| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 77.0% | 100.0% |
| Cumulative Return | -21.52% | 51.44% |
| CAGR﹪ | -4.74% | 8.68% |
| Sharpe | -0.02 | 33.95 |
| Prob. Sharpe Ratio | 48.65% | 100.0% |
| Smart Sharpe | -0.02 | 33.68 |
| Sortino | -0.02 | - |
| Smart Sortino | -0.02 | - |
| Sortino/√2 | -0.01 | - |
| Smart Sortino/√2 | -0.01 | - |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -47.86% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 34.17% | 0.41% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.1 | - |
| Skew | -13.38 | 3.36 |
| Kurtosis | 237.48 | 21.95 |
| Expected Daily | -0.03% | 0.05% |
| Expected Monthly | -0.64% | 1.1% |
| Expected Yearly | -3.96% | 7.16% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.54% | -0.01% |
| Expected Shortfall (cVaR) | -3.54% | -0.01% |
| Max Consecutive Wins | 5 | 755 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | -0.01 | - |
| Gain/Pain (1M) | -0.03 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.99 | - |
| Common Sense Ratio | 1.08 | - |
| CPC Index | - | - |
| Tail Ratio | 1.09 | 3.5 |
| Outlier Win Ratio | 3.79 | 30.42 |
| Outlier Loss Ratio | 1.45 | - |
| MTD | 0.14% | 0.1% |
| 3M | 3.24% | 3.39% |
| 6M | 6.38% | 6.75% |
| YTD | 12.36% | 11.75% |
| 1Y | 14.94% | 14.58% |
| 3Y (ann.) | -4.06% | 18.29% |
| 5Y (ann.) | -4.9% | 8.66% |
| 10Y (ann.) | -4.74% | 8.68% |
| All-time (ann.) | -4.74% | 8.68% |
| Best Day | 9.32% | 0.24% |
| Worst Day | -40.61% | 0.0% |
| Best Month | 15.63% | 1.83% |
| Worst Month | -35.03% | 0.1% |
| Best Year | 17.11% | 19.38% |
| Worst Year | -30.14% | 1.21% |
| Avg. Drawdown | -9.06% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.45 | - |
| Ulcer Index | 0.35 | 0.0 |
| Serenity Index | -0.02 | - |
| Avg. Up Month | 2.21% | 1.13% |
| Avg. Down Month | - | - |
| Win Days | 61.76% | 100.0% |
| Win Month | 89.47% | 100.0% |
| Win Quarter | 85.71% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -12.63 | - |
| Alpha | 1.74 | - |
| Correlation | -15.06% | - |
| Treynor Ratio | 1.7% | - |
| 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 | 11.75 | 12.36 | 1.05 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2026-11-03 | -47.86 | 1712 |
| 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 |