| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 73.0% | 50.0% |
| Cumulative Return | -14.09% | -100.0% |
| CAGR﹪ | -3.18% | -100.0% |
| Sharpe | -0.03 | -0.79 |
| Prob. Sharpe Ratio | 48.24% | 1.57% |
| Smart Sharpe | -0.03 | -0.76 |
| Sortino | -0.03 | -0.79 |
| Smart Sortino | -0.03 | -0.77 |
| Sortino/√2 | -0.02 | -0.56 |
| Smart Sortino/√2 | -0.02 | -0.54 |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -41.7% | -100.0% |
| Longest DD Days | 1446 | 1613 |
| Volatility (ann.) | 29.0% | 90.23% |
| R^2 | 0.32 | 0.32 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | -0.08 | -1.0 |
| Skew | -12.96 | -16.68 |
| Kurtosis | 209.95 | 289.6 |
| Expected Daily | -0.02% | -100.0% |
| Expected Monthly | -0.46% | -100.0% |
| Expected Yearly | -2.5% | -100.0% |
| Kelly Criterion | 1.1% | -63.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.01% | -9.63% |
| Expected Shortfall (cVaR) | -3.01% | -9.63% |
| Max Consecutive Wins | 5 | 9 |
| Max Consecutive Losses | 6 | 11 |
| Gain/Pain Ratio | -0.01 | -0.54 |
| Gain/Pain (1M) | -0.03 | -0.76 |
| Payoff Ratio | 0.6 | 0.42 |
| Profit Factor | 0.99 | 0.46 |
| Common Sense Ratio | 1.12 | 0.51 |
| CPC Index | 0.37 | 0.1 |
| Tail Ratio | 1.13 | 1.11 |
| Outlier Win Ratio | 8.23 | 9.31 |
| Outlier Loss Ratio | 3.01 | 1.33 |
| MTD | 1.0% | -1.05% |
| 3M | 3.53% | -100.0% |
| 6M | 7.32% | -100.0% |
| YTD | 8.98% | -100.0% |
| 1Y | 15.98% | -100.0% |
| 3Y (ann.) | -3.09% | -100.0% |
| 5Y (ann.) | -3.18% | -100.0% |
| 10Y (ann.) | -3.18% | -100.0% |
| All-time (ann.) | -3.18% | -100.0% |
| Best Day | 4.75% | 8.19% |
| Worst Day | -30.6% | -100.0% |
| Best Month | 14.62% | 14.61% |
| Worst Month | -34.2% | -100.0% |
| Best Year | 17.03% | 8.91% |
| Worst Year | -25.81% | -100.0% |
| Avg. Drawdown | -7.25% | -10.63% |
| Avg. Drawdown Days | 192 | 154 |
| Recovery Factor | -0.34 | -1.0 |
| Ulcer Index | 0.3 | 0.83 |
| Serenity Index | -0.02 | -0.05 |
| Avg. Up Month | 4.14% | 5.95% |
| Avg. Down Month | -23.53% | -43.46% |
| Win Days | 63.03% | 52.01% |
| Win Month | 90.91% | 55.56% |
| Win Quarter | 84.62% | 55.56% |
| Win Year | 66.67% | 40.0% |
| Beta | 0.18 | - |
| Alpha | 0.12 | - |
| Correlation | 56.78% | - |
| Treynor Ratio | -77.24% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.46 | 2.61 | 1.06 | + |
| 2022 | -6.40 | -17.47 | 2.73 | - |
| 2023 | 8.91 | 7.20 | 0.81 | - |
| 2024 | -100.00 | -25.81 | 0.26 | + |
| 2025 | 0.00 | 17.03 | inf | + |
| 2026 | -100.00 | 8.98 | -0.09 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-08-11 | 2026-07-27 | -41.70 | 1446 |
| 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 |