| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | -64.14% | 29.63% |
| CAGR﹪ | -18.78% | 5.41% |
| Sharpe | -0.68 | 20.11 |
| Prob. Sharpe Ratio | 4.54% | 100.0% |
| Smart Sharpe | -0.5 | 14.77 |
| Sortino | -0.72 | 167.53 |
| Smart Sortino | -0.53 | 123.04 |
| Sortino/√2 | -0.51 | 118.46 |
| Smart Sortino/√2 | -0.37 | 87.0 |
| Omega | 0.78 | 0.78 |
| Max Drawdown | -74.45% | -0.4% |
| Longest DD Days | 1646 | 63 |
| Volatility (ann.) | 35.68% | 0.41% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.25 | 13.52 |
| Skew | -13.99 | 5.48 |
| Kurtosis | 245.08 | 66.83 |
| Expected Daily | -0.13% | 0.03% |
| Expected Monthly | -2.6% | 0.67% |
| Expected Yearly | -15.71% | 4.42% |
| Kelly Criterion | -7.23% | 95.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.79% | -0.01% |
| Expected Shortfall (cVaR) | -3.79% | -0.01% |
| Max Consecutive Wins | 7 | 587 |
| Max Consecutive Losses | 8 | 21 |
| Gain/Pain Ratio | -0.22 | 64.77 |
| Gain/Pain (1M) | -0.56 | 64.77 |
| Payoff Ratio | 0.83 | 1.76 |
| Profit Factor | 0.78 | 65.77 |
| Common Sense Ratio | 0.72 | 563.39 |
| CPC Index | 0.33 | 112.63 |
| Tail Ratio | 0.92 | 8.57 |
| Outlier Win Ratio | 1.94 | 35.74 |
| Outlier Loss Ratio | 1.21 | 61.72 |
| MTD | 1.69% | 0.3% |
| 3M | 0.56% | 2.01% |
| 6M | 8.57% | 4.61% |
| YTD | 1.12% | 4.02% |
| 1Y | 8.25% | 6.38% |
| 3Y (ann.) | -33.46% | 8.42% |
| 5Y (ann.) | -18.81% | 5.4% |
| 10Y (ann.) | -18.78% | 5.41% |
| All-time (ann.) | -18.78% | 5.41% |
| Best Day | 6.74% | 0.36% |
| Worst Day | -42.23% | -0.02% |
| Best Month | 10.68% | 1.62% |
| Worst Month | -63.37% | -0.4% |
| Best Year | 9.34% | 9.51% |
| Worst Year | -63.37% | 0.73% |
| Avg. Drawdown | -6.73% | -0.4% |
| Avg. Drawdown Days | 136 | 63 |
| Recovery Factor | -0.86 | 74.07 |
| Ulcer Index | 0.61 | 0.0 |
| Serenity Index | -0.02 | 132.93 |
| Avg. Up Month | 2.76% | 0.69% |
| Avg. Down Month | - | - |
| Win Days | 51.29% | 97.34% |
| Win Month | 53.85% | 97.44% |
| Win Quarter | 53.33% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -49.52 | - |
| Alpha | 3.85 | - |
| Correlation | -57.08% | - |
| Treynor Ratio | 1.3% | - |
| 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 | 5.60 | 9.34 | 1.67 | + |
| 2026 | 4.02 | 1.12 | 0.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2026-05-13 | -74.45 | 1646 |
| 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 |