| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | -70.26% | 28.94% |
| CAGR﹪ | -22.65% | 5.53% |
| Sharpe | -0.62 | 19.28 |
| Prob. Sharpe Ratio | 6.58% | 100.0% |
| Smart Sharpe | -0.44 | 13.57 |
| Sortino | -0.64 | 170.56 |
| Smart Sortino | -0.45 | 120.02 |
| Sortino/√2 | -0.45 | 120.6 |
| Smart Sortino/√2 | -0.32 | 84.87 |
| Omega | 0.75 | 0.75 |
| Max Drawdown | -79.84% | -0.4% |
| Longest DD Days | 1598 | 63 |
| Volatility (ann.) | 43.99% | 0.45% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.28 | 13.82 |
| Skew | -16.03 | 4.47 |
| Kurtosis | 298.69 | 47.24 |
| Expected Daily | -0.17% | 0.03% |
| Expected Monthly | -3.31% | 0.71% |
| Expected Yearly | -18.3% | 4.33% |
| Kelly Criterion | 20.5% | 95.6% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.67% | -0.01% |
| Expected Shortfall (cVaR) | -4.67% | -0.01% |
| Max Consecutive Wins | 8 | 587 |
| Max Consecutive Losses | 8 | 21 |
| Gain/Pain Ratio | -0.25 | 63.43 |
| Gain/Pain (1M) | -0.59 | 63.43 |
| Payoff Ratio | 1.49 | 1.88 |
| Profit Factor | 0.75 | 64.43 |
| Common Sense Ratio | 0.75 | 789.25 |
| CPC Index | 0.59 | 117.65 |
| Tail Ratio | 0.99 | 12.25 |
| Outlier Win Ratio | 2.05 | 33.26 |
| Outlier Loss Ratio | 1.08 | 57.05 |
| MTD | 0.17% | 1.81% |
| 3M | 5.09% | 3.84% |
| 6M | 6.58% | 5.05% |
| YTD | 1.53% | 3.46% |
| 1Y | 5.64% | 7.15% |
| 3Y (ann.) | -44.15% | 8.98% |
| 5Y (ann.) | -22.65% | 5.53% |
| 10Y (ann.) | -22.65% | 5.53% |
| All-time (ann.) | -22.65% | 5.53% |
| Best Day | 9.28% | 0.36% |
| Worst Day | -55.92% | -0.02% |
| Best Month | 10.02% | 1.81% |
| Worst Month | -74.58% | -0.4% |
| Best Year | 14.34% | 9.51% |
| Worst Year | -74.58% | 0.73% |
| Avg. Drawdown | -6.97% | -0.4% |
| Avg. Drawdown Days | 130 | 63 |
| Recovery Factor | -0.88 | 72.34 |
| Ulcer Index | 0.66 | 0.0 |
| Serenity Index | -0.03 | 132.2 |
| Avg. Up Month | 2.68% | 0.79% |
| Avg. Down Month | - | - |
| Win Days | 52.38% | 97.13% |
| Win Month | 55.56% | 97.22% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -54.01 | - |
| Alpha | 4.45 | - |
| Correlation | -55.73% | - |
| Treynor Ratio | 1.3% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.71 | 5.90 | 1.25 | + |
| 2022 | 2.17 | -0.62 | -0.28 | - |
| 2023 | 0.73 | -74.58 | -102.16 | - |
| 2024 | 9.51 | -4.27 | -0.45 | - |
| 2025 | 5.60 | 14.34 | 2.56 | + |
| 2026 | 3.46 | 1.53 | 0.44 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2026-02-27 | -79.84 | 1598 |
| 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 |