| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 81.0% | 100.0% |
| Cumulative Return | -29.37% | 37.22% |
| CAGR﹪ | -7.93% | 7.81% |
| Sharpe | -0.14 | 29.81 |
| Prob. Sharpe Ratio | 41.15% | 100.0% |
| Smart Sharpe | -0.14 | 29.6 |
| Sortino | -0.15 | - |
| Smart Sortino | -0.15 | - |
| Sortino/√2 | -0.11 | - |
| Smart Sortino/√2 | -0.11 | - |
| Omega | 0.95 | 0.95 |
| Max Drawdown | -47.86% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 39.74% | 0.48% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.17 | - |
| Skew | -11.52 | 2.68 |
| Kurtosis | 175.31 | 14.13 |
| Expected Daily | -0.06% | 0.06% |
| Expected Monthly | -1.23% | 1.14% |
| Expected Yearly | -5.63% | 5.41% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.14% | -0.01% |
| Expected Shortfall (cVaR) | -4.14% | -0.01% |
| Max Consecutive Wins | 5 | 557 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | -0.05 | - |
| Gain/Pain (1M) | -0.16 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.95 | - |
| Common Sense Ratio | 0.94 | - |
| CPC Index | - | - |
| Tail Ratio | 0.99 | 3.59 |
| Outlier Win Ratio | 3.71 | 37.32 |
| Outlier Loss Ratio | 1.36 | - |
| MTD | 1.12% | 1.26% |
| 3M | 4.3% | 4.29% |
| 6M | 8.25% | 8.42% |
| YTD | 1.12% | 1.26% |
| 1Y | 17.98% | 19.5% |
| 3Y (ann.) | -7.06% | 8.68% |
| 5Y (ann.) | -7.93% | 7.81% |
| 10Y (ann.) | -7.93% | 7.81% |
| All-time (ann.) | -7.93% | 7.81% |
| Best Day | 9.32% | 0.24% |
| Worst Day | -40.61% | 0.0% |
| Best Month | 15.63% | 1.83% |
| Worst Month | -35.03% | 0.55% |
| Best Year | 17.11% | 19.38% |
| Worst Year | -30.14% | 1.21% |
| Avg. Drawdown | -9.06% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.61 | - |
| Ulcer Index | 0.37 | 0.0 |
| Serenity Index | -0.04 | - |
| Avg. Up Month | 2.69% | 1.19% |
| Avg. Down Month | - | - |
| Win Days | 60.36% | 100.0% |
| Win Month | 85.71% | 100.0% |
| Win Quarter | 81.82% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -12.22 | - |
| Alpha | 1.69 | - |
| Correlation | -14.74% | - |
| Treynor Ratio | 2.4% | - |
| 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 | 1.26 | 1.12 | 0.89 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2026-01-23 | -47.86 | 1428 |
| 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 |