| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | -70.11% | -70.11% |
| CAGR﹪ | -22.11% | -22.11% |
| Sharpe | -0.76 | -0.52 |
| Prob. Sharpe Ratio | 0.0% | 0.02% |
| Smart Sharpe | -0.53 | -0.37 |
| Sortino | -0.78 | -0.54 |
| Smart Sortino | -0.55 | -0.38 |
| Sortino/√2 | -0.55 | -0.38 |
| Smart Sortino/√2 | -0.39 | -0.27 |
| Omega | 0.71 | 0.71 |
| Max Drawdown | -79.84% | -80.24% |
| Longest DD Days | 1654 | 1519 |
| Volatility (ann.) | 43.2% | 45.7% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.28 | -0.28 |
| Skew | -16.31 | -24.15 |
| Kurtosis | 309.55 | 637.62 |
| Expected Daily | -0.16% | -0.16% |
| Expected Monthly | -3.13% | -3.13% |
| Expected Yearly | -18.23% | -18.23% |
| Kelly Criterion | -19.15% | -14.79% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.58% | -4.8% |
| Expected Shortfall (cVaR) | -4.58% | -4.8% |
| Max Consecutive Wins | 8 | 9 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | -0.24 | -0.18 |
| Gain/Pain (1M) | -0.58 | -0.46 |
| Payoff Ratio | 0.66 | 0.71 |
| Profit Factor | 0.76 | 0.82 |
| Common Sense Ratio | 0.75 | 0.81 |
| CPC Index | 0.26 | 0.3 |
| Tail Ratio | 0.99 | 1.0 |
| Outlier Win Ratio | 3.86 | 3.87 |
| Outlier Loss Ratio | 2.18 | 2.75 |
| MTD | -0.99% | -1.0% |
| 3M | 1.01% | 1.16% |
| 6M | 9.27% | 9.52% |
| YTD | 1.86% | 2.04% |
| 1Y | 13.18% | 13.01% |
| 3Y (ann.) | -41.88% | -43.2% |
| 5Y (ann.) | -22.11% | -22.11% |
| 10Y (ann.) | -22.11% | -22.11% |
| All-time (ann.) | -22.11% | -22.11% |
| 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 | 144 | 157 |
| Recovery Factor | -0.88 | -0.87 |
| Ulcer Index | 0.67 | 0.67 |
| Serenity Index | -0.03 | -0.03 |
| Avg. Up Month | 2.63% | 2.6% |
| Avg. Down Month | -7.9% | -7.95% |
| Win Days | 52.51% | 52.37% |
| Win Month | 57.89% | 60.53% |
| Win Quarter | 53.33% | 66.67% |
| Win Year | 50.0% | 66.67% |
| Beta | 0.57 | - |
| Alpha | -0.16 | - |
| Correlation | 60.47% | - |
| Treynor Ratio | -134.89% | - |
| 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 | 2.04 | 1.86 | 0.91 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2026-04-24 | -79.84 | 1654 |
| 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 |