| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 92.0% |
| Cumulative Return | -56.96% | -57.22% |
| CAGR﹪ | -17.55% | -17.67% |
| Sharpe | -0.46 | -0.49 |
| Prob. Sharpe Ratio | 0.14% | 0.07% |
| Smart Sharpe | -0.46 | -0.49 |
| Sortino | -0.51 | -0.53 |
| Smart Sortino | -0.51 | -0.52 |
| Sortino/√2 | -0.36 | -0.37 |
| Smart Sortino/√2 | -0.36 | -0.37 |
| Omega | 0.88 | 0.88 |
| Max Drawdown | -62.26% | -62.06% |
| Longest DD Days | 1587 | 1253 |
| Volatility (ann.) | 40.8% | 39.2% |
| R^2 | 0.91 | 0.91 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | -0.28 | -0.28 |
| Skew | -14.52 | -17.82 |
| Kurtosis | 347.83 | 446.79 |
| Expected Daily | -0.1% | -0.1% |
| Expected Monthly | -1.9% | -1.91% |
| Expected Yearly | -15.51% | -15.62% |
| Kelly Criterion | -7.29% | -6.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.27% | -4.11% |
| Expected Shortfall (cVaR) | -4.27% | -4.11% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 7 | 14 |
| Gain/Pain Ratio | -0.08 | -0.09 |
| Gain/Pain (1M) | -0.27 | -0.28 |
| Payoff Ratio | 0.84 | 0.81 |
| Profit Factor | 0.92 | 0.91 |
| Common Sense Ratio | 0.87 | 0.8 |
| CPC Index | 0.4 | 0.39 |
| Tail Ratio | 0.95 | 0.88 |
| Outlier Win Ratio | 3.59 | 4.46 |
| Outlier Loss Ratio | 3.1 | 3.2 |
| MTD | 0.0% | -0.25% |
| 3M | -14.03% | -14.53% |
| 6M | -14.32% | -14.9% |
| YTD | -14.32% | -14.9% |
| 1Y | -14.32% | -14.9% |
| 3Y (ann.) | -9.38% | -9.43% |
| 5Y (ann.) | -17.55% | -17.67% |
| 10Y (ann.) | -17.55% | -17.67% |
| All-time (ann.) | -17.55% | -17.67% |
| 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 | -62.26% | -62.06% |
| Avg. Drawdown Days | 1587 | 1253 |
| Recovery Factor | -0.91 | -0.92 |
| Ulcer Index | 0.52 | 0.52 |
| Serenity Index | -0.05 | -0.05 |
| Avg. Up Month | 4.69% | 4.82% |
| Avg. Down Month | -8.03% | -8.2% |
| Win Days | 50.88% | 52.5% |
| Win Month | 53.49% | 53.49% |
| Win Quarter | 46.67% | 43.75% |
| Win Year | 20.0% | 20.0% |
| Beta | 0.99 | - |
| Alpha | 0.0 | - |
| Correlation | 95.14% | - |
| Treynor Ratio | -64.6% | - |
| 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 | -2.53 | -2.28 | 0.90 | + |
| 2026 | -14.90 | -14.32 | 0.96 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2026-07-01 | -62.26 | 1587 |