| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 2.07% | 24.08% |
| CAGR﹪ | 1.85% | 21.29% |
| Sharpe | 0.19 | 66.08 |
| Prob. Sharpe Ratio | 58.01% | 100.0% |
| Smart Sharpe | 0.19 | 65.88 |
| Sortino | 0.29 | - |
| Smart Sortino | 0.29 | - |
| Sortino/√2 | 0.2 | - |
| Smart Sortino/√2 | 0.2 | - |
| Omega | 1.03 | 1.03 |
| Max Drawdown | -14.0% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 18.8% | 0.28% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.13 | - |
| Skew | 0.75 | 1.53 |
| Kurtosis | 2.69 | 5.46 |
| Expected Daily | 0.01% | 0.07% |
| Expected Monthly | 0.15% | 1.55% |
| Expected Yearly | 1.03% | 11.39% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.93% | -0.04% |
| Expected Shortfall (cVaR) | -1.93% | -0.04% |
| Max Consecutive Wins | 8 | 292 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.03 | - |
| Gain/Pain (1M) | 0.2 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.03 | - |
| Common Sense Ratio | 1.19 | - |
| CPC Index | - | - |
| Tail Ratio | 1.16 | 1.6 |
| Outlier Win Ratio | 1.78 | 22.52 |
| Outlier Loss Ratio | 1.54 | - |
| MTD | 1.35% | 1.29% |
| 3M | -7.5% | 4.05% |
| 6M | 2.31% | 8.56% |
| YTD | -3.47% | 17.87% |
| 1Y | 7.42% | 20.21% |
| 3Y (ann.) | 1.85% | 21.29% |
| 5Y (ann.) | 1.85% | 21.29% |
| 10Y (ann.) | 1.85% | 21.29% |
| All-time (ann.) | 1.85% | 21.29% |
| Best Day | 6.39% | 0.14% |
| Worst Day | -2.76% | 0.0% |
| Best Month | 9.34% | 1.83% |
| Worst Month | -5.9% | 1.28% |
| Best Year | 5.74% | 17.87% |
| Worst Year | -3.47% | 5.26% |
| Avg. Drawdown | -3.82% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.15 | - |
| Ulcer Index | 0.07 | 0.0 |
| Serenity Index | 0.03 | - |
| Avg. Up Month | 3.05% | 1.58% |
| Avg. Down Month | - | - |
| Win Days | 46.29% | 100.0% |
| Win Month | 57.14% | 100.0% |
| Win Quarter | 40.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.97 | - |
| Alpha | 0.22 | - |
| Correlation | -1.45% | - |
| Treynor Ratio | -2.13% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 5.26 | 5.74 | 1.09 | + |
| 2025 | 17.87 | -3.47 | -0.19 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-18 | 2025-11-28 | -14.00 | 283 |
| 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 |