| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 79.0% | 100.0% |
| Cumulative Return | -60.3% | -37.57% |
| CAGR﹪ | -18.64% | -9.98% |
| Sharpe | -0.48 | -0.48 |
| Prob. Sharpe Ratio | 0.03% | 0.19% |
| Smart Sharpe | -0.47 | -0.47 |
| Sortino | -0.54 | -0.62 |
| Smart Sortino | -0.53 | -0.61 |
| Sortino/√2 | -0.38 | -0.44 |
| Smart Sortino/√2 | -0.38 | -0.43 |
| Omega | 0.86 | 0.86 |
| Max Drawdown | -68.68% | -50.99% |
| Longest DD Days | 1631 | 802 |
| Volatility (ann.) | 36.78% | 27.86% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.27 | -0.2 |
| Skew | -15.51 | -2.68 |
| Kurtosis | 412.23 | 66.27 |
| Expected Daily | -0.08% | -0.04% |
| Expected Monthly | -1.7% | -0.87% |
| Expected Yearly | -16.87% | -8.99% |
| Kelly Criterion | -0.8% | -2.48% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.85% | -2.91% |
| Expected Shortfall (cVaR) | -3.85% | -2.91% |
| Max Consecutive Wins | 8 | 12 |
| Max Consecutive Losses | 7 | 14 |
| Gain/Pain Ratio | -0.09 | -0.05 |
| Gain/Pain (1M) | -0.31 | -0.18 |
| Payoff Ratio | 0.96 | 0.91 |
| Profit Factor | 0.91 | 0.95 |
| Common Sense Ratio | 0.85 | 0.84 |
| CPC Index | 0.44 | 0.44 |
| Tail Ratio | 0.93 | 0.89 |
| Outlier Win Ratio | 5.35 | 3.99 |
| Outlier Loss Ratio | 3.11 | 3.64 |
| MTD | 0.0% | -3.67% |
| 3M | -9.13% | -13.62% |
| 6M | -19.58% | -21.52% |
| YTD | -14.32% | -18.57% |
| 1Y | -13.73% | -18.49% |
| 3Y (ann.) | -9.96% | -15.11% |
| 5Y (ann.) | -18.64% | -9.98% |
| 10Y (ann.) | -18.64% | -9.98% |
| All-time (ann.) | -18.64% | -9.98% |
| Best Day | 14.97% | 17.88% |
| Worst Day | -60.33% | -27.71% |
| Best Month | 13.92% | 15.4% |
| Worst Month | -59.18% | -21.33% |
| Best Year | -2.28% | 33.28% |
| Worst Year | -46.59% | -28.81% |
| Avg. Drawdown | -34.77% | -24.79% |
| Avg. Drawdown Days | 816 | 405 |
| Recovery Factor | -0.88 | -0.74 |
| Ulcer Index | 0.5 | 0.26 |
| Serenity Index | -0.04 | -0.07 |
| Avg. Up Month | 4.9% | 4.67% |
| Avg. Down Month | -5.1% | -6.6% |
| Win Days | 50.57% | 51.12% |
| Win Month | 52.27% | 51.85% |
| Win Quarter | 43.75% | 42.11% |
| Win Year | 0.0% | 20.0% |
| Beta | 0.37 | - |
| Alpha | -0.09 | - |
| Correlation | 28.01% | - |
| Treynor Ratio | -181.97% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -28.81 | -3.50 | 0.12 | + |
| 2023 | 33.28 | -46.59 | -1.40 | - |
| 2024 | -12.60 | -8.01 | 0.64 | + |
| 2025 | -7.55 | -2.28 | 0.30 | + |
| 2026 | -18.57 | -14.32 | 0.77 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-11 | 2026-07-31 | -68.68 | 1631 |
| 2022-02-08 | 2022-02-09 | -0.86 | 1 |