| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | -71.9% | 24.32% |
| CAGR﹪ | -24.64% | 4.97% |
| Sharpe | -0.69 | 19.67 |
| Prob. Sharpe Ratio | 4.72% | 100.0% |
| Smart Sharpe | -0.49 | 13.83 |
| Sortino | -0.71 | 151.93 |
| Smart Sortino | -0.5 | 106.8 |
| Sortino/√2 | -0.51 | 107.43 |
| Smart Sortino/√2 | -0.36 | 75.52 |
| Omega | 0.73 | 0.73 |
| Max Drawdown | -79.84% | -0.4% |
| Longest DD Days | 1512 | 63 |
| Volatility (ann.) | 45.68% | 0.41% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.31 | 12.43 |
| Skew | -15.46 | 6.12 |
| Kurtosis | 277.26 | 77.91 |
| Expected Daily | -0.19% | 0.03% |
| Expected Monthly | -3.66% | 0.64% |
| Expected Yearly | -22.42% | 4.45% |
| Kelly Criterion | 20.27% | 95.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.86% | -0.01% |
| Expected Shortfall (cVaR) | -4.86% | -0.01% |
| Max Consecutive Wins | 8 | 587 |
| Max Consecutive Losses | 8 | 21 |
| Gain/Pain Ratio | -0.27 | 54.34 |
| Gain/Pain (1M) | -0.63 | 54.34 |
| Payoff Ratio | 1.53 | 1.75 |
| Profit Factor | 0.73 | 55.34 |
| Common Sense Ratio | 0.71 | 463.33 |
| CPC Index | 0.58 | 93.91 |
| Tail Ratio | 0.97 | 8.37 |
| Outlier Win Ratio | 2.0 | 36.4 |
| Outlier Loss Ratio | 1.07 | 58.09 |
| MTD | 0.35% | 0.07% |
| 3M | 1.07% | 1.31% |
| 6M | 7.2% | 1.71% |
| YTD | 9.69% | 5.35% |
| 1Y | 19.66% | 6.67% |
| 3Y (ann.) | -49.48% | 8.08% |
| 5Y (ann.) | -24.64% | 4.97% |
| 10Y (ann.) | -24.64% | 4.97% |
| All-time (ann.) | -24.64% | 4.97% |
| Best Day | 9.28% | 0.36% |
| Worst Day | -55.92% | -0.02% |
| Best Month | 10.02% | 1.43% |
| Worst Month | -74.58% | -0.4% |
| Best Year | 9.69% | 9.51% |
| Worst Year | -74.58% | 0.73% |
| Avg. Drawdown | -6.97% | -0.4% |
| Avg. Drawdown Days | 124 | 63 |
| Recovery Factor | -0.9 | 60.81 |
| Ulcer Index | 0.65 | 0.0 |
| Serenity Index | -0.03 | 93.01 |
| Avg. Up Month | 2.66% | 0.67% |
| Avg. Down Month | - | - |
| Win Days | 51.75% | 96.89% |
| Win Month | 52.94% | 97.06% |
| Win Quarter | 46.15% | 100.0% |
| Win Year | 40.0% | 100.0% |
| Beta | -71.36 | - |
| Alpha | 5.47 | - |
| Correlation | -64.36% | - |
| Treynor Ratio | 1.01% | - |
| 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 | 5.35 | 9.69 | 1.81 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2025-12-03 | -79.84 | 1512 |
| 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 |