| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 25.0% | 99.0% |
| Cumulative Return | -17.33% | 3.43% |
| CAGR﹪ | -3.88% | 0.7% |
| Sharpe | -0.84 | -0.16 |
| Prob. Sharpe Ratio | 0.12% | 1.66% |
| Smart Sharpe | -0.78 | -0.15 |
| Sortino | -1.14 | -0.23 |
| Smart Sortino | -1.07 | -0.21 |
| Sortino/√2 | -0.81 | -0.16 |
| Smart Sortino/√2 | -0.76 | -0.15 |
| Omega | 0.77 | 0.77 |
| Max Drawdown | -31.67% | -38.5% |
| Longest DD Days | 1497 | 1525 |
| Volatility (ann.) | 11.94% | 22.11% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.12 | 0.02 |
| Skew | 0.13 | -0.13 |
| Kurtosis | 14.75 | 0.9 |
| Expected Daily | -0.02% | 0.0% |
| Expected Monthly | -0.32% | 0.06% |
| Expected Yearly | -3.12% | 0.56% |
| Kelly Criterion | -2.56% | -2.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -2.28% |
| Expected Shortfall (cVaR) | -1.25% | -2.28% |
| Max Consecutive Wins | 6 | 8 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | -0.09 | 0.02 |
| Gain/Pain (1M) | -0.39 | 0.15 |
| Payoff Ratio | 0.97 | 0.9 |
| Profit Factor | 0.91 | 1.02 |
| Common Sense Ratio | 0.79 | 1.03 |
| CPC Index | 0.44 | 0.47 |
| Tail Ratio | 0.86 | 1.01 |
| Outlier Win Ratio | 19.81 | 2.91 |
| Outlier Loss Ratio | 2.69 | 2.96 |
| MTD | 0.0% | 4.11% |
| 3M | 0.0% | 15.11% |
| 6M | 0.0% | 29.94% |
| YTD | 0.0% | 17.86% |
| 1Y | 0.0% | 6.42% |
| 3Y (ann.) | 0.0% | 6.32% |
| 5Y (ann.) | -3.88% | 0.7% |
| 10Y (ann.) | -3.88% | 0.7% |
| All-time (ann.) | -3.88% | 0.7% |
| Best Day | 6.41% | 5.27% |
| Worst Day | -4.87% | -6.04% |
| Best Month | 8.78% | 12.82% |
| Worst Month | -12.55% | -11.87% |
| Best Year | 0.2% | 17.86% |
| Worst Year | -16.73% | -10.91% |
| Avg. Drawdown | -7.1% | -8.03% |
| Avg. Drawdown Days | 192 | 218 |
| Recovery Factor | -0.55 | 0.09 |
| Ulcer Index | 0.25 | 0.21 |
| Serenity Index | -0.02 | -0.01 |
| Avg. Up Month | 6.04% | 5.33% |
| Avg. Down Month | -3.73% | -3.64% |
| Win Days | 49.49% | 51.45% |
| Win Month | 26.67% | 50.85% |
| Win Quarter | 16.67% | 42.86% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.17 | - |
| Alpha | -0.04 | - |
| Correlation | 31.4% | - |
| Treynor Ratio | -143.49% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | -3.11 | -0.91 | 0.29 | + |
| 2021 | -0.63 | 0.20 | -0.32 | + |
| 2022 | -10.91 | -16.73 | 1.53 | - |
| 2023 | 3.74 | 0.00 | 0.00 | - |
| 2024 | -1.37 | 0.00 | -0.00 | + |
| 2025 | 17.86 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-07 | 2025-10-13 | -31.67 | 1497 |
| 2021-02-10 | 2021-08-05 | -16.59 | 176 |
| 2021-08-10 | 2021-09-02 | -5.25 | 23 |
| 2020-12-25 | 2021-01-08 | -4.20 | 14 |
| 2021-01-27 | 2021-02-08 | -3.36 | 12 |
| 2021-01-21 | 2021-01-25 | -1.41 | 4 |
| 2021-08-06 | 2021-08-09 | -0.63 | 3 |
| 2021-01-11 | 2021-01-12 | -0.49 | 1 |
| 2020-12-23 | 2020-12-24 | -0.30 | 1 |