| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 84.0% | 100.0% |
| Cumulative Return | 61.81% | 7.32% |
| CAGR﹪ | 10.79% | 1.52% |
| Sharpe | -17.23 | -6.84 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -13.59 | -5.4 |
| Sortino | -12.37 | -6.98 |
| Smart Sortino | -9.76 | -5.51 |
| Sortino/√2 | -8.75 | -4.94 |
| Smart Sortino/√2 | -6.9 | -3.9 |
| Omega | 0.03 | 0.03 |
| Max Drawdown | -22.71% | -53.53% |
| Longest DD Days | 362 | 1215 |
| Volatility (ann.) | 11.48% | 29.62% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.48 | 0.03 |
| Skew | -5.56 | -4.02 |
| Kurtosis | 288.42 | 100.1 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.85% | 0.12% |
| Expected Yearly | 8.35% | 1.19% |
| Kelly Criterion | 13.23% | -10.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.15% | -3.04% |
| Expected Shortfall (cVaR) | -1.15% | -3.04% |
| Max Consecutive Wins | 13 | 9 |
| Max Consecutive Losses | 9 | 14 |
| Gain/Pain Ratio | 0.37 | 0.05 |
| Gain/Pain (1M) | 2.07 | 0.21 |
| Payoff Ratio | 0.9 | 0.71 |
| Profit Factor | 1.37 | 1.05 |
| Common Sense Ratio | 1.75 | 1.0 |
| CPC Index | 0.73 | 0.4 |
| Tail Ratio | 1.28 | 0.95 |
| Outlier Win Ratio | 10.29 | 2.57 |
| Outlier Loss Ratio | 7.28 | 2.26 |
| MTD | 2.02% | 0.85% |
| 3M | 5.74% | 5.75% |
| 6M | 9.91% | 6.92% |
| YTD | 4.52% | 3.74% |
| 1Y | 26.37% | -3.16% |
| 3Y (ann.) | 14.65% | 11.22% |
| 5Y (ann.) | 10.79% | 1.52% |
| 10Y (ann.) | 10.79% | 1.52% |
| All-time (ann.) | 10.79% | 1.52% |
| 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 | -0.83% | -6.32% |
| Avg. Drawdown Days | 14 | 120 |
| Recovery Factor | 2.72 | 0.14 |
| Ulcer Index | 0.03 | 0.25 |
| Serenity Index | -31.12 | -1.19 |
| Avg. Up Month | 1.67% | 4.77% |
| Avg. Down Month | -2.67% | -10.92% |
| Win Days | 58.85% | 53.95% |
| Win Month | 73.68% | 61.4% |
| Win Quarter | 84.21% | 57.89% |
| Win Year | 83.33% | 83.33% |
| Beta | 0.23 | - |
| Alpha | 0.1 | - |
| Correlation | 60.2% | - |
| Treynor Ratio | -2736.12% | - |
| 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 | 3.74 | 4.52 | 1.21 | + |
| 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 |
| 2023-06-20 | 2023-07-31 | -1.25 | 41 |
| 2023-02-13 | 2023-02-24 | -1.11 | 11 |
| 2025-05-05 | 2025-05-06 | -1.07 | 1 |