| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | -39.46% | 15.85% |
| CAGR﹪ | -14.33% | 4.64% |
| Sharpe | -0.43 | 20.49 |
| Prob. Sharpe Ratio | 29.6% | 100.0% |
| Smart Sharpe | -0.43 | 20.36 |
| Sortino | -0.46 | - |
| Smart Sortino | -0.46 | - |
| Sortino/√2 | -0.33 | - |
| Smart Sortino/√2 | -0.33 | - |
| Omega | 0.87 | 0.87 |
| Max Drawdown | -47.86% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 53.38% | 0.59% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.3 | - |
| Skew | -8.59 | 3.28 |
| Kurtosis | 96.53 | 13.63 |
| Expected Daily | -0.16% | 0.05% |
| Expected Monthly | -2.91% | 0.87% |
| Expected Yearly | -9.55% | 2.99% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.62% | -0.01% |
| Expected Shortfall (cVaR) | -5.62% | -0.01% |
| Max Consecutive Wins | 5 | 307 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | -0.13 | - |
| Gain/Pain (1M) | -0.36 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.87 | - |
| Common Sense Ratio | 0.83 | - |
| CPC Index | - | - |
| Tail Ratio | 0.96 | 3.59 |
| Outlier Win Ratio | 2.33 | 49.14 |
| Outlier Loss Ratio | 1.11 | - |
| MTD | -0.0% | 0.27% |
| 3M | 6.09% | 5.63% |
| 6M | -29.09% | 7.58% |
| YTD | 1.5% | 2.06% |
| 1Y | -29.09% | 7.58% |
| 3Y (ann.) | -20.07% | 4.85% |
| 5Y (ann.) | -14.33% | 4.64% |
| 10Y (ann.) | -14.33% | 4.64% |
| All-time (ann.) | -14.33% | 4.64% |
| Best Day | 9.32% | 0.24% |
| Worst Day | -40.61% | 0.0% |
| Best Month | 15.63% | 1.83% |
| Worst Month | -35.03% | 0.27% |
| Best Year | 6.65% | 5.41% |
| Worst Year | -30.14% | 1.21% |
| Avg. Drawdown | -9.06% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.82 | - |
| Ulcer Index | 0.34 | 0.0 |
| Serenity Index | -0.07 | - |
| Avg. Up Month | 4.09% | 0.93% |
| Avg. Down Month | - | - |
| Win Days | 56.99% | 100.0% |
| Win Month | 70.59% | 100.0% |
| Win Quarter | 71.43% | 100.0% |
| Win Year | 60.0% | 100.0% |
| Beta | -15.79 | - |
| Alpha | 1.67 | - |
| Correlation | -17.38% | - |
| Treynor Ratio | 2.5% | - |
| 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 | 2.06 | 1.50 | 0.73 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2025-02-05 | -47.86 | 1076 |
| 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 |