| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -72.84% | -72.84% |
| CAGR﹪ | -25.86% | -25.86% |
| Sharpe | -0.88 | -0.62 |
| Prob. Sharpe Ratio | 0.0% | 0.01% |
| Smart Sharpe | -0.62 | -0.44 |
| Sortino | -0.91 | -0.64 |
| Smart Sortino | -0.64 | -0.45 |
| Sortino/√2 | -0.64 | -0.45 |
| Smart Sortino/√2 | -0.45 | -0.32 |
| Omega | 0.67 | 0.67 |
| Max Drawdown | -79.84% | -80.24% |
| Longest DD Days | 1480 | 1345 |
| Volatility (ann.) | 46.8% | 49.53% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.32 | -0.32 |
| Skew | -15.14 | -22.4 |
| Kurtosis | 264.93 | 545.66 |
| Expected Daily | -0.2% | -0.2% |
| Expected Monthly | -3.87% | -3.87% |
| Expected Yearly | -22.95% | -22.95% |
| Kelly Criterion | -23.87% | -17.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.99% | -5.23% |
| Expected Shortfall (cVaR) | -4.99% | -5.23% |
| Max Consecutive Wins | 8 | 9 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | -0.29 | -0.23 |
| Gain/Pain (1M) | -0.66 | -0.56 |
| Payoff Ratio | 0.63 | 0.68 |
| Profit Factor | 0.71 | 0.77 |
| Common Sense Ratio | 0.66 | 0.72 |
| CPC Index | 0.23 | 0.27 |
| Tail Ratio | 0.93 | 0.93 |
| Outlier Win Ratio | 3.8 | 3.88 |
| Outlier Loss Ratio | 2.06 | 2.56 |
| MTD | 0.37% | 0.21% |
| 3M | -0.18% | -0.08% |
| 6M | 3.21% | 2.87% |
| YTD | 5.81% | 5.31% |
| 1Y | 18.18% | 18.07% |
| 3Y (ann.) | -52.03% | -53.4% |
| 5Y (ann.) | -25.86% | -25.86% |
| 10Y (ann.) | -25.86% | -25.86% |
| All-time (ann.) | -25.86% | -25.86% |
| 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 | 6.1% | 6.46% |
| Worst Year | -74.58% | -75.97% |
| Avg. Drawdown | -7.52% | -8.99% |
| Avg. Drawdown Days | 130 | 142 |
| Recovery Factor | -0.91 | -0.91 |
| Ulcer Index | 0.66 | 0.66 |
| Serenity Index | -0.03 | -0.03 |
| Avg. Up Month | 2.62% | 2.57% |
| Avg. Down Month | -8.43% | -8.48% |
| Win Days | 52.01% | 52.26% |
| Win Month | 54.55% | 57.58% |
| Win Quarter | 46.15% | 61.54% |
| Win Year | 40.0% | 60.0% |
| Beta | 0.57 | - |
| Alpha | -0.21 | - |
| Correlation | 60.31% | - |
| Treynor Ratio | -140.13% | - |
| 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 | 5.31 | 5.81 | 1.10 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2025-11-01 | -79.84 | 1480 |
| 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 |