| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -20.76% | 78.79% |
| CAGR﹪ | -5.24% | 14.39% |
| Sharpe | -0.09 | 17.31 |
| Prob. Sharpe Ratio | 42.45% | 99.41% |
| Smart Sharpe | -0.09 | 16.35 |
| Sortino | -0.12 | - |
| Smart Sortino | -0.12 | - |
| Sortino/√2 | -0.09 | - |
| Smart Sortino/√2 | -0.08 | - |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -53.65% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 25.02% | 0.79% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.1 | - |
| Skew | -0.7 | 25.46 |
| Kurtosis | 6.86 | 766.37 |
| Expected Daily | -0.02% | 0.05% |
| Expected Monthly | -0.44% | 1.1% |
| Expected Yearly | -3.8% | 10.17% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.6% | -0.03% |
| Expected Shortfall (cVaR) | -2.6% | -0.03% |
| Max Consecutive Wins | 8 | 1073 |
| Max Consecutive Losses | 14 | 0 |
| Gain/Pain Ratio | -0.02 | - |
| Gain/Pain (1M) | -0.06 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.98 | - |
| Common Sense Ratio | 0.91 | - |
| CPC Index | - | - |
| Tail Ratio | 0.92 | 3.18 |
| Outlier Win Ratio | 1.91 | 36.98 |
| Outlier Loss Ratio | 1.85 | - |
| MTD | -0.35% | 1.16% |
| 3M | 4.86% | 4.3% |
| 6M | -2.24% | 8.39% |
| YTD | 3.9% | 3.58% |
| 1Y | -12.57% | 18.47% |
| 3Y (ann.) | 7.42% | 16.98% |
| 5Y (ann.) | -5.24% | 14.39% |
| 10Y (ann.) | -5.24% | 14.39% |
| All-time (ann.) | -5.24% | 14.39% |
| 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 | -0.39 | - |
| Ulcer Index | 0.28 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 5.45% | 1.08% |
| Avg. Down Month | - | - |
| Win Days | 51.61% | 100.0% |
| Win Month | 52.83% | 100.0% |
| Win Quarter | 44.44% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -3.46 | - |
| Alpha | 0.45 | - |
| Correlation | -10.91% | - |
| Treynor Ratio | 5.99% | - |
| 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 | 3.58 | 3.90 | 1.09 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-19 | 2024-04-02 | -53.65 | 865 |
| 2024-05-20 | 2026-03-15 | -34.08 | 664 |
| 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 |