| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | -70.66% | 53.54% |
| CAGR﹪ | -23.06% | 9.6% |
| Sharpe | -0.63 | 26.62 |
| Prob. Sharpe Ratio | 6.12% | 100.0% |
| Smart Sharpe | -0.45 | 18.73 |
| Sortino | -0.66 | - |
| Smart Sortino | -0.46 | - |
| Sortino/√2 | -0.46 | - |
| Smart Sortino/√2 | -0.33 | - |
| Omega | 0.75 | 0.75 |
| Max Drawdown | -79.84% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 44.35% | 0.56% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.29 | - |
| Skew | -15.9 | 10.4 |
| Kurtosis | 293.85 | 162.3 |
| Expected Daily | -0.17% | 0.06% |
| Expected Monthly | -3.35% | 1.2% |
| Expected Yearly | -18.48% | 7.41% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.71% | -0.0% |
| Expected Shortfall (cVaR) | -4.71% | -0.0% |
| Max Consecutive Wins | 8 | 719 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.25 | - |
| Gain/Pain (1M) | -0.6 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.75 | - |
| Common Sense Ratio | 0.74 | - |
| CPC Index | - | - |
| Tail Ratio | 0.99 | 3.71 |
| Outlier Win Ratio | 2.03 | 20.46 |
| Outlier Loss Ratio | 1.06 | - |
| MTD | -1.17% | 0.5% |
| 3M | 7.07% | 4.02% |
| 6M | 5.16% | 8.06% |
| YTD | 0.17% | 1.72% |
| 1Y | 11.93% | 18.79% |
| 3Y (ann.) | -45.21% | 19.5% |
| 5Y (ann.) | -23.06% | 9.6% |
| 10Y (ann.) | -23.06% | 9.6% |
| All-time (ann.) | -23.06% | 9.6% |
| 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 | -0.89 | - |
| Ulcer Index | 0.66 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 2.83% | 1.19% |
| Avg. Down Month | - | - |
| Win Days | 52.04% | 100.0% |
| Win Month | 52.78% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -59.79 | - |
| Alpha | 8.69 | - |
| Correlation | -76.02% | - |
| Treynor Ratio | 1.18% | - |
| 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 | 1.72 | 0.17 | 0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2026-02-10 | -79.84 | 1581 |
| 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 |