| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | -69.77% | 29.79% |
| CAGR﹪ | -22.25% | 5.64% |
| Sharpe | -0.6 | 19.29 |
| Prob. Sharpe Ratio | 7.17% | 100.0% |
| Smart Sharpe | -0.42 | 13.58 |
| Sortino | -0.62 | 174.17 |
| Smart Sortino | -0.44 | 122.56 |
| Sortino/√2 | -0.44 | 123.16 |
| Smart Sortino/√2 | -0.31 | 86.66 |
| Omega | 0.76 | 0.76 |
| Max Drawdown | -79.84% | -0.4% |
| Longest DD Days | 1609 | 63 |
| Volatility (ann.) | 43.79% | 0.46% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.28 | 14.1 |
| Skew | -16.1 | 4.25 |
| Kurtosis | 301.39 | 43.58 |
| Expected Daily | -0.16% | 0.04% |
| Expected Monthly | -3.18% | 0.71% |
| Expected Yearly | -18.08% | 4.44% |
| Kelly Criterion | 20.65% | 95.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.64% | -0.01% |
| Expected Shortfall (cVaR) | -4.64% | -0.01% |
| Max Consecutive Wins | 8 | 587 |
| Max Consecutive Losses | 8 | 21 |
| Gain/Pain Ratio | -0.24 | 65.09 |
| Gain/Pain (1M) | -0.58 | 65.09 |
| Payoff Ratio | 1.49 | 1.92 |
| Profit Factor | 0.76 | 66.09 |
| Common Sense Ratio | 0.75 | 809.48 |
| CPC Index | 0.59 | 122.99 |
| Tail Ratio | 0.99 | 12.25 |
| Outlier Win Ratio | 2.04 | 32.54 |
| Outlier Loss Ratio | 1.09 | 57.04 |
| MTD | 1.67% | 0.66% |
| 3M | 5.36% | 4.38% |
| 6M | 7.03% | 5.69% |
| YTD | 3.22% | 4.15% |
| 1Y | 7.98% | 7.61% |
| 3Y (ann.) | -43.28% | 9.18% |
| 5Y (ann.) | -22.25% | 5.64% |
| 10Y (ann.) | -22.25% | 5.64% |
| All-time (ann.) | -22.25% | 5.64% |
| 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 | 131 | 63 |
| Recovery Factor | -0.87 | 74.48 |
| Ulcer Index | 0.66 | 0.0 |
| Serenity Index | -0.03 | 139.62 |
| Avg. Up Month | 2.63% | 0.79% |
| Avg. Down Month | - | - |
| Win Days | 52.51% | 97.15% |
| Win Month | 56.76% | 97.3% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -51.62 | - |
| Alpha | 4.33 | - |
| Correlation | -54.35% | - |
| Treynor Ratio | 1.35% | - |
| 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 | 4.15 | 3.22 | 0.78 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2026-03-10 | -79.84 | 1609 |
| 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 |