| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | -63.22% | 33.46% |
| CAGR﹪ | -23.04% | 7.85% |
| Sharpe | -0.95 | 21.68 |
| Prob. Sharpe Ratio | 1.17% | 100.0% |
| Smart Sharpe | -0.55 | 12.48 |
| Sortino | -0.97 | - |
| Smart Sortino | -0.56 | - |
| Sortino/√2 | -0.68 | - |
| Smart Sortino/√2 | -0.39 | - |
| Omega | 0.62 | 0.62 |
| Max Drawdown | -69.6% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 40.75% | 0.66% |
| R^2 | 0.64 | 0.64 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | -0.33 | - |
| Skew | -14.06 | 9.27 |
| Kurtosis | 213.44 | 122.38 |
| Expected Daily | -0.2% | 0.06% |
| Expected Monthly | -3.77% | 1.12% |
| Expected Yearly | -18.13% | 5.94% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.38% | -0.01% |
| Expected Shortfall (cVaR) | -4.38% | -0.01% |
| Max Consecutive Wins | 7 | 505 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.38 | - |
| Gain/Pain (1M) | -0.73 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.62 | - |
| Common Sense Ratio | 0.54 | - |
| CPC Index | - | - |
| Tail Ratio | 0.88 | 3.72 |
| Outlier Win Ratio | 2.23 | 17.72 |
| Outlier Loss Ratio | 1.19 | - |
| MTD | -0.4% | 0.24% |
| 3M | 3.2% | 5.56% |
| 6M | 8.49% | 11.11% |
| YTD | 3.2% | 5.56% |
| 1Y | -0.8% | 20.68% |
| 3Y (ann.) | -53.63% | 20.7% |
| 5Y (ann.) | -23.04% | 7.85% |
| 10Y (ann.) | -23.04% | 7.85% |
| All-time (ann.) | -23.04% | 7.85% |
| Best Day | 4.12% | 0.61% |
| Worst Day | -40.06% | 0.0% |
| Best Month | 7.49% | 1.83% |
| Worst Month | -63.11% | 0.24% |
| Best Year | 3.2% | 18.74% |
| Worst Year | -63.11% | 1.23% |
| Avg. Drawdown | -6.44% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.91 | - |
| Ulcer Index | 0.53 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 2.41% | 1.22% |
| Avg. Down Month | - | - |
| Win Days | 50.32% | 100.0% |
| Win Month | 46.15% | 100.0% |
| Win Quarter | 36.36% | 100.0% |
| Win Year | 40.0% | 100.0% |
| Beta | -49.16 | - |
| Alpha | 6.68 | - |
| Correlation | -80.04% | - |
| Treynor Ratio | 1.29% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.77 | 0.15 | 0.04 | - |
| 2022 | 1.36 | -2.85 | -2.09 | - |
| 2023 | 1.23 | -63.11 | -51.34 | - |
| 2024 | 18.74 | -0.69 | -0.04 | - |
| 2025 | 5.56 | 3.20 | 0.58 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-04-03 | -69.60 | 1260 |
| 2021-07-08 | 2021-08-09 | -1.82 | 32 |
| 2021-09-16 | 2021-09-30 | -1.44 | 14 |
| 2021-08-18 | 2021-09-01 | -1.40 | 14 |
| 2021-10-06 | 2021-10-08 | -0.68 | 2 |
| 2021-06-15 | 2021-07-01 | -0.59 | 16 |
| 2021-09-08 | 2021-09-13 | -0.45 | 5 |
| 2021-08-12 | 2021-08-16 | -0.44 | 4 |
| 2021-10-01 | 2021-10-04 | -0.36 | 3 |
| 2021-10-12 | 2021-10-20 | -0.32 | 8 |