| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | -69.82% | 55.33% |
| CAGR﹪ | -22.26% | 9.7% |
| Sharpe | -0.6 | 26.98 |
| Prob. Sharpe Ratio | 7.11% | 100.0% |
| Smart Sharpe | -0.42 | 18.99 |
| 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.) | 43.76% | 0.56% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.28 | - |
| Skew | -16.11 | 10.56 |
| Kurtosis | 301.79 | 167.22 |
| Expected Daily | -0.16% | 0.06% |
| Expected Monthly | -3.19% | 1.2% |
| Expected Yearly | -18.1% | 7.62% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.64% | -0.0% |
| Expected Shortfall (cVaR) | -4.64% | -0.0% |
| Max Consecutive Wins | 8 | 739 |
| 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 | 2.04 | 20.09 |
| Outlier Loss Ratio | 1.07 | - |
| MTD | 1.5% | 0.49% |
| 3M | 4.83% | 3.74% |
| 6M | 6.67% | 7.8% |
| YTD | 3.05% | 2.9% |
| 1Y | 8.38% | 18.06% |
| 3Y (ann.) | -43.28% | 19.36% |
| 5Y (ann.) | -22.26% | 9.7% |
| 10Y (ann.) | -22.26% | 9.7% |
| All-time (ann.) | -22.26% | 9.7% |
| 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 | 2.64% | 1.15% |
| Avg. Down Month | - | - |
| Win Days | 52.51% | 100.0% |
| Win Month | 56.76% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -59.83 | - |
| Alpha | 8.71 | - |
| Correlation | -76.01% | - |
| Treynor Ratio | 1.17% | - |
| 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 | 2.90 | 3.05 | 1.05 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2026-03-11 | -79.84 | 1610 |
| 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 |