| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | -60.14% | 23.09% |
| CAGR﹪ | -19.53% | 5.03% |
| Sharpe | -0.77 | 18.22 |
| Prob. Sharpe Ratio | 3.15% | 100.0% |
| Smart Sharpe | -0.44 | 10.54 |
| Sortino | -0.78 | 152.72 |
| Smart Sortino | -0.45 | 88.34 |
| Sortino/√2 | -0.55 | 107.99 |
| Smart Sortino/√2 | -0.32 | 62.47 |
| Omega | 0.69 | 0.69 |
| Max Drawdown | -69.6% | -0.4% |
| Longest DD Days | 1411 | 31 |
| Volatility (ann.) | 37.32% | 0.47% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.28 | 12.58 |
| Skew | -15.21 | 6.2 |
| Kurtosis | 252.55 | 67.06 |
| Expected Daily | -0.15% | 0.03% |
| Expected Monthly | -2.92% | 0.67% |
| Expected Yearly | -16.8% | 4.24% |
| Kelly Criterion | 11.52% | 94.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.98% | -0.01% |
| Expected Shortfall (cVaR) | -3.98% | -0.01% |
| Max Consecutive Wins | 7 | 587 |
| Max Consecutive Losses | 8 | 21 |
| Gain/Pain Ratio | -0.31 | 51.85 |
| Gain/Pain (1M) | -0.65 | 51.85 |
| Payoff Ratio | 1.19 | 1.8 |
| Profit Factor | 0.69 | 52.85 |
| Common Sense Ratio | 0.63 | 442.5 |
| CPC Index | 0.42 | 91.6 |
| Tail Ratio | 0.91 | 8.37 |
| Outlier Win Ratio | 2.24 | 27.79 |
| Outlier Loss Ratio | 1.21 | 52.43 |
| MTD | -0.25% | 0.34% |
| 3M | 6.92% | 0.71% |
| 6M | 6.5% | 2.21% |
| YTD | 11.84% | 4.3% |
| 1Y | 20.21% | 8.51% |
| 3Y (ann.) | -41.22% | 8.71% |
| 5Y (ann.) | -19.53% | 5.03% |
| 10Y (ann.) | -19.53% | 5.03% |
| All-time (ann.) | -19.53% | 5.03% |
| Best Day | 4.12% | 0.36% |
| Worst Day | -40.06% | -0.02% |
| Best Month | 7.49% | 1.43% |
| Worst Month | -63.11% | -0.4% |
| Best Year | 11.84% | 9.51% |
| Worst Year | -63.11% | 0.73% |
| Avg. Drawdown | -6.44% | -0.4% |
| Avg. Drawdown Days | 126 | 31 |
| Recovery Factor | -0.86 | 57.72 |
| Ulcer Index | 0.55 | 0.0 |
| Serenity Index | -0.03 | 193.69 |
| Avg. Up Month | 2.13% | 0.67% |
| Avg. Down Month | - | - |
| Win Days | 51.96% | 96.55% |
| Win Month | 54.84% | 96.77% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 40.0% | 100.0% |
| Beta | -48.54 | - |
| Alpha | 3.88 | - |
| Correlation | -61.29% | - |
| Treynor Ratio | 1.24% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.71 | 0.15 | 0.03 | - |
| 2022 | 2.17 | -2.85 | -1.31 | - |
| 2023 | 0.73 | -63.11 | -86.46 | - |
| 2024 | 9.51 | -0.69 | -0.07 | - |
| 2025 | 4.30 | 11.84 | 2.75 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-09-01 | -69.60 | 1411 |
| 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 |