| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | -70.21% | 58.81% |
| CAGR﹪ | -21.79% | 9.84% |
| Sharpe | -0.59 | 27.33 |
| Prob. Sharpe Ratio | 6.73% | 100.0% |
| Smart Sharpe | -0.42 | 19.24 |
| Sortino | -0.61 | - |
| Smart Sortino | -0.43 | - |
| Sortino/√2 | -0.43 | - |
| Smart Sortino/√2 | -0.31 | - |
| Omega | 0.76 | 0.76 |
| Max Drawdown | -79.84% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 42.43% | 0.54% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.27 | - |
| Skew | -16.58 | 10.83 |
| Kurtosis | 320.42 | 176.35 |
| Expected Daily | -0.15% | 0.06% |
| Expected Monthly | -3.06% | 1.19% |
| Expected Yearly | -18.28% | 8.01% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.5% | -0.0% |
| Expected Shortfall (cVaR) | -4.5% | -0.0% |
| Max Consecutive Wins | 8 | 788 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.24 | - |
| Gain/Pain (1M) | -0.58 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.76 | - |
| Common Sense Ratio | 0.76 | - |
| CPC Index | - | - |
| Tail Ratio | 1.0 | 3.71 |
| Outlier Win Ratio | 1.99 | 19.46 |
| Outlier Loss Ratio | 1.1 | - |
| MTD | 1.87% | 0.5% |
| 3M | 0.84% | 3.37% |
| 6M | 9.49% | 7.38% |
| YTD | 1.69% | 5.21% |
| 1Y | 12.15% | 16.77% |
| 3Y (ann.) | -41.22% | 18.94% |
| 5Y (ann.) | -21.82% | 9.85% |
| 10Y (ann.) | -21.79% | 9.84% |
| All-time (ann.) | -21.79% | 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 | -0.88 | - |
| Ulcer Index | 0.67 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 2.6% | 1.15% |
| Avg. Down Month | - | - |
| Win Days | 52.22% | 100.0% |
| Win Month | 56.41% | 100.0% |
| Win Quarter | 46.67% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -59.37 | - |
| Alpha | 8.52 | - |
| Correlation | -75.68% | - |
| 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 | 5.21 | 1.69 | 0.33 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2026-05-13 | -79.84 | 1673 |
| 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 |