| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -73.56% | -1.63% |
| CAGR﹪ | -27.89% | -0.4% |
| Sharpe | -5.02 | -4.21 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.52 | -2.95 |
| Sortino | -4.85 | -5.86 |
| Smart Sortino | -3.4 | -4.11 |
| Sortino/√2 | -3.43 | -4.15 |
| Smart Sortino/√2 | -2.4 | -2.9 |
| Omega | 0.09 | 0.09 |
| Max Drawdown | -79.84% | -51.26% |
| Longest DD Days | 1366 | 1215 |
| Volatility (ann.) | 49.62% | 47.28% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.35 | -0.01 |
| Skew | -14.36 | 5.07 |
| Kurtosis | 236.82 | 142.45 |
| Expected Daily | -0.23% | -0.0% |
| Expected Monthly | -4.48% | -0.06% |
| Expected Yearly | -23.36% | -0.33% |
| Kelly Criterion | -17.69% | -1.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.3% | -4.86% |
| Expected Shortfall (cVaR) | -5.3% | -4.86% |
| Max Consecutive Wins | 8 | 9 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | -0.32 | 0.07 |
| Gain/Pain (1M) | -0.69 | 0.26 |
| Payoff Ratio | 0.7 | 0.82 |
| Profit Factor | 0.68 | 1.07 |
| Common Sense Ratio | 0.62 | 0.98 |
| CPC Index | 0.25 | 0.47 |
| Tail Ratio | 0.9 | 0.92 |
| Outlier Win Ratio | 4.98 | 2.72 |
| Outlier Loss Ratio | 2.69 | 2.36 |
| MTD | -1.12% | -3.65% |
| 3M | 6.4% | 5.9% |
| 6M | 5.35% | 1.5% |
| YTD | 3.1% | -2.18% |
| 1Y | 4.52% | -2.16% |
| 3Y (ann.) | -59.39% | 28.16% |
| 5Y (ann.) | -27.89% | -0.4% |
| 10Y (ann.) | -27.89% | -0.4% |
| All-time (ann.) | -27.89% | -0.4% |
| Best Day | 9.28% | 47.32% |
| Worst Day | -55.92% | -33.28% |
| Best Month | 10.02% | 47.19% |
| Worst Month | -74.58% | -30.02% |
| Best Year | 6.03% | 47.19% |
| Worst Year | -74.58% | -34.42% |
| Avg. Drawdown | -6.98% | -6.31% |
| Avg. Drawdown Days | 112 | 103 |
| Recovery Factor | -0.92 | -0.03 |
| Ulcer Index | 0.64 | 0.13 |
| Serenity Index | -0.34 | -7.1 |
| Avg. Up Month | 3.15% | 4.52% |
| Avg. Down Month | -2.82% | -7.48% |
| Win Days | 51.7% | 54.14% |
| Win Month | 51.72% | 51.72% |
| Win Quarter | 41.67% | 50.0% |
| Win Year | 40.0% | 60.0% |
| Beta | -0.19 | - |
| Alpha | -0.39 | - |
| Correlation | -18.4% | - |
| Treynor Ratio | 4005.3% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.52 | 6.03 | 2.40 | + |
| 2022 | -34.42 | -0.62 | 0.02 | + |
| 2023 | 47.19 | -74.58 | -1.58 | - |
| 2024 | 1.64 | -4.27 | -2.61 | - |
| 2025 | -2.18 | 3.10 | -1.42 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2025-07-10 | -79.84 | 1366 |
| 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 |
| 2021-06-17 | 2021-06-23 | -0.43 | 6 |
| 2021-06-24 | 2021-07-01 | -0.43 | 7 |
| 2021-09-08 | 2021-09-14 | -0.41 | 6 |
| 2021-09-03 | 2021-09-06 | -0.38 | 3 |