| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 9.59% | 3.12% |
| CAGR﹪ | 11.51% | 3.72% |
| Sharpe | 0.58 | 18.68 |
| Prob. Sharpe Ratio | 71.23% | 100.0% |
| Smart Sharpe | 0.54 | 17.61 |
| Sortino | 0.88 | 36.35 |
| Smart Sortino | 0.83 | 34.27 |
| Sortino/√2 | 0.62 | 25.71 |
| Smart Sortino/√2 | 0.59 | 24.23 |
| Omega | 1.1 | 1.1 |
| Max Drawdown | -17.05% | -0.4% |
| Longest DD Days | 174 | 66 |
| Volatility (ann.) | 20.76% | 0.18% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.67 | 9.29 |
| Skew | 0.5 | -2.02 |
| Kurtosis | 2.34 | 3.62 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.84% | 0.28% |
| Expected Yearly | 4.69% | 1.55% |
| Kelly Criterion | 12.77% | 80.06% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.1% | -0.01% |
| Expected Shortfall (cVaR) | -2.1% | -0.01% |
| Max Consecutive Wins | 7 | 127 |
| Max Consecutive Losses | 6 | 21 |
| Gain/Pain Ratio | 0.1 | 7.66 |
| Gain/Pain (1M) | 0.64 | 7.66 |
| Payoff Ratio | 1.25 | 0.82 |
| Profit Factor | 1.1 | 8.66 |
| Common Sense Ratio | 1.41 | 11.22 |
| CPC Index | 0.71 | 6.45 |
| Tail Ratio | 1.28 | 1.3 |
| Outlier Win Ratio | 1.65 | 93.67 |
| Outlier Loss Ratio | 1.58 | 83.92 |
| MTD | -2.13% | 0.08% |
| 3M | 8.59% | 0.98% |
| 6M | -1.56% | 1.6% |
| YTD | 0.3% | 0.32% |
| 1Y | 9.59% | 3.12% |
| 3Y (ann.) | 11.51% | 3.72% |
| 5Y (ann.) | 11.51% | 3.72% |
| 10Y (ann.) | 11.51% | 3.72% |
| All-time (ann.) | 11.51% | 3.72% |
| Best Day | 6.5% | 0.02% |
| Worst Day | -3.68% | -0.02% |
| Best Month | 7.43% | 0.57% |
| Worst Month | -6.78% | -0.4% |
| Best Year | 9.27% | 2.79% |
| Worst Year | 0.3% | 0.32% |
| Avg. Drawdown | -4.19% | -0.4% |
| Avg. Drawdown Days | 36 | 66 |
| Recovery Factor | 0.56 | 7.79 |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 0.12 | 1.7 |
| Avg. Up Month | 4.3% | 0.31% |
| Avg. Down Month | - | - |
| Win Days | 51.6% | 91.03% |
| Win Month | 54.55% | 90.91% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -7.06 | - |
| Alpha | 0.35 | - |
| Correlation | -6.0% | - |
| Treynor Ratio | -1.36% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.79 | 9.27 | 3.32 | + |
| 2026 | 0.32 | 0.30 | 0.93 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-18 | 2026-02-08 | -17.05 | 174 |
| 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 |
| 2025-04-10 | 2025-04-11 | -0.96 | 1 |
| 2025-04-08 | 2025-04-09 | -0.81 | 1 |
| 2025-04-14 | 2025-04-15 | -0.73 | 1 |
| 2025-08-13 | 2025-08-14 | -0.47 | 1 |