| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | -73.79% | -73.66% |
| CAGR﹪ | -23.16% | -23.09% |
| Sharpe | -0.83 | -0.59 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -0.58 | -0.42 |
| Sortino | -0.86 | -0.61 |
| Smart Sortino | -0.61 | -0.43 |
| Sortino/√2 | -0.61 | -0.43 |
| Smart Sortino/√2 | -0.43 | -0.3 |
| Omega | 0.7 | 0.7 |
| Max Drawdown | -79.84% | -80.24% |
| Longest DD Days | 1745 | 1610 |
| Volatility (ann.) | 41.86% | 44.25% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.29 | -0.29 |
| Skew | -16.54 | -24.55 |
| Kurtosis | 323.78 | 669.24 |
| Expected Daily | -0.16% | -0.16% |
| Expected Monthly | -3.21% | -3.2% |
| Expected Yearly | -20.0% | -19.94% |
| Kelly Criterion | -19.74% | -15.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.45% | -4.66% |
| Expected Shortfall (cVaR) | -4.45% | -4.66% |
| Max Consecutive Wins | 8 | 9 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | -0.25 | -0.2 |
| Gain/Pain (1M) | -0.62 | -0.52 |
| Payoff Ratio | 0.68 | 0.72 |
| Profit Factor | 0.75 | 0.8 |
| Common Sense Ratio | 0.72 | 0.75 |
| CPC Index | 0.26 | 0.3 |
| Tail Ratio | 0.96 | 0.94 |
| Outlier Win Ratio | 3.99 | 3.98 |
| Outlier Loss Ratio | 2.53 | 3.12 |
| MTD | -3.83% | -3.27% |
| 3M | -12.89% | -12.82% |
| 6M | -11.43% | -10.86% |
| YTD | -10.68% | -10.08% |
| 1Y | -4.7% | -4.11% |
| 3Y (ann.) | -41.79% | -42.88% |
| 5Y (ann.) | -24.45% | -24.4% |
| 10Y (ann.) | -23.16% | -23.09% |
| All-time (ann.) | -23.16% | -23.09% |
| Best Day | 9.28% | 6.02% |
| Worst Day | -55.92% | -75.93% |
| Best Month | 10.02% | 10.32% |
| Worst Month | -74.58% | -75.97% |
| Best Year | 14.34% | 13.57% |
| Worst Year | -74.58% | -75.97% |
| Avg. Drawdown | -7.52% | -8.99% |
| Avg. Drawdown Days | 152 | 166 |
| Recovery Factor | -0.92 | -0.92 |
| Ulcer Index | 0.68 | 0.68 |
| Serenity Index | -0.03 | -0.03 |
| Avg. Up Month | 2.63% | 2.6% |
| Avg. Down Month | -7.26% | -7.27% |
| Win Days | 51.59% | 51.64% |
| Win Month | 53.66% | 56.1% |
| Win Quarter | 50.0% | 62.5% |
| Win Year | 33.33% | 50.0% |
| Beta | 0.58 | - |
| Alpha | -0.17 | - |
| Correlation | 61.07% | - |
| Treynor Ratio | -139.81% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 6.46 | 6.10 | 0.94 | - |
| 2022 | 4.49 | -0.62 | -0.14 | - |
| 2023 | -75.97 | -74.58 | 0.98 | + |
| 2024 | -3.52 | -4.27 | 1.21 | - |
| 2025 | 13.57 | 14.34 | 1.06 | + |
| 2026 | -10.08 | -10.68 | 1.06 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2026-07-24 | -79.84 | 1745 |
| 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 |
| 2021-09-08 | 2021-09-14 | -0.41 | 6 |
| 2021-06-29 | 2021-07-01 | -0.40 | 2 |
| 2021-09-03 | 2021-09-06 | -0.38 | 3 |
| 2021-08-12 | 2021-08-16 | -0.31 | 4 |