| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -67.94% | -67.9% |
| CAGR﹪ | -19.52% | -19.5% |
| Sharpe | -0.92 | -0.68 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -0.68 | -0.5 |
| Sortino | -0.97 | -0.7 |
| Smart Sortino | -0.72 | -0.52 |
| Sortino/√2 | -0.69 | -0.5 |
| Smart Sortino/√2 | -0.51 | -0.37 |
| Omega | 0.73 | 0.73 |
| Max Drawdown | -74.45% | -74.49% |
| Longest DD Days | 1774 | 1774 |
| Volatility (ann.) | 34.85% | 38.93% |
| R^2 | 0.47 | 0.47 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.26 | -0.26 |
| Skew | -13.74 | -22.83 |
| Kurtosis | 246.36 | 616.7 |
| Expected Daily | -0.13% | -0.13% |
| Expected Monthly | -2.61% | -2.61% |
| Expected Yearly | -17.27% | -17.25% |
| Kelly Criterion | -15.05% | -12.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.71% | -4.11% |
| Expected Shortfall (cVaR) | -3.71% | -4.11% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | -0.22 | -0.18 |
| Gain/Pain (1M) | -0.58 | -0.53 |
| Payoff Ratio | 0.74 | 0.76 |
| Profit Factor | 0.78 | 0.82 |
| Common Sense Ratio | 0.71 | 0.77 |
| CPC Index | 0.3 | 0.32 |
| Tail Ratio | 0.91 | 0.94 |
| Outlier Win Ratio | 3.81 | 3.78 |
| Outlier Loss Ratio | 2.6 | 3.0 |
| MTD | 3.37% | 3.51% |
| 3M | -5.56% | -5.49% |
| 6M | -13.54% | -13.48% |
| YTD | -9.66% | -9.56% |
| 1Y | -7.19% | -7.2% |
| 3Y (ann.) | -32.72% | -34.71% |
| 5Y (ann.) | -21.95% | -22.0% |
| 10Y (ann.) | -19.52% | -19.5% |
| All-time (ann.) | -19.52% | -19.5% |
| 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% | -7.82% |
| Avg. Drawdown Days | 145 | 170 |
| Recovery Factor | -0.91 | -0.91 |
| Ulcer Index | 0.63 | 0.63 |
| Serenity Index | -0.03 | -0.03 |
| Avg. Up Month | 2.95% | 2.86% |
| Avg. Down Month | -6.43% | -6.12% |
| Win Days | 50.93% | 51.51% |
| Win Month | 48.84% | 51.16% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.61 | - |
| Alpha | -0.13 | - |
| Correlation | 68.36% | - |
| Treynor Ratio | -122.45% | - |
| 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 | -9.56 | -9.66 | 1.01 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2026-09-18 | -74.45 | 1774 |
| 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 |