| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | -64.06% | 18.79% |
| CAGR﹪ | -24.63% | 4.87% |
| Sharpe | -1.04 | 21.82 |
| Prob. Sharpe Ratio | 0.77% | 100.0% |
| Smart Sharpe | -0.59 | 12.52 |
| Sortino | -1.05 | - |
| Smart Sortino | -0.6 | - |
| Sortino/√2 | -0.74 | - |
| Smart Sortino/√2 | -0.43 | - |
| Omega | 0.58 | 0.58 |
| Max Drawdown | -69.6% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 42.93% | 0.44% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | -0.35 | - |
| Skew | -13.42 | 7.24 |
| Kurtosis | 193.19 | 84.1 |
| Expected Daily | -0.23% | 0.04% |
| Expected Monthly | -4.35% | 0.75% |
| Expected Yearly | -18.51% | 3.5% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.62% | -0.01% |
| Expected Shortfall (cVaR) | -4.62% | -0.01% |
| Max Consecutive Wins | 7 | 452 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.42 | - |
| Gain/Pain (1M) | -0.76 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.58 | - |
| Common Sense Ratio | 0.47 | - |
| CPC Index | - | - |
| Tail Ratio | 0.81 | 7.71 |
| Outlier Win Ratio | 2.21 | 25.98 |
| Outlier Loss Ratio | 1.13 | - |
| MTD | 0.84% | 0.66% |
| 3M | 6.16% | 3.75% |
| 6M | 1.97% | 5.35% |
| YTD | 0.84% | 0.66% |
| 1Y | -1.63% | 9.65% |
| 3Y (ann.) | -29.91% | 3.75% |
| 5Y (ann.) | -24.63% | 4.87% |
| 10Y (ann.) | -24.63% | 4.87% |
| All-time (ann.) | -24.63% | 4.87% |
| Best Day | 4.12% | 0.36% |
| Worst Day | -40.06% | 0.0% |
| Best Month | 7.49% | 1.43% |
| Worst Month | -63.11% | 0.17% |
| Best Year | 0.84% | 9.51% |
| Worst Year | -63.11% | 0.66% |
| Avg. Drawdown | -6.44% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.92 | - |
| Ulcer Index | 0.51 | 0.0 |
| Serenity Index | -0.04 | - |
| Avg. Up Month | 2.26% | 0.7% |
| Avg. Down Month | - | - |
| Win Days | 50.84% | 100.0% |
| Win Month | 47.83% | 100.0% |
| Win Quarter | 40.0% | 100.0% |
| Win Year | 40.0% | 100.0% |
| Beta | -73.62 | - |
| Alpha | 6.61 | - |
| Correlation | -75.31% | - |
| Treynor Ratio | 0.87% | - |
| 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 | 0.66 | 0.84 | 1.27 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-01-20 | -69.60 | 1187 |
| 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 |