| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 93.0% |
| Cumulative Return | -53.91% | -54.18% |
| CAGR﹪ | -18.92% | -19.05% |
| Sharpe | -0.44 | -0.47 |
| Prob. Sharpe Ratio | 0.38% | 0.24% |
| Smart Sharpe | -0.44 | -0.46 |
| Sortino | -0.49 | -0.5 |
| Smart Sortino | -0.48 | -0.49 |
| Sortino/√2 | -0.35 | -0.35 |
| Smart Sortino/√2 | -0.34 | -0.35 |
| Omega | 0.88 | 0.88 |
| Max Drawdown | -62.09% | -62.06% |
| Longest DD Days | 1341 | 1007 |
| Volatility (ann.) | 44.4% | 42.85% |
| R^2 | 0.92 | 0.92 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | -0.3 | -0.31 |
| Skew | -13.93 | -16.87 |
| Kurtosis | 306.64 | 387.15 |
| Expected Daily | -0.11% | -0.11% |
| Expected Monthly | -2.19% | -2.21% |
| Expected Yearly | -17.61% | -17.73% |
| Kelly Criterion | -8.46% | -6.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.65% | -4.49% |
| Expected Shortfall (cVaR) | -4.65% | -4.49% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 7 | 14 |
| Gain/Pain Ratio | -0.08 | -0.09 |
| Gain/Pain (1M) | -0.27 | -0.27 |
| Payoff Ratio | 0.82 | 0.77 |
| Profit Factor | 0.92 | 0.91 |
| Common Sense Ratio | 0.83 | 0.78 |
| CPC Index | 0.39 | 0.38 |
| Tail Ratio | 0.9 | 0.86 |
| Outlier Win Ratio | 3.95 | 4.96 |
| Outlier Loss Ratio | 2.96 | 2.99 |
| MTD | -6.36% | -6.43% |
| 3M | -9.05% | -9.25% |
| 6M | -12.51% | -13.35% |
| YTD | -10.36% | -11.16% |
| 1Y | -1.4% | -2.09% |
| 3Y (ann.) | -25.71% | -26.69% |
| 5Y (ann.) | -18.92% | -19.05% |
| 10Y (ann.) | -18.92% | -19.05% |
| All-time (ann.) | -18.92% | -19.05% |
| Best Day | 14.97% | 8.23% |
| Worst Day | -60.33% | -61.76% |
| Best Month | 13.92% | 13.64% |
| Worst Month | -59.18% | -60.56% |
| Best Year | 4.64% | 7.9% |
| Worst Year | -46.59% | -48.48% |
| Avg. Drawdown | -62.09% | -62.06% |
| Avg. Drawdown Days | 1341 | 1007 |
| Recovery Factor | -0.87 | -0.87 |
| Ulcer Index | 0.52 | 0.51 |
| Serenity Index | -0.05 | -0.05 |
| Avg. Up Month | 4.67% | 4.89% |
| Avg. Down Month | -8.94% | -9.13% |
| Win Days | 51.02% | 53.83% |
| Win Month | 57.14% | 57.14% |
| Win Quarter | 46.15% | 46.15% |
| Win Year | 25.0% | 25.0% |
| Beta | 0.99 | - |
| Alpha | 0.0 | - |
| Correlation | 95.72% | - |
| Treynor Ratio | -61.42% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 7.90 | 4.64 | 0.59 | - |
| 2023 | -48.48 | -46.59 | 0.96 | + |
| 2024 | -7.23 | -8.01 | 1.11 | - |
| 2025 | -11.16 | -10.36 | 0.93 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2025-10-28 | -62.09 | 1341 |