| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -17.59% | 64.11% |
| CAGR﹪ | -4.98% | 13.97% |
| Sharpe | -0.07 | 15.87 |
| Prob. Sharpe Ratio | 44.36% | 99.41% |
| Smart Sharpe | -0.07 | 14.79 |
| Sortino | -0.1 | - |
| Smart Sortino | -0.09 | - |
| Sortino/√2 | -0.07 | - |
| Smart Sortino/√2 | -0.06 | - |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -53.65% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 25.63% | 0.84% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.09 | - |
| Skew | -0.77 | 24.2 |
| Kurtosis | 6.92 | 684.5 |
| Expected Daily | -0.02% | 0.05% |
| Expected Monthly | -0.41% | 1.06% |
| Expected Yearly | -3.8% | 10.42% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.66% | -0.03% |
| Expected Shortfall (cVaR) | -2.66% | -0.03% |
| Max Consecutive Wins | 8 | 937 |
| Max Consecutive Losses | 14 | 0 |
| Gain/Pain Ratio | -0.01 | - |
| Gain/Pain (1M) | -0.05 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.99 | - |
| Common Sense Ratio | 0.92 | - |
| CPC Index | - | - |
| Tail Ratio | 0.93 | 3.18 |
| Outlier Win Ratio | 1.92 | 38.67 |
| Outlier Loss Ratio | 1.82 | - |
| MTD | -0.15% | 0.06% |
| 3M | 6.77% | 4.35% |
| 6M | -10.53% | 9.61% |
| YTD | -4.42% | 13.51% |
| 1Y | 7.33% | 21.51% |
| 3Y (ann.) | 21.04% | 15.19% |
| 5Y (ann.) | -4.98% | 13.97% |
| 10Y (ann.) | -4.98% | 13.97% |
| All-time (ann.) | -4.98% | 13.97% |
| Best Day | 9.26% | 1.55% |
| Worst Day | -12.25% | 0.0% |
| Best Month | 19.98% | 1.83% |
| Worst Month | -20.25% | 0.06% |
| Best Year | 51.32% | 18.74% |
| Worst Year | -39.14% | 1.18% |
| Avg. Drawdown | -11.21% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.33 | - |
| Ulcer Index | 0.28 | 0.0 |
| Serenity Index | -0.02 | - |
| Avg. Up Month | 5.83% | 1.05% |
| Avg. Down Month | - | - |
| Win Days | 52.05% | 100.0% |
| Win Month | 51.06% | 100.0% |
| Win Quarter | 43.75% | 100.0% |
| Win Year | 40.0% | 100.0% |
| Beta | -3.52 | - |
| Alpha | 0.45 | - |
| Correlation | -11.54% | - |
| Treynor Ratio | 4.99% | - |
| 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 | 13.51 | -4.42 | -0.33 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-19 | 2024-04-02 | -53.65 | 865 |
| 2024-05-20 | 2025-09-01 | -32.47 | 469 |
| 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 |