| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 84.0% | 100.0% |
| Cumulative Return | 65.4% | -13.31% |
| CAGR﹪ | 10.72% | -2.85% |
| Sharpe | -17.63 | -7.1 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -13.91 | -5.6 |
| Sortino | -12.48 | -7.18 |
| Smart Sortino | -9.84 | -5.67 |
| Sortino/√2 | -8.82 | -5.08 |
| Smart Sortino/√2 | -6.96 | -4.01 |
| Omega | 0.03 | 0.03 |
| Max Drawdown | -22.71% | -53.53% |
| Longest DD Days | 362 | 1215 |
| Volatility (ann.) | 11.22% | 29.18% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.47 | -0.05 |
| Skew | -5.65 | -3.98 |
| Kurtosis | 299.74 | 100.84 |
| Expected Daily | 0.04% | -0.01% |
| Expected Monthly | 0.84% | -0.24% |
| Expected Yearly | 8.75% | -2.35% |
| Kelly Criterion | 13.82% | -13.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.12% | -3.02% |
| Expected Shortfall (cVaR) | -1.12% | -3.02% |
| Max Consecutive Wins | 13 | 9 |
| Max Consecutive Losses | 9 | 14 |
| Gain/Pain Ratio | 0.37 | 0.01 |
| Gain/Pain (1M) | 2.12 | 0.05 |
| Payoff Ratio | 0.9 | 0.7 |
| Profit Factor | 1.37 | 1.01 |
| Common Sense Ratio | 1.74 | 0.96 |
| CPC Index | 0.73 | 0.38 |
| Tail Ratio | 1.27 | 0.95 |
| Outlier Win Ratio | 10.32 | 2.55 |
| Outlier Loss Ratio | 7.31 | 2.27 |
| MTD | -0.48% | -12.43% |
| 3M | 2.6% | -19.53% |
| 6M | 8.52% | -14.93% |
| YTD | 6.84% | -16.2% |
| 1Y | 21.76% | -12.33% |
| 3Y (ann.) | 14.75% | -1.82% |
| 5Y (ann.) | 10.77% | -2.72% |
| 10Y (ann.) | 10.72% | -2.85% |
| All-time (ann.) | 10.72% | -2.85% |
| Best Day | 12.33% | 20.04% |
| Worst Day | -16.17% | -33.28% |
| Best Month | 6.64% | 15.56% |
| Worst Month | -10.09% | -30.02% |
| Best Year | 29.17% | 53.84% |
| Worst Year | -0.48% | -37.26% |
| Avg. Drawdown | -0.8% | -6.67% |
| Avg. Drawdown Days | 13 | 126 |
| Recovery Factor | 2.88 | -0.25 |
| Ulcer Index | 0.03 | 0.24 |
| Serenity Index | -31.83 | -1.25 |
| Avg. Up Month | 1.66% | 4.92% |
| Avg. Down Month | -2.43% | -11.09% |
| Win Days | 59.1% | 53.26% |
| Win Month | 73.33% | 56.67% |
| Win Quarter | 85.0% | 55.0% |
| Win Year | 83.33% | 66.67% |
| Beta | 0.23 | - |
| Alpha | 0.11 | - |
| Correlation | 59.88% | - |
| Treynor Ratio | -2755.73% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.45 | -0.48 | -0.20 | - |
| 2022 | -37.26 | 6.14 | -0.16 | + |
| 2023 | 53.84 | 7.60 | 0.14 | - |
| 2024 | 1.64 | 5.45 | 3.33 | + |
| 2025 | 2.94 | 29.17 | 9.93 | + |
| 2026 | -16.20 | 6.84 | -0.42 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-10 | 2022-09-07 | -22.71 | 362 |
| 2022-09-19 | 2022-11-07 | -6.71 | 49 |
| 2024-08-22 | 2024-12-27 | -6.41 | 127 |
| 2023-08-04 | 2023-12-25 | -2.84 | 143 |
| 2024-05-07 | 2024-08-08 | -2.22 | 93 |
| 2025-03-26 | 2025-04-17 | -2.18 | 22 |
| 2025-09-12 | 2025-10-20 | -1.87 | 38 |
| 2026-06-18 | 2026-06-24 | -1.43 | 6 |
| 2023-06-20 | 2023-07-31 | -1.25 | 41 |
| 2023-02-13 | 2023-02-24 | -1.11 | 11 |