| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -66.87% | 22.27% |
| CAGR﹪ | -24.53% | 5.25% |
| Sharpe | -0.95 | 23.26 |
| Prob. Sharpe Ratio | 1.72% | 100.0% |
| Smart Sharpe | -0.69 | 16.78 |
| Sortino | -0.99 | - |
| Smart Sortino | -0.71 | - |
| Sortino/√2 | -0.7 | - |
| Smart Sortino/√2 | -0.5 | - |
| Omega | 0.69 | 0.69 |
| Max Drawdown | -74.45% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 42.54% | 0.41% |
| R^2 | 0.49 | 0.49 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.33 | - |
| Skew | -12.25 | 7.6 |
| Kurtosis | 179.51 | 94.48 |
| Expected Daily | -0.21% | 0.04% |
| Expected Monthly | -4.01% | 0.75% |
| Expected Yearly | -19.82% | 4.1% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.57% | -0.0% |
| Expected Shortfall (cVaR) | -4.57% | -0.0% |
| Max Consecutive Wins | 7 | 530 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.31 | - |
| Gain/Pain (1M) | -0.69 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.69 | - |
| Common Sense Ratio | 0.62 | - |
| CPC Index | - | - |
| Tail Ratio | 0.9 | 7.12 |
| Outlier Win Ratio | 2.02 | 34.43 |
| Outlier Loss Ratio | 1.19 | - |
| MTD | 0.15% | 0.19% |
| 3M | -0.74% | 2.06% |
| 6M | 7.75% | 5.97% |
| YTD | 2.14% | 3.6% |
| 1Y | -4.3% | 10.51% |
| 3Y (ann.) | -53.36% | 10.22% |
| 5Y (ann.) | -24.53% | 5.25% |
| 10Y (ann.) | -24.53% | 5.25% |
| All-time (ann.) | -24.53% | 5.25% |
| Best Day | 6.74% | 0.36% |
| Worst Day | -42.23% | 0.0% |
| Best Month | 10.68% | 1.43% |
| Worst Month | -63.37% | 0.17% |
| Best Year | 7.45% | 9.51% |
| Worst Year | -63.37% | 0.73% |
| Avg. Drawdown | -6.73% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.9 | - |
| Ulcer Index | 0.57 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 2.71% | 0.71% |
| Avg. Down Month | - | - |
| Win Days | 51.01% | 100.0% |
| Win Month | 51.85% | 100.0% |
| Win Quarter | 45.45% | 100.0% |
| Win Year | 40.0% | 100.0% |
| Beta | -72.48 | - |
| Alpha | 6.51 | - |
| Correlation | -69.92% | - |
| Treynor Ratio | 0.92% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.71 | 7.45 | 1.58 | + |
| 2022 | 2.17 | -12.17 | -5.60 | - |
| 2023 | 0.73 | -63.37 | -86.81 | - |
| 2024 | 9.51 | -6.18 | -0.65 | - |
| 2025 | 3.60 | 2.14 | 0.59 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2025-05-12 | -74.45 | 1280 |
| 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 |