| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -73.29% | 41.72% |
| CAGR﹪ | -27.52% | 8.87% |
| Sharpe | -0.8 | 23.47 |
| Prob. Sharpe Ratio | 3.16% | 100.0% |
| Smart Sharpe | -0.56 | 16.44 |
| Sortino | -0.82 | - |
| Smart Sortino | -0.58 | - |
| Sortino/√2 | -0.58 | - |
| Smart Sortino/√2 | -0.41 | - |
| Omega | 0.69 | 0.69 |
| Max Drawdown | -79.84% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 49.29% | 0.65% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.34 | - |
| Skew | -14.46 | 8.54 |
| Kurtosis | 240.02 | 113.57 |
| Expected Daily | -0.23% | 0.06% |
| Expected Monthly | -4.45% | 1.21% |
| Expected Yearly | -23.21% | 7.22% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.26% | -0.01% |
| Expected Shortfall (cVaR) | -5.26% | -0.01% |
| Max Consecutive Wins | 8 | 575 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.31 | - |
| Gain/Pain (1M) | -0.69 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.69 | - |
| Common Sense Ratio | 0.62 | - |
| CPC Index | - | - |
| Tail Ratio | 0.9 | 3.8 |
| Outlier Win Ratio | 2.06 | 21.38 |
| Outlier Loss Ratio | 1.04 | - |
| MTD | 0.0% | 1.49% |
| 3M | 3.26% | 5.65% |
| 6M | 4.06% | 11.39% |
| YTD | 4.26% | 12.09% |
| 1Y | 6.96% | 22.71% |
| 3Y (ann.) | -58.77% | 21.24% |
| 5Y (ann.) | -27.52% | 8.87% |
| 10Y (ann.) | -27.52% | 8.87% |
| All-time (ann.) | -27.52% | 8.87% |
| 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 | 5.9% | 18.74% |
| Worst Year | -74.58% | 1.23% |
| Avg. Drawdown | -6.97% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.92 | - |
| Ulcer Index | 0.64 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 2.63% | 1.17% |
| Avg. Down Month | - | - |
| Win Days | 51.68% | 100.0% |
| Win Month | 51.72% | 100.0% |
| Win Quarter | 41.67% | 100.0% |
| Win Year | 40.0% | 100.0% |
| Beta | -56.17 | - |
| Alpha | 8.18 | - |
| Correlation | -74.1% | - |
| Treynor Ratio | 1.3% | - |
| 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 | 12.09 | 4.26 | 0.35 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2025-07-15 | -79.84 | 1371 |
| 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 |