| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 74.0% | 100.0% |
| Cumulative Return | -14.61% | 20.15% |
| CAGR﹪ | -3.48% | 4.21% |
| Sharpe | -0.04 | 18.69 |
| Prob. Sharpe Ratio | 47.74% | 100.0% |
| Smart Sharpe | -0.04 | 18.1 |
| Sortino | -0.04 | 74.09 |
| Smart Sortino | -0.04 | 71.75 |
| Sortino/√2 | -0.03 | 52.39 |
| Smart Sortino/√2 | -0.03 | 50.73 |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -41.7% | -0.52% |
| Longest DD Days | 1352 | 105 |
| Volatility (ann.) | 30.32% | 0.41% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.08 | 8.09 |
| Skew | -12.37 | 0.28 |
| Kurtosis | 191.6 | 0.92 |
| Expected Daily | -0.03% | 0.03% |
| Expected Monthly | -0.52% | 0.61% |
| Expected Yearly | -2.6% | 3.11% |
| Kelly Criterion | -108.12% | 88.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.15% | -0.01% |
| Expected Shortfall (cVaR) | -3.15% | -0.01% |
| Max Consecutive Wins | 5 | 326 |
| Max Consecutive Losses | 6 | 21 |
| Gain/Pain Ratio | -0.02 | 19.92 |
| Gain/Pain (1M) | -0.04 | 19.92 |
| Payoff Ratio | 0.22 | 1.12 |
| Profit Factor | 0.98 | 20.92 |
| Common Sense Ratio | 1.12 | 74.14 |
| CPC Index | 0.14 | 22.03 |
| Tail Ratio | 1.14 | 3.54 |
| Outlier Win Ratio | 4.13 | 46.91 |
| Outlier Loss Ratio | 1.7 | 67.81 |
| MTD | 0.59% | 0.49% |
| 3M | 3.98% | 2.22% |
| 6M | 8.28% | 4.38% |
| YTD | 5.26% | 3.48% |
| 1Y | 17.24% | 6.06% |
| 3Y (ann.) | -5.82% | 8.57% |
| 5Y (ann.) | -3.48% | 4.21% |
| 10Y (ann.) | -3.48% | 4.21% |
| All-time (ann.) | -3.48% | 4.21% |
| Best Day | 4.75% | 0.11% |
| Worst Day | -30.6% | -0.03% |
| Best Month | 14.62% | 1.62% |
| Worst Month | -34.2% | -0.52% |
| Best Year | 17.03% | 5.6% |
| Worst Year | -25.81% | 1.3% |
| Avg. Drawdown | -7.25% | -0.46% |
| Avg. Drawdown Days | 180 | 84 |
| Recovery Factor | -0.35 | 38.76 |
| Ulcer Index | 0.31 | 0.0 |
| Serenity Index | -0.02 | 12.84 |
| Avg. Up Month | 2.65% | 0.71% |
| Avg. Down Month | -34.2% | -0.52% |
| Win Days | 62.3% | 94.0% |
| Win Month | 90.0% | 93.33% |
| Win Quarter | 83.33% | 91.67% |
| Win Year | 66.67% | 100.0% |
| Beta | 1.65 | - |
| Alpha | -0.14 | - |
| Correlation | 2.24% | - |
| Treynor Ratio | -8.86% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | 5.60 | 3.24 | + |
| 2022 | 3.05 | -17.47 | -5.73 | - |
| 2023 | 1.30 | 7.20 | 5.53 | + |
| 2024 | 3.54 | -25.81 | -7.29 | - |
| 2025 | 5.60 | 17.03 | 3.04 | + |
| 2026 | 3.48 | 5.26 | 1.51 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-08-11 | 2026-04-24 | -41.70 | 1352 |
| 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 |