| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -70.13% | -70.14% |
| CAGR﹪ | -21.24% | -21.24% |
| Sharpe | -1.01 | -0.76 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -0.75 | -0.56 |
| Sortino | -1.06 | -0.78 |
| Smart Sortino | -0.79 | -0.58 |
| Sortino/√2 | -0.75 | -0.55 |
| Smart Sortino/√2 | -0.56 | -0.41 |
| Omega | 0.7 | 0.7 |
| Max Drawdown | -74.45% | -74.38% |
| Longest DD Days | 1709 | 1709 |
| Volatility (ann.) | 35.37% | 39.59% |
| R^2 | 0.46 | 0.46 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.29 | -0.29 |
| Skew | -13.88 | -22.94 |
| Kurtosis | 245.04 | 609.25 |
| Expected Daily | -0.15% | -0.15% |
| Expected Monthly | -2.9% | -2.9% |
| Expected Yearly | -18.24% | -18.24% |
| Kelly Criterion | -17.91% | -15.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.78% | -4.19% |
| Expected Shortfall (cVaR) | -3.78% | -4.19% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | -0.25 | -0.22 |
| Gain/Pain (1M) | -0.62 | -0.57 |
| Payoff Ratio | 0.72 | 0.74 |
| Profit Factor | 0.75 | 0.78 |
| Common Sense Ratio | 0.67 | 0.72 |
| CPC Index | 0.27 | 0.29 |
| Tail Ratio | 0.9 | 0.92 |
| Outlier Win Ratio | 3.66 | 3.67 |
| Outlier Loss Ratio | 2.45 | 2.86 |
| MTD | -7.54% | -7.45% |
| 3M | -16.76% | -16.97% |
| 6M | -15.35% | -15.43% |
| YTD | -15.83% | -15.85% |
| 1Y | -7.96% | -8.37% |
| 3Y (ann.) | -36.35% | -38.4% |
| 5Y (ann.) | -22.42% | -22.42% |
| 10Y (ann.) | -21.24% | -21.24% |
| All-time (ann.) | -21.24% | -21.24% |
| 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 | 9.34% | 9.08% |
| Worst Year | -63.37% | -66.29% |
| Avg. Drawdown | -6.62% | -7.81% |
| Avg. Drawdown Days | 140 | 165 |
| Recovery Factor | -0.94 | -0.94 |
| Ulcer Index | 0.62 | 0.62 |
| Serenity Index | -0.03 | -0.03 |
| Avg. Up Month | 2.93% | 2.83% |
| Avg. Down Month | -6.93% | -6.6% |
| Win Days | 50.46% | 51.04% |
| Win Month | 48.78% | 51.22% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.6 | - |
| Alpha | -0.15 | - |
| Correlation | 67.65% | - |
| Treynor Ratio | -127.59% | - |
| 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 | 9.08 | 9.34 | 1.03 | + |
| 2026 | -15.85 | -15.83 | 1.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2026-07-15 | -74.45 | 1709 |
| 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 |