| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 92.0% |
| Cumulative Return | 1.86% | 64.75% |
| CAGR﹪ | 0.37% | 10.49% |
| Sharpe | -15.43 | -18.21 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -10.87 | -12.83 |
| Sortino | -12.35 | -12.23 |
| Smart Sortino | -8.7 | -8.62 |
| Sortino/√2 | -8.73 | -8.65 |
| Smart Sortino/√2 | -6.15 | -6.09 |
| Omega | 0.04 | 0.04 |
| Max Drawdown | -27.13% | -20.43% |
| Longest DD Days | 1503 | 521 |
| Volatility (ann.) | 13.45% | 10.88% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.01 | 0.51 |
| Skew | 3.28 | -2.95 |
| Kurtosis | 220.49 | 52.15 |
| Expected Daily | 0.0% | 0.04% |
| Expected Monthly | 0.03% | 0.82% |
| Expected Yearly | 0.31% | 8.68% |
| Kelly Criterion | -0.91% | 6.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.39% | -1.08% |
| Expected Shortfall (cVaR) | -1.39% | -1.08% |
| Max Consecutive Wins | 9 | 11 |
| Max Consecutive Losses | 10 | 6 |
| Gain/Pain Ratio | 0.03 | 0.22 |
| Gain/Pain (1M) | 0.11 | 1.18 |
| Payoff Ratio | 1.01 | 0.88 |
| Profit Factor | 1.03 | 1.22 |
| Common Sense Ratio | 1.08 | 1.34 |
| CPC Index | 0.51 | 0.6 |
| Tail Ratio | 1.05 | 1.1 |
| Outlier Win Ratio | 4.57 | 4.03 |
| Outlier Loss Ratio | 4.47 | 3.13 |
| MTD | -1.64% | 0.23% |
| 3M | 10.59% | 7.1% |
| 6M | 8.45% | 13.16% |
| YTD | -1.64% | 0.23% |
| 1Y | -2.22% | 15.9% |
| 3Y (ann.) | 2.57% | 12.95% |
| 5Y (ann.) | 0.09% | 10.61% |
| 10Y (ann.) | 0.37% | 10.49% |
| All-time (ann.) | 0.37% | 10.49% |
| Best Day | 17.61% | 4.59% |
| Worst Day | -14.34% | -10.6% |
| Best Month | 12.23% | 9.22% |
| Worst Month | -5.81% | -9.74% |
| Best Year | 5.84% | 27.37% |
| Worst Year | -5.45% | -5.83% |
| Avg. Drawdown | -2.99% | -1.6% |
| Avg. Drawdown Days | 118 | 29 |
| Recovery Factor | 0.07 | 3.17 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | -8.7 | -6.7 |
| Avg. Up Month | 2.4% | 3.21% |
| Avg. Down Month | -2.69% | -2.75% |
| Win Days | 49.22% | 56.18% |
| Win Month | 40.98% | 68.33% |
| Win Quarter | 47.62% | 66.67% |
| Win Year | 50.0% | 83.33% |
| Beta | 0.68 | - |
| Alpha | -0.06 | - |
| Correlation | 54.58% | - |
| Treynor Ratio | -1033.83% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 14.21 | 5.84 | 0.41 | - |
| 2021 | 3.49 | -5.45 | -1.56 | - |
| 2022 | -5.83 | 3.31 | -0.57 | + |
| 2023 | 27.37 | -0.15 | -0.01 | - |
| 2024 | 15.95 | 0.32 | 0.02 | - |
| 2025 | 0.23 | -1.64 | -7.02 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-12-09 | 2025-01-20 | -27.13 | 1503 |
| 2020-02-25 | 2020-04-23 | -10.79 | 58 |
| 2020-06-22 | 2020-11-12 | -2.42 | 143 |
| 2020-05-27 | 2020-06-18 | -1.13 | 22 |
| 2020-11-24 | 2020-12-08 | -0.62 | 14 |
| 2020-05-14 | 2020-05-15 | -0.46 | 1 |
| 2020-11-17 | 2020-11-23 | -0.41 | 6 |
| 2020-01-21 | 2020-02-05 | -0.37 | 15 |
| 2020-05-19 | 2020-05-22 | -0.32 | 3 |
| 2020-04-29 | 2020-04-30 | -0.28 | 1 |