -21.69% | -21.66% |
| Best Day | 6.74% | 5.77% |
| Worst Day | -42.23% | -66.27% |
| Best Month | 10.68% | 10.02% |
| Worst Month | -63.37% | -66.29% |
| Best Year | 7.53% | 7.74% |
| Worst Year | -63.37% | -66.29% |
| Avg. Drawdown | -6.62% | -7.81% |
| Avg. Drawdown Days | 122 | 144 |
| Recovery Factor | -0.89 | -0.89 |
| Ulcer Index | 0.61 | 0.61 |
| Serenity Index | -0.03 | -0.03 |
| Avg. Up Month | 2.9% | 2.87% |
| Avg. Down Month | -7.84% | -7.49% |
| Win Days | 51.29% | 51.97% |
| Win Month | 51.52% | 54.55% |
| Win Quarter | 53.85% | 53.85% |
| Win Year | 40.0% | 40.0% |
| Beta | 0.6 | - |
| Alpha | -0.17 | - |
| Correlation | 67.05% | - |
| Treynor Ratio | -122.8% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.74 | 7.53 | 0.97 | - |
| 2022 | -4.75 | -12.17 | 2.56 | - |
| 2023 | -66.29 | -63.37 | 0.96 | + |
| 2024 | -5.93 | -6.18 | 1.04 | - |
| 2025 | 4.21 | 4.29 | 1.02 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2025-11-27 | -74.45 | 1479 |
| 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 |
| 2021-08-18 | 2021-08-30 | -1.18 | 12 |
| 2021-10-06 | 2021-10-07 | -0.82 | 1 |
| 2021-09-03 | 2021-09-06 | -0.28 | 3 |
| 2021-08-31 | 2021-09-01 | -0.27 | 1 |
| 2021-08-13 | 2021-08-17 | -0.17 | 4 |