| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 92.0% | 84.0% |
| Cumulative Return | -16.62% | -16.27% |
| CAGR﹪ | -13.4% | -13.12% |
| Sharpe | -0.8 | -0.81 |
| Prob. Sharpe Ratio | 2.66% | 2.55% |
| Smart Sharpe | -0.74 | -0.75 |
| Sortino | -1.12 | -1.09 |
| Smart Sortino | -1.04 | -1.01 |
| Sortino/√2 | -0.79 | -0.77 |
| Smart Sortino/√2 | -0.74 | -0.71 |
| Omega | 0.86 | 0.86 |
| Max Drawdown | -33.27% | -31.02% |
| Longest DD Days | 338 | 203 |
| Volatility (ann.) | 20.74% | 20.33% |
| R^2 | 0.68 | 0.68 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.4 | -0.42 |
| Skew | 0.52 | -0.09 |
| Kurtosis | 5.98 | 2.5 |
| Expected Daily | -0.05% | -0.05% |
| Expected Monthly | -1.13% | -1.1% |
| Expected Yearly | -8.69% | -8.5% |
| Kelly Criterion | -4.41% | -3.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.19% | -2.15% |
| Expected Shortfall (cVaR) | -2.19% | -2.15% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | -0.08 | -0.09 |
| Gain/Pain (1M) | -0.4 | -0.38 |
| Payoff Ratio | 0.99 | 0.99 |
| Profit Factor | 0.92 | 0.91 |
| Common Sense Ratio | 0.96 | 0.82 |
| CPC Index | 0.44 | 0.44 |
| Tail Ratio | 1.04 | 0.9 |
| Outlier Win Ratio | 3.86 | 4.46 |
| Outlier Loss Ratio | 3.87 | 3.64 |
| MTD | -6.16% | -8.26% |
| 3M | -18.92% | -21.14% |
| 6M | -19.71% | -21.16% |
| YTD | -18.35% | -19.81% |
| 1Y | -17.7% | -18.66% |
| 3Y (ann.) | -13.4% | -13.12% |
| 5Y (ann.) | -13.4% | -13.12% |
| 10Y (ann.) | -13.4% | -13.12% |
| All-time (ann.) | -13.4% | -13.12% |
| Best Day | 7.98% | 4.97% |
| Worst Day | -5.44% | -4.32% |
| Best Month | 6.94% | 6.87% |
| Worst Month | -8.55% | -8.58% |
| Best Year | 2.13% | 4.4% |
| Worst Year | -18.35% | -19.81% |
| Avg. Drawdown | -9.45% | -11.94% |
| Avg. Drawdown Days | 89 | 88 |
| Recovery Factor | -0.5 | -0.52 |
| Ulcer Index | 0.1 | 0.1 |
| Serenity Index | -0.17 | -0.17 |
| Avg. Up Month | 3.16% | 3.4% |
| Avg. Down Month | -4.67% | -4.97% |
| Win Days | 48.15% | 48.74% |
| Win Month | 43.75% | 50.0% |
| Win Quarter | 33.33% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.84 | - |
| Alpha | -0.02 | - |
| Correlation | 82.67% | - |
| Treynor Ratio | -28.0% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 4.40 | 2.13 | 0.48 | - |
| 2026 | -19.81 | -18.35 | 0.93 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-18 | 2026-07-22 | -33.27 | 338 |
| 2025-04-28 | 2025-08-07 | -10.48 | 101 |
| 2025-04-18 | 2025-04-21 | -1.93 | 3 |
| 2025-04-23 | 2025-04-25 | -1.09 | 2 |
| 2025-08-13 | 2025-08-14 | -0.47 | 1 |