| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 92.0% |
| Cumulative Return | -54.74% | -54.94% |
| CAGR﹪ | -15.6% | -15.68% |
| Sharpe | -0.4 | -0.42 |
| Prob. Sharpe Ratio | 0.19% | 0.12% |
| Smart Sharpe | -0.4 | -0.42 |
| Sortino | -0.45 | -0.46 |
| Smart Sortino | -0.45 | -0.46 |
| Sortino/√2 | -0.32 | -0.33 |
| Smart Sortino/√2 | -0.32 | -0.32 |
| Omega | 0.9 | 0.9 |
| Max Drawdown | -66.63% | -66.89% |
| Longest DD Days | 1699 | 1365 |
| Volatility (ann.) | 39.98% | 38.63% |
| R^2 | 0.91 | 0.91 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | -0.23 | -0.23 |
| Skew | -14.14 | -17.06 |
| Kurtosis | 345.9 | 434.56 |
| Expected Daily | -0.08% | -0.08% |
| Expected Monthly | -1.67% | -1.68% |
| Expected Yearly | -14.66% | -14.74% |
| Kelly Criterion | -6.03% | -4.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.18% | -4.04% |
| Expected Shortfall (cVaR) | -4.18% | -4.04% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 7 | 14 |
| Gain/Pain Ratio | -0.06 | -0.07 |
| Gain/Pain (1M) | -0.23 | -0.23 |
| Payoff Ratio | 0.86 | 0.83 |
| Profit Factor | 0.94 | 0.93 |
| Common Sense Ratio | 0.89 | 0.84 |
| CPC Index | 0.41 | 0.41 |
| Tail Ratio | 0.95 | 0.9 |
| Outlier Win Ratio | 3.71 | 4.49 |
| Outlier Loss Ratio | 3.06 | 3.12 |
| MTD | 10.16% | 9.5% |
| 3M | 21.47% | 20.64% |
| 6M | -10.22% | -10.94% |
| YTD | -9.91% | -10.37% |
| 1Y | -10.49% | -10.56% |
| 3Y (ann.) | -7.47% | -7.5% |
| 5Y (ann.) | -15.6% | -15.68% |
| 10Y (ann.) | -15.6% | -15.68% |
| All-time (ann.) | -15.6% | -15.68% |
| 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 | -66.63% | -66.89% |
| Avg. Drawdown Days | 1699 | 1365 |
| Recovery Factor | -0.82 | -0.82 |
| Ulcer Index | 0.53 | 0.53 |
| Serenity Index | -0.05 | -0.05 |
| Avg. Up Month | 4.73% | 4.83% |
| Avg. Down Month | -7.48% | -7.62% |
| Win Days | 50.97% | 52.57% |
| Win Month | 53.19% | 54.35% |
| Win Quarter | 47.06% | 47.06% |
| Win Year | 20.0% | 20.0% |
| Beta | 0.98 | - |
| Alpha | 0.0 | - |
| Correlation | 95.16% | - |
| Treynor Ratio | -62.69% | - |
| 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 | -10.37 | -9.91 | 0.96 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2026-10-21 | -66.63 | 1699 |