| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 83.0% | 100.0% |
| Cumulative Return | -32.96% | 30.42% |
| CAGR﹪ | -9.84% | 7.12% |
| Sharpe | -0.22 | 27.32 |
| Prob. Sharpe Ratio | 37.28% | 100.0% |
| Smart Sharpe | -0.22 | 27.13 |
| Sortino | -0.24 | - |
| Smart Sortino | -0.24 | - |
| Sortino/√2 | -0.17 | - |
| Smart Sortino/√2 | -0.17 | - |
| Omega | 0.92 | 0.92 |
| Max Drawdown | -47.86% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 43.19% | 0.52% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.21 | - |
| Skew | -10.61 | 2.52 |
| Kurtosis | 148.26 | 11.86 |
| Expected Daily | -0.08% | 0.06% |
| Expected Monthly | -1.65% | 1.11% |
| Expected Yearly | -7.69% | 5.46% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.51% | -0.0% |
| Expected Shortfall (cVaR) | -4.51% | -0.0% |
| Max Consecutive Wins | 5 | 471 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | -0.08 | - |
| Gain/Pain (1M) | -0.23 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.92 | - |
| Common Sense Ratio | 0.98 | - |
| CPC Index | - | - |
| Tail Ratio | 1.06 | 3.59 |
| Outlier Win Ratio | 3.4 | 39.64 |
| Outlier Loss Ratio | 1.25 | - |
| MTD | 0.84% | 1.3% |
| 3M | 4.36% | 4.75% |
| 6M | 8.93% | 9.98% |
| YTD | 12.41% | 14.9% |
| 1Y | -21.47% | 21.12% |
| 3Y (ann.) | 1.3% | 7.83% |
| 5Y (ann.) | -9.84% | 7.12% |
| 10Y (ann.) | -9.84% | 7.12% |
| All-time (ann.) | -9.84% | 7.12% |
| 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 | 12.41% | 14.9% |
| Worst Year | -30.14% | 1.21% |
| Avg. Drawdown | -9.06% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.69 | - |
| Ulcer Index | 0.37 | 0.0 |
| Serenity Index | -0.04 | - |
| Avg. Up Month | 2.97% | 1.17% |
| Avg. Down Month | - | - |
| Win Days | 59.74% | 100.0% |
| Win Month | 83.33% | 100.0% |
| Win Quarter | 77.78% | 100.0% |
| Win Year | 60.0% | 100.0% |
| Beta | -12.39 | - |
| Alpha | 1.66 | - |
| Correlation | -14.89% | - |
| Treynor Ratio | 2.66% | - |
| 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 | 14.90 | 12.41 | 0.83 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2025-09-18 | -47.86 | 1301 |
| 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 |