| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -22.94% | 41.64% |
| CAGR﹪ | -6.04% | 8.68% |
| Sharpe | -0.12 | 2.27 |
| Prob. Sharpe Ratio | 40.18% | 99.98% |
| Smart Sharpe | -0.12 | 2.14 |
| Sortino | -0.16 | 95.83 |
| Smart Sortino | -0.15 | 90.22 |
| Sortino/√2 | -0.12 | 67.76 |
| Smart Sortino/√2 | -0.11 | 63.8 |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -53.65% | -1.25% |
| Longest DD Days | 865 | 209 |
| Volatility (ann.) | 25.33% | 3.76% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.11 | 6.91 |
| Skew | -0.69 | 31.77 |
| Kurtosis | 6.72 | 1018.43 |
| Expected Daily | -0.03% | 0.03% |
| Expected Monthly | -0.51% | 0.68% |
| Expected Yearly | -4.25% | 5.97% |
| Kelly Criterion | -1.94% | 86.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.64% | -0.36% |
| Expected Shortfall (cVaR) | -2.64% | -0.36% |
| Max Consecutive Wins | 8 | 742 |
| Max Consecutive Losses | 14 | 65 |
| Gain/Pain Ratio | -0.02 | 21.1 |
| Gain/Pain (1M) | -0.08 | 21.1 |
| Payoff Ratio | 0.91 | 1.59 |
| Profit Factor | 0.98 | 22.1 |
| Common Sense Ratio | 0.9 | 76.77 |
| CPC Index | 0.46 | 32.28 |
| Tail Ratio | 0.92 | 3.47 |
| Outlier Win Ratio | 1.91 | 52.7 |
| Outlier Loss Ratio | 1.85 | 113.21 |
| MTD | 1.05% | 0.19% |
| 3M | 3.85% | 1.09% |
| 6M | -5.25% | 1.55% |
| YTD | 1.05% | 0.19% |
| 1Y | -11.79% | 4.96% |
| 3Y (ann.) | 9.6% | 7.34% |
| 5Y (ann.) | -6.04% | 8.68% |
| 10Y (ann.) | -6.04% | 8.68% |
| All-time (ann.) | -6.04% | 8.68% |
| Best Day | 9.26% | 7.61% |
| Worst Day | -12.25% | -0.02% |
| Best Month | 19.98% | 7.61% |
| Worst Month | -20.25% | -0.52% |
| Best Year | 51.32% | 11.92% |
| Worst Year | -39.14% | 0.19% |
| Avg. Drawdown | -11.41% | -0.83% |
| Avg. Drawdown Days | 188 | 136 |
| Recovery Factor | -0.43 | 33.18 |
| Ulcer Index | 0.28 | 0.0 |
| Serenity Index | -0.03 | 48.65 |
| Avg. Up Month | 5.66% | 0.6% |
| Avg. Down Month | -2.31% | -0.35% |
| Win Days | 51.42% | 91.7% |
| Win Month | 52.94% | 92.16% |
| Win Quarter | 44.44% | 94.44% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.79 | - |
| Alpha | 0.04 | - |
| Correlation | -11.73% | - |
| Treynor Ratio | 29.0% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.68 | -6.85 | -4.08 | - |
| 2022 | 11.92 | -39.14 | -3.28 | - |
| 2023 | 7.42 | 51.32 | 6.92 | + |
| 2024 | 9.51 | 0.51 | 0.05 | - |
| 2025 | 5.60 | -11.55 | -2.06 | - |
| 2026 | 0.19 | 1.05 | 5.54 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-19 | 2024-04-02 | -53.65 | 865 |
| 2024-05-20 | 2026-01-23 | -34.08 | 613 |
| 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 |