| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 79.0% | 100.0% |
| Cumulative Return | -26.12% | 42.43% |
| CAGR﹪ | -6.49% | 8.16% |
| Sharpe | -0.09 | 31.75 |
| Prob. Sharpe Ratio | 44.41% | 100.0% |
| Smart Sharpe | -0.09 | 31.51 |
| Sortino | -0.09 | - |
| Smart Sortino | -0.09 | - |
| Sortino/√2 | -0.07 | - |
| Smart Sortino/√2 | -0.06 | - |
| Omega | 0.97 | 0.97 |
| Max Drawdown | -47.86% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 37.32% | 0.44% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.14 | - |
| Skew | -12.26 | 3.01 |
| Kurtosis | 198.96 | 17.85 |
| Expected Daily | -0.05% | 0.06% |
| Expected Monthly | -0.94% | 1.11% |
| Expected Yearly | -4.92% | 6.07% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.88% | -0.01% |
| Expected Shortfall (cVaR) | -3.88% | -0.01% |
| Max Consecutive Wins | 5 | 632 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | -0.03 | - |
| Gain/Pain (1M) | -0.1 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.97 | - |
| Common Sense Ratio | 1.05 | - |
| CPC Index | - | - |
| Tail Ratio | 1.09 | 3.5 |
| Outlier Win Ratio | 3.8 | 34.91 |
| Outlier Loss Ratio | 1.45 | - |
| MTD | 0.15% | 0.39% |
| 3M | 3.29% | 3.27% |
| 6M | 7.68% | 7.27% |
| YTD | 5.78% | 5.1% |
| 1Y | 17.05% | 16.57% |
| 3Y (ann.) | -8.89% | 19.72% |
| 5Y (ann.) | -6.49% | 8.16% |
| 10Y (ann.) | -6.49% | 8.16% |
| All-time (ann.) | -6.49% | 8.16% |
| Best Day | 9.32% | 0.24% |
| Worst Day | -40.61% | 0.0% |
| Best Month | 15.63% | 1.83% |
| Worst Month | -35.03% | 0.39% |
| Best Year | 17.11% | 19.38% |
| Worst Year | -30.14% | 1.21% |
| Avg. Drawdown | -9.06% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.55 | - |
| Ulcer Index | 0.36 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 2.47% | 1.15% |
| Avg. Down Month | - | - |
| Win Days | 60.8% | 100.0% |
| Win Month | 87.5% | 100.0% |
| Win Quarter | 83.33% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -12.66 | - |
| Alpha | 1.75 | - |
| Correlation | -15.05% | - |
| Treynor Ratio | 2.06% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.21 | 1.03 | 0.85 | - |
| 2022 | 5.01 | -20.77 | -4.14 | - |
| 2023 | 1.32 | 6.65 | 5.05 | + |
| 2024 | 5.41 | -30.14 | -5.57 | - |
| 2025 | 19.38 | 17.11 | 0.88 | - |
| 2026 | 5.10 | 5.78 | 1.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2026-05-13 | -47.86 | 1538 |
| 2022-01-27 | 2022-02-24 | -5.90 | 28 |
| 2021-11-23 | 2022-01-05 | -3.92 | 43 |
| 2022-01-06 | 2022-01-24 | -3.16 | 18 |
| 2021-11-17 | 2021-11-19 | -1.91 | 2 |
| 2021-11-11 | 2021-11-12 | -0.65 | 1 |
| 2021-11-15 | 2021-11-16 | -0.04 | 1 |