| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 81.0% |
| Cumulative Return | -7.86% | -7.06% |
| CAGR﹪ | -12.6% | -11.35% |
| Sharpe | -1.14 | -1.18 |
| Prob. Sharpe Ratio | 6.13% | 5.84% |
| Smart Sharpe | -1.13 | -1.18 |
| Sortino | -1.49 | -1.49 |
| Smart Sortino | -1.48 | -1.48 |
| Sortino/√2 | -1.05 | -1.05 |
| Smart Sortino/√2 | -1.05 | -1.05 |
| Omega | 0.82 | 0.82 |
| Max Drawdown | -13.95% | -13.91% |
| Longest DD Days | 88 | 87 |
| Volatility (ann.) | 14.52% | 13.15% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.9 | -0.82 |
| Skew | 0.1 | -0.69 |
| Kurtosis | 3.69 | 3.11 |
| Expected Daily | -0.04% | -0.04% |
| Expected Monthly | -0.91% | -0.81% |
| Expected Yearly | -4.01% | -3.6% |
| Kelly Criterion | -12.8% | -8.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.54% | -1.4% |
| Expected Shortfall (cVaR) | -1.54% | -1.4% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | -0.11 | -0.12 |
| Gain/Pain (1M) | -0.35 | -0.33 |
| Payoff Ratio | 0.72 | 0.84 |
| Profit Factor | 0.89 | 0.88 |
| Common Sense Ratio | 0.62 | 0.68 |
| CPC Index | 0.34 | 0.37 |
| Tail Ratio | 0.69 | 0.77 |
| Outlier Win Ratio | 2.97 | 4.03 |
| Outlier Loss Ratio | 3.04 | 3.29 |
| MTD | 0.34% | 0.0% |
| 3M | -13.23% | -13.01% |
| 6M | -1.68% | -1.12% |
| YTD | -10.31% | -10.22% |
| 1Y | -7.86% | -7.06% |
| 3Y (ann.) | -12.6% | -11.35% |
| 5Y (ann.) | -12.6% | -11.35% |
| 10Y (ann.) | -12.6% | -11.35% |
| All-time (ann.) | -12.6% | -11.35% |
| Best Day | 4.69% | 2.95% |
| Worst Day | -3.02% | -3.47% |
| Best Month | 5.83% | 5.52% |
| Worst Month | -7.1% | -7.45% |
| Best Year | 2.73% | 3.52% |
| Worst Year | -10.31% | -10.22% |
| Avg. Drawdown | -3.88% | -4.07% |
| Avg. Drawdown Days | 26 | 29 |
| Recovery Factor | -0.56 | -0.51 |
| Ulcer Index | 0.05 | 0.05 |
| Serenity Index | -0.31 | -0.25 |
| Avg. Up Month | 4.53% | 4.57% |
| Avg. Down Month | -4.23% | -4.01% |
| Win Days | 52.75% | 50.33% |
| Win Month | 44.44% | 37.5% |
| Win Quarter | 25.0% | 25.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.84 | - |
| Alpha | -0.02 | - |
| Correlation | 76.36% | - |
| Treynor Ratio | -17.63% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.52 | 2.73 | 0.78 | - |
| 2026 | -10.22 | -10.31 | 1.01 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-03 | 2026-05-02 | -13.95 | 88 |
| 2025-09-25 | 2025-12-09 | -9.21 | 75 |
| 2025-12-19 | 2026-01-16 | -3.43 | 28 |
| 2025-12-12 | 2025-12-15 | -1.73 | 3 |
| 2026-01-26 | 2026-02-02 | -1.28 | 7 |
| 2025-09-23 | 2025-09-24 | -1.15 | 1 |
| 2026-01-24 | 2026-01-25 | -0.20 | 1 |
| 2025-12-17 | 2025-12-18 | -0.10 | 1 |