| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | -71.9% | 23.74% |
| CAGR﹪ | -25.98% | 5.18% |
| Sharpe | -0.73 | 22.12 |
| Prob. Sharpe Ratio | 4.48% | 100.0% |
| Smart Sharpe | -0.51 | 15.49 |
| Sortino | -0.76 | - |
| Smart Sortino | -0.53 | - |
| Sortino/√2 | -0.54 | - |
| Smart Sortino/√2 | -0.38 | - |
| Omega | 0.71 | 0.71 |
| Max Drawdown | -79.84% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 48.07% | 0.4% |
| R^2 | 0.48 | 0.48 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.33 | - |
| Skew | -14.8 | 7.42 |
| Kurtosis | 252.09 | 94.5 |
| Expected Daily | -0.21% | 0.04% |
| Expected Monthly | -4.14% | 0.71% |
| Expected Yearly | -22.42% | 4.35% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.12% | -0.01% |
| Expected Shortfall (cVaR) | -5.12% | -0.01% |
| Max Consecutive Wins | 8 | 606 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.29 | - |
| Gain/Pain (1M) | -0.65 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.71 | - |
| Common Sense Ratio | 0.65 | - |
| CPC Index | - | - |
| Tail Ratio | 0.91 | 7.12 |
| Outlier Win Ratio | 2.0 | 35.14 |
| Outlier Loss Ratio | 1.05 | - |
| MTD | 3.47% | 0.47% |
| 3M | 9.48% | 1.33% |
| 6M | -0.18% | 2.83% |
| YTD | 9.69% | 4.86% |
| 1Y | 15.98% | 9.13% |
| 3Y (ann.) | -54.74% | 9.13% |
| 5Y (ann.) | -25.98% | 5.18% |
| 10Y (ann.) | -25.98% | 5.18% |
| All-time (ann.) | -25.98% | 5.18% |
| Best Day | 9.28% | 0.36% |
| Worst Day | -55.92% | 0.0% |
| Best Month | 10.02% | 1.43% |
| Worst Month | -74.58% | 0.17% |
| Best Year | 9.69% | 9.51% |
| Worst Year | -74.58% | 0.73% |
| Avg. Drawdown | -6.97% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.9 | - |
| Ulcer Index | 0.64 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 2.79% | 0.71% |
| Avg. Down Month | - | - |
| Win Days | 52.3% | 100.0% |
| Win Month | 53.33% | 100.0% |
| Win Quarter | 41.67% | 100.0% |
| Win Year | 40.0% | 100.0% |
| Beta | -83.47 | - |
| Alpha | 7.03 | - |
| Correlation | -69.47% | - |
| Treynor Ratio | 0.86% | - |
| 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 | 4.86 | 9.69 | 1.99 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2025-08-27 | -79.84 | 1414 |
| 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 |