| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 23.0% | 100.0% |
| Cumulative Return | -17.33% | 19.6% |
| CAGR﹪ | -3.59% | 3.5% |
| Sharpe | -0.85 | -0.04 |
| Prob. Sharpe Ratio | 0.09% | 2.69% |
| Smart Sharpe | -0.8 | -0.04 |
| Sortino | -1.16 | -0.06 |
| Smart Sortino | -1.09 | -0.06 |
| Sortino/√2 | -0.82 | -0.04 |
| Smart Sortino/√2 | -0.77 | -0.04 |
| Omega | 0.76 | 0.76 |
| Max Drawdown | -31.67% | -38.5% |
| Longest DD Days | 1638 | 1554 |
| Volatility (ann.) | 11.5% | 21.88% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.11 | 0.09 |
| Skew | 0.13 | -0.12 |
| Kurtosis | 16.14 | 0.89 |
| Expected Daily | -0.01% | 0.01% |
| Expected Monthly | -0.3% | 0.28% |
| Expected Yearly | -2.68% | 2.59% |
| Kelly Criterion | -2.56% | -2.08% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.2% | -2.24% |
| Expected Shortfall (cVaR) | -1.2% | -2.24% |
| Max Consecutive Wins | 6 | 8 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | -0.09 | 0.04 |
| Gain/Pain (1M) | -0.39 | 0.28 |
| Payoff Ratio | 0.97 | 0.9 |
| Profit Factor | 0.91 | 1.04 |
| Common Sense Ratio | 0.83 | 1.06 |
| CPC Index | 0.44 | 0.49 |
| Tail Ratio | 0.91 | 1.02 |
| Outlier Win Ratio | 20.72 | 2.8 |
| Outlier Loss Ratio | 2.63 | 2.94 |
| MTD | 0.0% | -2.76% |
| 3M | 0.0% | 3.91% |
| 6M | 0.0% | 23.24% |
| YTD | 0.0% | 2.93% |
| 1Y | 0.0% | 30.03% |
| 3Y (ann.) | 0.0% | 12.88% |
| 5Y (ann.) | -3.58% | 4.36% |
| 10Y (ann.) | -3.59% | 3.5% |
| All-time (ann.) | -3.59% | 3.5% |
| 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% | 32.4% |
| Worst Year | -16.73% | -10.91% |
| Avg. Drawdown | -7.1% | -5.26% |
| Avg. Drawdown Days | 208 | 116 |
| Recovery Factor | -0.55 | 0.51 |
| Ulcer Index | 0.26 | 0.2 |
| Serenity Index | -0.02 | 0.03 |
| Avg. Up Month | 6.04% | 5.33% |
| Avg. Down Month | -3.73% | -3.64% |
| Win Days | 49.49% | 51.65% |
| Win Month | 26.67% | 51.56% |
| Win Quarter | 16.67% | 45.45% |
| Win Year | 33.33% | 42.86% |
| Beta | 0.16 | - |
| Alpha | -0.04 | - |
| Correlation | 30.57% | - |
| Treynor Ratio | -151.46% | - |
| 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 | 32.40 | 0.00 | 0.00 | - |
| 2026 | 2.93 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-07 | 2026-03-03 | -31.67 | 1638 |
| 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 |