| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 9.95% | 28.71% |
| CAGR﹪ | 7.19% | 20.27% |
| Sharpe | 0.47 | 68.07 |
| Prob. Sharpe Ratio | 71.34% | 100.0% |
| Smart Sharpe | 0.47 | 67.77 |
| Sortino | 0.73 | - |
| Smart Sortino | 0.73 | - |
| Sortino/√2 | 0.52 | - |
| Smart Sortino/√2 | 0.52 | - |
| Omega | 1.08 | 1.08 |
| Max Drawdown | -14.0% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 17.69% | 0.27% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.51 | - |
| Skew | 0.71 | 1.74 |
| Kurtosis | 3.07 | 6.44 |
| Expected Daily | 0.03% | 0.07% |
| Expected Monthly | 0.56% | 1.5% |
| Expected Yearly | 3.21% | 8.78% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.8% | -0.04% |
| Expected Shortfall (cVaR) | -1.8% | -0.04% |
| Max Consecutive Wins | 8 | 350 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.08 | - |
| Gain/Pain (1M) | 0.56 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.08 | - |
| Common Sense Ratio | 1.25 | - |
| CPC Index | - | - |
| Tail Ratio | 1.15 | 1.6 |
| Outlier Win Ratio | 1.82 | 21.35 |
| Outlier Loss Ratio | 1.52 | - |
| MTD | 1.27% | 1.19% |
| 3M | 7.34% | 3.86% |
| 6M | -0.25% | 8.0% |
| YTD | 1.92% | 2.42% |
| 1Y | -1.73% | 18.27% |
| 3Y (ann.) | 7.19% | 20.27% |
| 5Y (ann.) | 7.19% | 20.27% |
| 10Y (ann.) | 7.19% | 20.27% |
| All-time (ann.) | 7.19% | 20.27% |
| Best Day | 6.39% | 0.14% |
| Worst Day | -2.76% | 0.0% |
| Best Month | 9.34% | 1.83% |
| Worst Month | -5.9% | 1.19% |
| Best Year | 5.74% | 19.38% |
| Worst Year | 1.92% | 2.42% |
| Avg. Drawdown | -3.82% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.71 | - |
| Ulcer Index | 0.07 | 0.0 |
| Serenity Index | 0.12 | - |
| Avg. Up Month | 2.91% | 1.49% |
| Avg. Down Month | - | - |
| Win Days | 49.12% | 100.0% |
| Win Month | 64.71% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -1.74 | - |
| Alpha | 0.4 | - |
| Correlation | -2.62% | - |
| Treynor Ratio | -5.72% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 5.26 | 5.74 | 1.09 | + |
| 2025 | 19.38 | 2.02 | 0.10 | - |
| 2026 | 2.42 | 1.92 | 0.79 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-18 | 2026-02-27 | -14.00 | 374 |
| 2024-11-12 | 2024-12-26 | -9.88 | 44 |
| 2024-10-17 | 2024-11-11 | -4.63 | 25 |
| 2025-01-03 | 2025-01-10 | -2.11 | 7 |
| 2025-01-23 | 2025-01-29 | -1.27 | 6 |
| 2025-01-31 | 2025-02-13 | -1.13 | 13 |
| 2024-12-27 | 2024-12-28 | -1.02 | 1 |
| 2025-01-14 | 2025-01-16 | -0.30 | 2 |
| 2025-01-17 | 2025-01-20 | -0.01 | 3 |