| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 80.0% | 100.0% |
| Cumulative Return | -26.68% | 41.9% |
| CAGR﹪ | -6.73% | 8.18% |
| Sharpe | -0.1 | 31.73 |
| Prob. Sharpe Ratio | 43.86% | 100.0% |
| Smart Sharpe | -0.09 | 31.49 |
| Sortino | -0.1 | - |
| Smart Sortino | -0.1 | - |
| Sortino/√2 | -0.07 | - |
| Smart Sortino/√2 | -0.07 | - |
| Omega | 0.96 | 0.96 |
| Max Drawdown | -47.86% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 37.74% | 0.45% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.14 | - |
| Skew | -12.13 | 2.9 |
| Kurtosis | 194.52 | 17.01 |
| Expected Daily | -0.05% | 0.06% |
| Expected Monthly | -1.0% | 1.14% |
| Expected Yearly | -5.04% | 6.01% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.92% | -0.01% |
| Expected Shortfall (cVaR) | -3.92% | -0.01% |
| Max Consecutive Wins | 5 | 618 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | -0.04 | - |
| Gain/Pain (1M) | -0.11 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.96 | - |
| Common Sense Ratio | 1.06 | - |
| CPC Index | - | - |
| Tail Ratio | 1.11 | 3.5 |
| Outlier Win Ratio | 3.78 | 35.38 |
| Outlier Loss Ratio | 1.46 | - |
| MTD | 0.15% | 1.12% |
| 3M | 3.81% | 3.9% |
| 6M | 8.46% | 7.9% |
| YTD | 4.98% | 4.71% |
| 1Y | 16.79% | 17.39% |
| 3Y (ann.) | -9.67% | 20.26% |
| 5Y (ann.) | -6.73% | 8.18% |
| 10Y (ann.) | -6.73% | 8.18% |
| All-time (ann.) | -6.73% | 8.18% |
| 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 | -0.56 | - |
| Ulcer Index | 0.36 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 2.53% | 1.18% |
| Avg. Down Month | - | - |
| Win Days | 60.32% | 100.0% |
| Win Month | 87.1% | 100.0% |
| Win Quarter | 83.33% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -12.6 | - |
| Alpha | 1.76 | - |
| Correlation | -15.0% | - |
| Treynor Ratio | 2.12% | - |
| 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 | 4.71 | 4.98 | 1.06 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2026-04-22 | -47.86 | 1517 |
| 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 |