| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -21.16% | 47.65% |
| CAGR﹪ | -5.36% | 9.46% |
| Sharpe | -0.1 | 2.5 |
| Prob. Sharpe Ratio | 42.06% | 99.96% |
| Smart Sharpe | -0.09 | 2.36 |
| Sortino | -0.13 | 105.53 |
| Smart Sortino | -0.12 | 99.66 |
| Sortino/√2 | -0.09 | 74.62 |
| Smart Sortino/√2 | -0.09 | 70.47 |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -53.65% | -1.25% |
| Longest DD Days | 865 | 209 |
| Volatility (ann.) | 25.07% | 3.7% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.1 | 7.54 |
| Skew | -0.69 | 32.1 |
| Kurtosis | 6.83 | 1043.55 |
| Expected Daily | -0.02% | 0.04% |
| Expected Monthly | -0.45% | 0.74% |
| Expected Yearly | -3.89% | 6.71% |
| Kelly Criterion | -2.25% | 87.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.61% | -0.35% |
| Expected Shortfall (cVaR) | -2.61% | -0.35% |
| Max Consecutive Wins | 8 | 742 |
| Max Consecutive Losses | 14 | 65 |
| Gain/Pain Ratio | -0.02 | 23.6 |
| Gain/Pain (1M) | -0.06 | 23.6 |
| Payoff Ratio | 0.9 | 1.77 |
| Profit Factor | 0.98 | 24.6 |
| Common Sense Ratio | 0.9 | 125.04 |
| CPC Index | 0.46 | 40.14 |
| Tail Ratio | 0.92 | 5.08 |
| Outlier Win Ratio | 1.92 | 48.32 |
| Outlier Loss Ratio | 1.86 | 112.82 |
| MTD | -0.85% | 0.85% |
| 3M | 4.97% | 4.66% |
| 6M | -5.64% | 5.97% |
| YTD | 3.38% | 4.44% |
| 1Y | -14.18% | 7.88% |
| 3Y (ann.) | 6.8% | 8.67% |
| 5Y (ann.) | -5.36% | 9.46% |
| 10Y (ann.) | -5.36% | 9.46% |
| All-time (ann.) | -5.36% | 9.46% |
| 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% | 1.68% |
| Avg. Drawdown | -11.41% | -0.83% |
| Avg. Drawdown Days | 193 | 136 |
| Recovery Factor | -0.39 | 37.98 |
| Ulcer Index | 0.28 | 0.0 |
| Serenity Index | -0.03 | 56.7 |
| Avg. Up Month | 5.56% | 0.71% |
| Avg. Down Month | -2.31% | -0.35% |
| Win Days | 51.61% | 91.96% |
| Win Month | 52.83% | 92.45% |
| Win Quarter | 44.44% | 94.44% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.78 | - |
| Alpha | 0.05 | - |
| Correlation | -11.58% | - |
| Treynor Ratio | 26.98% | - |
| 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 | 4.44 | 3.38 | 0.76 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-19 | 2024-04-02 | -53.65 | 865 |
| 2024-05-20 | 2026-03-11 | -34.08 | 660 |
| 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 |