| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 80.0% | 100.0% |
| Cumulative Return | -24.27% | 25.4% |
| CAGR﹪ | -7.3% | 6.36% |
| Sharpe | -0.25 | 26.13 |
| Prob. Sharpe Ratio | 36.71% | 100.0% |
| Smart Sharpe | -0.24 | 25.31 |
| Sortino | -0.26 | - |
| Smart Sortino | -0.26 | - |
| Sortino/√2 | -0.19 | - |
| Smart Sortino/√2 | -0.18 | - |
| Omega | 0.91 | 0.91 |
| Max Drawdown | -41.7% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 37.04% | 0.54% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.18 | - |
| Skew | -10.13 | 2.59 |
| Kurtosis | 127.81 | 11.53 |
| Expected Daily | -0.07% | 0.06% |
| Expected Monthly | -1.32% | 1.08% |
| Expected Yearly | -5.41% | 4.63% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.87% | -0.0% |
| Expected Shortfall (cVaR) | -3.87% | -0.0% |
| Max Consecutive Wins | 4 | 401 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | -0.09 | - |
| Gain/Pain (1M) | -0.2 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.91 | - |
| Common Sense Ratio | 1.02 | - |
| CPC Index | - | - |
| Tail Ratio | 1.12 | 3.58 |
| Outlier Win Ratio | 3.04 | 30.35 |
| Outlier Loss Ratio | 1.42 | - |
| MTD | 0.5% | 0.61% |
| 3M | 4.87% | 4.96% |
| 6M | 8.84% | 10.72% |
| YTD | 9.24% | 11.11% |
| 1Y | -18.95% | 17.12% |
| 3Y (ann.) | -12.97% | 7.13% |
| 5Y (ann.) | -7.3% | 6.36% |
| 10Y (ann.) | -7.3% | 6.36% |
| All-time (ann.) | -7.3% | 6.36% |
| Best Day | 4.75% | 0.24% |
| Worst Day | -30.6% | 0.0% |
| Best Month | 14.62% | 1.83% |
| Worst Month | -34.2% | 0.55% |
| Best Year | 9.24% | 11.11% |
| Worst Year | -25.81% | 1.21% |
| Avg. Drawdown | -7.25% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.58 | - |
| Ulcer Index | 0.31 | 0.0 |
| Serenity Index | -0.04 | - |
| Avg. Up Month | 3.22% | 1.11% |
| Avg. Down Month | - | - |
| Win Days | 58.13% | 100.0% |
| Win Month | 85.71% | 100.0% |
| Win Quarter | 77.78% | 100.0% |
| Win Year | 60.0% | 100.0% |
| Beta | -11.07 | - |
| Alpha | 1.48 | - |
| Correlation | -16.23% | - |
| Treynor Ratio | 2.19% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.21 | 5.60 | 4.63 | + |
| 2022 | 4.41 | -17.47 | -3.96 | - |
| 2023 | 1.32 | 7.20 | 5.47 | + |
| 2024 | 5.41 | -25.81 | -4.77 | - |
| 2025 | 11.11 | 9.24 | 0.83 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-08-11 | 2025-07-10 | -41.70 | 1064 |
| 2022-01-27 | 2022-02-21 | -5.92 | 25 |
| 2021-11-29 | 2022-01-05 | -3.22 | 37 |
| 2022-01-06 | 2022-01-24 | -2.96 | 18 |
| 2021-11-23 | 2021-11-26 | -1.38 | 3 |
| 2021-11-17 | 2021-11-19 | -1.35 | 2 |
| 2022-02-22 | 2022-02-25 | -1.15 | 3 |
| 2022-01-25 | 2022-01-26 | -0.29 | 1 |