| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | -71.9% | 30.29% |
| CAGR﹪ | -21.14% | 5.08% |
| Sharpe | -0.57 | 17.2 |
| Prob. Sharpe Ratio | 5.9% | 100.0% |
| Smart Sharpe | -0.41 | 12.2 |
| Sortino | -0.6 | 151.82 |
| Smart Sortino | -0.42 | 107.75 |
| Sortino/√2 | -0.42 | 107.35 |
| Smart Sortino/√2 | -0.3 | 76.19 |
| Omega | 0.79 | 0.79 |
| Max Drawdown | -79.84% | -0.4% |
| Longest DD Days | 1825 | 70 |
| Volatility (ann.) | 39.64% | 0.42% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.26 | 12.69 |
| Skew | -17.23 | 4.74 |
| Kurtosis | 356.42 | 56.56 |
| Expected Daily | -0.14% | 0.03% |
| Expected Monthly | -2.84% | 0.6% |
| Expected Yearly | -19.07% | 4.51% |
| Kelly Criterion | -3.71% | 88.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.2% | -0.01% |
| Expected Shortfall (cVaR) | -4.2% | -0.01% |
| Max Consecutive Wins | 8 | 587 |
| Max Consecutive Losses | 8 | 66 |
| Gain/Pain Ratio | -0.21 | 44.38 |
| Gain/Pain (1M) | -0.57 | 44.38 |
| Payoff Ratio | 0.87 | 4.8 |
| Profit Factor | 0.79 | 45.38 |
| Common Sense Ratio | 0.75 | 989.75 |
| CPC Index | 0.35 | 197.44 |
| Tail Ratio | 0.95 | 21.81 |
| Outlier Win Ratio | 2.11 | 38.85 |
| Outlier Loss Ratio | 1.4 | 194.87 |
| MTD | 4.04% | -0.04% |
| 3M | 10.12% | 0.15% |
| 6M | -5.51% | 1.48% |
| YTD | -4.07% | 4.55% |
| 1Y | 3.1% | 5.67% |
| 3Y (ann.) | -37.69% | 7.32% |
| 5Y (ann.) | -24.12% | 4.85% |
| 10Y (ann.) | -21.14% | 5.08% |
| All-time (ann.) | -21.14% | 5.08% |
| Best Day | 9.28% | 0.36% |
| Worst Day | -55.92% | -0.02% |
| Best Month | 10.02% | 1.62% |
| Worst Month | -74.58% | -0.4% |
| Best Year | 14.34% | 9.51% |
| Worst Year | -74.58% | 0.73% |
| Avg. Drawdown | -6.97% | -0.3% |
| Avg. Drawdown Days | 148 | 66 |
| Recovery Factor | -0.9 | 75.74 |
| Ulcer Index | 0.68 | 0.0 |
| Serenity Index | -0.02 | 117.95 |
| Avg. Up Month | 2.61% | 0.73% |
| Avg. Down Month | -1.49% | -0.08% |
| Win Days | 51.65% | 90.65% |
| Win Month | 52.27% | 90.91% |
| Win Quarter | 47.06% | 94.12% |
| Win Year | 33.33% | 100.0% |
| Beta | -51.29 | - |
| Alpha | 3.45 | - |
| Correlation | -53.9% | - |
| Treynor Ratio | 1.4% | - |
| 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 | 4.55 | -4.07 | -0.89 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2026-10-12 | -79.84 | 1825 |
| 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 |