| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 74.0% | 100.0% |
| Cumulative Return | -14.1% | 41.61% |
| CAGR﹪ | -3.31% | 8.02% |
| Sharpe | -0.03 | 32.36 |
| Prob. Sharpe Ratio | 48.25% | 100.0% |
| Smart Sharpe | -0.03 | 31.33 |
| Sortino | -0.03 | - |
| Smart Sortino | -0.03 | - |
| Sortino/√2 | -0.02 | - |
| Smart Sortino/√2 | -0.02 | - |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -41.7% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 30.02% | 0.44% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.08 | - |
| Skew | -12.49 | 3.09 |
| Kurtosis | 195.45 | 18.37 |
| Expected Daily | -0.02% | 0.06% |
| Expected Monthly | -0.49% | 1.13% |
| Expected Yearly | -2.5% | 5.97% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.11% | -0.01% |
| Expected Shortfall (cVaR) | -3.11% | -0.01% |
| Max Consecutive Wins | 5 | 612 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | -0.01 | - |
| Gain/Pain (1M) | -0.03 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.99 | - |
| Common Sense Ratio | 1.13 | - |
| CPC Index | - | - |
| Tail Ratio | 1.14 | 3.2 |
| Outlier Win Ratio | 4.34 | 29.05 |
| Outlier Loss Ratio | 1.63 | - |
| MTD | 0.44% | 0.39% |
| 3M | 3.48% | 3.27% |
| 6M | 7.55% | 7.27% |
| YTD | 5.88% | 5.1% |
| 1Y | 16.92% | 16.57% |
| 3Y (ann.) | -5.27% | 19.72% |
| 5Y (ann.) | -3.31% | 8.02% |
| 10Y (ann.) | -3.31% | 8.02% |
| All-time (ann.) | -3.31% | 8.02% |
| Best Day | 4.75% | 0.24% |
| Worst Day | -30.6% | 0.0% |
| Best Month | 14.62% | 1.83% |
| Worst Month | -34.2% | 0.39% |
| Best Year | 17.03% | 19.38% |
| Worst Year | -25.81% | 1.21% |
| Avg. Drawdown | -7.25% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.34 | - |
| Ulcer Index | 0.31 | 0.0 |
| Serenity Index | -0.02 | - |
| Avg. Up Month | 2.52% | 1.15% |
| Avg. Down Month | - | - |
| Win Days | 62.5% | 100.0% |
| Win Month | 90.32% | 100.0% |
| Win Quarter | 83.33% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -10.88 | - |
| Alpha | 1.55 | - |
| Correlation | -16.02% | - |
| Treynor Ratio | 1.3% | - |
| 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 | 19.38 | 17.03 | 0.88 | - |
| 2026 | 5.10 | 5.88 | 1.15 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-08-11 | 2026-05-13 | -41.70 | 1371 |
| 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 |