| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -52.13% | 50.07% |
| CAGR﹪ | -18.45% | 11.9% |
| Sharpe | -0.26 | 48.21 |
| Prob. Sharpe Ratio | 31.24% | - |
| Smart Sharpe | -0.26 | 47.36 |
| Sortino | -0.29 | - |
| Smart Sortino | -0.29 | - |
| Sortino/√2 | -0.21 | - |
| Smart Sortino/√2 | -0.2 | - |
| Omega | 0.93 | 0.93 |
| Max Drawdown | -64.42% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 44.93% | 0.31% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.29 | - |
| Skew | -13.86 | 0.17 |
| Kurtosis | 300.93 | 0.19 |
| Expected Daily | -0.11% | 0.06% |
| Expected Monthly | -2.14% | 1.2% |
| Expected Yearly | -16.82% | 10.68% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.7% | -0.03% |
| Expected Shortfall (cVaR) | -4.7% | -0.03% |
| Max Consecutive Wins | 8 | 687 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | -0.07 | - |
| Gain/Pain (1M) | -0.26 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.93 | - |
| Common Sense Ratio | 0.86 | - |
| CPC Index | - | - |
| Tail Ratio | 0.93 | 2.82 |
| Outlier Win Ratio | 1.92 | 36.26 |
| Outlier Loss Ratio | 1.63 | - |
| MTD | -2.71% | 0.62% |
| 3M | 8.68% | 4.29% |
| 6M | -8.97% | 9.6% |
| YTD | 1.65% | 14.13% |
| 1Y | 8.48% | 21.46% |
| 3Y (ann.) | -23.18% | 16.37% |
| 5Y (ann.) | -18.45% | 11.9% |
| 10Y (ann.) | -18.45% | 11.9% |
| All-time (ann.) | -18.45% | 11.9% |
| Best Day | 14.97% | 0.13% |
| Worst Day | -60.33% | 0.0% |
| Best Month | 13.92% | 1.83% |
| Worst Month | -59.18% | 0.62% |
| Best Year | 1.65% | 18.74% |
| Worst Year | -46.59% | 0.67% |
| Avg. Drawdown | -32.97% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.81 | - |
| Ulcer Index | 0.54 | 0.0 |
| Serenity Index | -0.04 | - |
| Avg. Up Month | 4.67% | 1.17% |
| Avg. Down Month | - | - |
| Win Days | 51.05% | 100.0% |
| Win Month | 55.88% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 25.0% | 100.0% |
| Beta | -18.64 | - |
| Alpha | 2.65 | - |
| Correlation | -12.8% | - |
| Treynor Ratio | 2.8% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 0.67 | -4.14 | -6.15 | - |
| 2023 | 10.00 | -46.59 | -4.66 | - |
| 2024 | 18.74 | -8.01 | -0.43 | - |
| 2025 | 14.13 | 1.65 | 0.12 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-11 | 2025-09-12 | -64.42 | 1309 |
| 2022-02-03 | 2022-02-09 | -1.52 | 6 |