| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -26.21% | 79.72% |
| CAGR﹪ | -6.67% | 14.24% |
| Sharpe | -0.16 | 17.28 |
| Prob. Sharpe Ratio | 37.19% | 99.39% |
| Smart Sharpe | -0.15 | 16.31 |
| Sortino | -0.21 | - |
| Smart Sortino | -0.2 | - |
| Sortino/√2 | -0.15 | - |
| Smart Sortino/√2 | -0.14 | - |
| Omega | 0.97 | 0.97 |
| Max Drawdown | -53.65% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 24.78% | 0.78% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.12 | - |
| Skew | -0.69 | 25.97 |
| Kurtosis | 6.99 | 793.36 |
| Expected Daily | -0.03% | 0.05% |
| Expected Monthly | -0.56% | 1.09% |
| Expected Yearly | -4.94% | 10.26% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.58% | -0.03% |
| Expected Shortfall (cVaR) | -2.58% | -0.03% |
| Max Consecutive Wins | 8 | 1100 |
| Max Consecutive Losses | 14 | 0 |
| Gain/Pain Ratio | -0.03 | - |
| Gain/Pain (1M) | -0.1 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.97 | - |
| Common Sense Ratio | 0.89 | - |
| CPC Index | - | - |
| Tail Ratio | 0.92 | 3.18 |
| Outlier Win Ratio | 1.9 | 36.99 |
| Outlier Loss Ratio | 1.87 | - |
| MTD | -0.83% | 0.54% |
| 3M | -1.41% | 3.83% |
| 6M | 3.44% | 7.71% |
| YTD | -3.24% | 4.12% |
| 1Y | -7.11% | 17.25% |
| 3Y (ann.) | 4.88% | 16.95% |
| 5Y (ann.) | -6.67% | 14.24% |
| 10Y (ann.) | -6.67% | 14.24% |
| All-time (ann.) | -6.67% | 14.24% |
| Best Day | 9.26% | 1.55% |
| Worst Day | -12.25% | 0.0% |
| Best Month | 19.98% | 1.83% |
| Worst Month | -20.25% | 0.53% |
| Best Year | 51.32% | 19.38% |
| Worst Year | -39.14% | 1.18% |
| Avg. Drawdown | -11.41% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.49 | - |
| Ulcer Index | 0.28 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 5.45% | 1.08% |
| Avg. Down Month | - | - |
| Win Days | 51.11% | 100.0% |
| Win Month | 51.85% | 100.0% |
| Win Quarter | 36.84% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | -3.44 | - |
| Alpha | 0.42 | - |
| Correlation | -10.8% | - |
| Treynor Ratio | 7.61% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.18 | -6.85 | -5.81 | - |
| 2022 | 9.41 | -39.14 | -4.16 | - |
| 2023 | 10.00 | 51.32 | 5.13 | + |
| 2024 | 18.74 | 0.51 | 0.03 | - |
| 2025 | 19.38 | -11.55 | -0.60 | - |
| 2026 | 4.12 | -3.24 | -0.79 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-19 | 2024-04-02 | -53.65 | 865 |
| 2024-05-20 | 2026-04-13 | -34.08 | 693 |
| 2024-04-23 | 2024-04-29 | -1.77 | 6 |
| 2024-04-05 | 2024-04-10 | -1.03 | 5 |
| 2024-04-30 | 2024-05-07 | -0.37 | 7 |
| 2024-05-15 | 2024-05-16 | -0.27 | 1 |
| 2024-04-11 | 2024-04-12 | -0.06 | 1 |
| 2024-04-17 | 2024-04-19 | -0.06 | 2 |