| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | -69.72% | 56.35% |
| CAGR﹪ | -22.19% | 9.84% |
| Sharpe | -0.6 | 26.91 |
| Prob. Sharpe Ratio | 7.23% | 100.0% |
| Smart Sharpe | -0.42 | 18.93 |
| Sortino | -0.62 | - |
| Smart Sortino | -0.44 | - |
| Sortino/√2 | -0.44 | - |
| Smart Sortino/√2 | -0.31 | - |
| Omega | 0.76 | 0.76 |
| Max Drawdown | -79.84% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 43.7% | 0.56% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.28 | - |
| Skew | -16.13 | 10.06 |
| Kurtosis | 302.58 | 156.07 |
| Expected Daily | -0.16% | 0.06% |
| Expected Monthly | -3.18% | 1.22% |
| Expected Yearly | -18.05% | 7.73% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.63% | -0.0% |
| Expected Shortfall (cVaR) | -4.63% | -0.0% |
| Max Consecutive Wins | 8 | 741 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.24 | - |
| Gain/Pain (1M) | -0.58 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.76 | - |
| Common Sense Ratio | 0.75 | - |
| CPC Index | - | - |
| Tail Ratio | 0.99 | 3.71 |
| Outlier Win Ratio | 2.06 | 20.03 |
| Outlier Loss Ratio | 1.07 | - |
| MTD | 1.84% | 1.16% |
| 3M | 4.63% | 4.3% |
| 6M | 8.16% | 8.39% |
| YTD | 3.39% | 3.58% |
| 1Y | 9.52% | 18.65% |
| 3Y (ann.) | -43.11% | 19.66% |
| 5Y (ann.) | -22.19% | 9.84% |
| 10Y (ann.) | -22.19% | 9.84% |
| All-time (ann.) | -22.19% | 9.84% |
| Best Day | 9.28% | 0.61% |
| Worst Day | -55.92% | 0.0% |
| Best Month | 10.02% | 1.83% |
| Worst Month | -74.58% | 0.41% |
| Best Year | 14.34% | 19.38% |
| Worst Year | -74.58% | 1.23% |
| Avg. Drawdown | -6.97% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.87 | - |
| Ulcer Index | 0.66 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 2.66% | 1.18% |
| Avg. Down Month | - | - |
| Win Days | 52.57% | 100.0% |
| Win Month | 56.76% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -57.73 | - |
| Alpha | 8.5 | - |
| Correlation | -74.55% | - |
| Treynor Ratio | 1.21% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.77 | 5.90 | 1.56 | + |
| 2022 | 1.36 | -0.62 | -0.45 | - |
| 2023 | 1.23 | -74.58 | -60.66 | - |
| 2024 | 18.74 | -4.27 | -0.23 | - |
| 2025 | 19.38 | 14.34 | 0.74 | - |
| 2026 | 3.58 | 3.39 | 0.95 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2026-03-13 | -79.84 | 1612 |
| 2021-07-13 | 2021-08-10 | -3.12 | 28 |
| 2021-09-16 | 2021-09-27 | -2.14 | 11 |
| 2021-08-19 | 2021-08-30 | -1.55 | 11 |
| 2021-10-06 | 2021-10-07 | -0.86 | 1 |
| 2021-09-28 | 2021-10-05 | -0.72 | 7 |
| 2021-06-15 | 2021-07-01 | -0.61 | 16 |
| 2021-09-08 | 2021-09-14 | -0.41 | 6 |
| 2021-09-03 | 2021-09-06 | -0.38 | 3 |
| 2021-08-12 | 2021-08-16 | -0.31 | 4 |