| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | -61.93% | 22.85% |
| CAGR﹪ | -21.12% | 5.19% |
| Sharpe | -0.85 | 22.46 |
| Prob. Sharpe Ratio | 1.91% | 100.0% |
| Smart Sharpe | -0.49 | 12.96 |
| Sortino | -0.87 | - |
| Smart Sortino | -0.5 | - |
| Sortino/√2 | -0.61 | - |
| Smart Sortino/√2 | -0.35 | - |
| Omega | 0.66 | 0.66 |
| Max Drawdown | -69.6% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 38.56% | 0.41% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.3 | - |
| Skew | -14.77 | 7.48 |
| Kurtosis | 237.2 | 93.82 |
| Expected Daily | -0.17% | 0.04% |
| Expected Monthly | -3.28% | 0.71% |
| Expected Yearly | -17.56% | 4.2% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.13% | -0.01% |
| Expected Shortfall (cVaR) | -4.13% | -0.01% |
| Max Consecutive Wins | 7 | 568 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.34 | - |
| Gain/Pain (1M) | -0.7 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.66 | - |
| Common Sense Ratio | 0.57 | - |
| CPC Index | - | - |
| Tail Ratio | 0.88 | 7.12 |
| Outlier Win Ratio | 2.24 | 27.71 |
| Outlier Loss Ratio | 1.19 | - |
| MTD | -0.13% | 0.09% |
| 3M | 4.64% | 1.3% |
| 6M | 7.42% | 4.04% |
| YTD | 6.82% | 4.1% |
| 1Y | 5.94% | 9.6% |
| 3Y (ann.) | -46.11% | 9.54% |
| 5Y (ann.) | -21.12% | 5.19% |
| 10Y (ann.) | -21.12% | 5.19% |
| All-time (ann.) | -21.12% | 5.19% |
| Best Day | 4.12% | 0.36% |
| Worst Day | -40.06% | 0.0% |
| Best Month | 7.49% | 1.43% |
| Worst Month | -63.11% | 0.09% |
| Best Year | 6.82% | 9.51% |
| Worst Year | -63.11% | 0.73% |
| Avg. Drawdown | -6.44% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.89 | - |
| Ulcer Index | 0.54 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 2.14% | 0.69% |
| Avg. Down Month | - | - |
| Win Days | 51.43% | 100.0% |
| Win Month | 51.72% | 100.0% |
| Win Quarter | 41.67% | 100.0% |
| Win Year | 40.0% | 100.0% |
| Beta | -68.98 | - |
| Alpha | 5.96 | - |
| Correlation | -72.62% | - |
| Treynor Ratio | 0.9% | - |
| 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 | 4.10 | 6.82 | 1.66 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-07-04 | -69.60 | 1352 |
| 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 |