| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 26.0% | 99.0% |
| Cumulative Return | -22.09% | 85.36% |
| CAGR﹪ | -5.93% | 16.31% |
| Sharpe | -0.49 | 0.41 |
| Prob. Sharpe Ratio | 0.45% | 14.34% |
| Smart Sharpe | -0.48 | 0.4 |
| Sortino | -0.66 | 0.59 |
| Smart Sortino | -0.65 | 0.58 |
| Sortino/√2 | -0.47 | 0.42 |
| Smart Sortino/√2 | -0.46 | 0.41 |
| Omega | 0.86 | 0.86 |
| Max Drawdown | -46.13% | -46.47% |
| Longest DD Days | 1445 | 716 |
| Volatility (ann.) | 21.57% | 37.23% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.13 | 0.35 |
| Skew | -0.95 | 0.28 |
| Kurtosis | 20.49 | 4.67 |
| Expected Daily | -0.02% | 0.06% |
| Expected Monthly | -0.5% | 1.24% |
| Expected Yearly | -4.87% | 13.14% |
| Kelly Criterion | 0.13% | 5.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.25% | -3.77% |
| Expected Shortfall (cVaR) | -2.25% | -3.77% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | -0.05 | 0.11 |
| Gain/Pain (1M) | -0.25 | 0.67 |
| Payoff Ratio | 1.07 | 1.02 |
| Profit Factor | 0.95 | 1.11 |
| Common Sense Ratio | 0.8 | 1.1 |
| CPC Index | 0.49 | 0.59 |
| Tail Ratio | 0.85 | 0.99 |
| Outlier Win Ratio | 17.47 | 2.97 |
| Outlier Loss Ratio | 2.53 | 2.98 |
| MTD | 0.0% | 0.12% |
| 3M | 0.0% | 17.32% |
| 6M | 0.0% | 34.42% |
| YTD | 0.0% | 41.24% |
| 1Y | 0.0% | 39.89% |
| 3Y (ann.) | 2.95% | 37.88% |
| 5Y (ann.) | -5.93% | 16.31% |
| 10Y (ann.) | -5.93% | 16.31% |
| All-time (ann.) | -5.93% | 16.31% |
| Best Day | 7.64% | 18.73% |
| Worst Day | -15.16% | -9.88% |
| Best Month | 12.75% | 18.55% |
| Worst Month | -16.0% | -17.51% |
| Best Year | 15.69% | 64.9% |
| Worst Year | -35.39% | -35.83% |
| Avg. Drawdown | -17.36% | -6.22% |
| Avg. Drawdown Days | 493 | 49 |
| Recovery Factor | -0.48 | 1.84 |
| Ulcer Index | 0.27 | 0.2 |
| Serenity Index | -0.04 | 0.27 |
| Avg. Up Month | 6.36% | 8.37% |
| Avg. Down Month | -9.13% | -10.8% |
| Win Days | 48.28% | 52.44% |
| Win Month | 50.0% | 58.0% |
| Win Quarter | 50.0% | 58.82% |
| Win Year | 66.67% | 80.0% |
| Beta | 0.19 | - |
| Alpha | -0.08 | - |
| Correlation | 32.5% | - |
| Treynor Ratio | -154.52% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.00 | 4.23 | 1.06 | + |
| 2022 | -35.83 | -35.39 | 0.99 | + |
| 2023 | 64.90 | 15.69 | 0.24 | - |
| 2024 | 19.27 | 0.00 | 0.00 | - |
| 2025 | 41.24 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-28 | 2025-12-12 | -46.13 | 1445 |
| 2021-11-23 | 2021-12-27 | -5.86 | 34 |
| 2021-11-16 | 2021-11-17 | -0.10 | 1 |