| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -73.29% | 22.72% |
| CAGR﹪ | -27.81% | 5.18% |
| Sharpe | -0.81 | 22.47 |
| Prob. Sharpe Ratio | 3.14% | 100.0% |
| Smart Sharpe | -0.57 | 15.74 |
| Sortino | -0.83 | - |
| Smart Sortino | -0.58 | - |
| Sortino/√2 | -0.59 | - |
| Smart Sortino/√2 | -0.41 | - |
| Omega | 0.69 | 0.69 |
| Max Drawdown | -79.84% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 49.79% | 0.41% |
| R^2 | 0.5 | 0.5 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.35 | - |
| Skew | -14.32 | 7.47 |
| Kurtosis | 235.28 | 93.39 |
| Expected Daily | -0.23% | 0.04% |
| Expected Monthly | -4.61% | 0.73% |
| Expected Yearly | -23.21% | 4.18% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.32% | -0.01% |
| Expected Shortfall (cVaR) | -5.32% | -0.01% |
| Max Consecutive Wins | 8 | 563 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.31 | - |
| Gain/Pain (1M) | -0.69 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.69 | - |
| Common Sense Ratio | 0.62 | - |
| CPC Index | - | - |
| Tail Ratio | 0.9 | 7.12 |
| Outlier Win Ratio | 2.02 | 35.08 |
| Outlier Loss Ratio | 1.04 | - |
| MTD | 2.48% | 0.41% |
| 3M | -2.71% | 1.34% |
| 6M | 6.75% | 4.18% |
| YTD | 4.26% | 3.99% |
| 1Y | 4.26% | 9.71% |
| 3Y (ann.) | -59.95% | 9.59% |
| 5Y (ann.) | -27.81% | 5.18% |
| 10Y (ann.) | -27.81% | 5.18% |
| All-time (ann.) | -27.81% | 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 | 5.9% | 9.51% |
| Worst Year | -74.58% | 0.73% |
| Avg. Drawdown | -6.97% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.92 | - |
| Ulcer Index | 0.63 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 2.82% | 0.75% |
| Avg. Down Month | - | - |
| Win Days | 51.81% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 36.36% | 100.0% |
| Win Year | 40.0% | 100.0% |
| Beta | -86.21 | - |
| Alpha | 7.49 | - |
| Correlation | -70.5% | - |
| Treynor Ratio | 0.85% | - |
| 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 | 3.99 | 4.26 | 1.07 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2025-06-27 | -79.84 | 1353 |
| 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 |