| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -14.03% | -13.71% |
| CAGR﹪ | -18.49% | -18.07% |
| Sharpe | -1.67 | -1.65 |
| Prob. Sharpe Ratio | 2.34% | 2.6% |
| Smart Sharpe | -1.61 | -1.59 |
| Sortino | -2.18 | -2.19 |
| Smart Sortino | -2.1 | -2.11 |
| Sortino/√2 | -1.54 | -1.55 |
| Smart Sortino/√2 | -1.48 | -1.49 |
| Omega | 0.76 | 0.76 |
| Max Drawdown | -19.06% | -19.21% |
| Longest DD Days | 133 | 134 |
| Volatility (ann.) | 15.63% | 15.56% |
| R^2 | 0.85 | 0.85 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.97 | -0.94 |
| Skew | 0.23 | 0.52 |
| Kurtosis | 2.52 | 4.11 |
| Expected Daily | -0.08% | -0.08% |
| Expected Monthly | -1.5% | -1.46% |
| Expected Yearly | -7.28% | -7.11% |
| Kelly Criterion | -12.51% | -11.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.7% | -1.69% |
| Expected Shortfall (cVaR) | -1.7% | -1.69% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | -0.19 | -0.19 |
| Gain/Pain (1M) | -0.51 | -0.49 |
| Payoff Ratio | 0.82 | 0.85 |
| Profit Factor | 0.81 | 0.81 |
| Common Sense Ratio | 0.59 | 0.65 |
| CPC Index | 0.33 | 0.34 |
| Tail Ratio | 0.73 | 0.79 |
| Outlier Win Ratio | 2.73 | 2.71 |
| Outlier Loss Ratio | 2.81 | 2.97 |
| MTD | -1.43% | -1.71% |
| 3M | -15.7% | -15.76% |
| 6M | -16.04% | -15.98% |
| YTD | -15.61% | -15.81% |
| 1Y | -14.03% | -13.71% |
| 3Y (ann.) | -18.49% | -18.07% |
| 5Y (ann.) | -18.49% | -18.07% |
| 10Y (ann.) | -18.49% | -18.07% |
| All-time (ann.) | -18.49% | -18.07% |
| Best Day | 4.69% | 5.26% |
| Worst Day | -3.02% | -2.91% |
| Best Month | 5.83% | 5.5% |
| Worst Month | -7.1% | -7.59% |
| Best Year | 1.87% | 2.5% |
| Worst Year | -15.61% | -15.81% |
| Avg. Drawdown | -5.87% | -5.13% |
| Avg. Drawdown Days | 42 | 35 |
| Recovery Factor | -0.74 | -0.71 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | -0.18 | -0.17 |
| Avg. Up Month | 4.53% | 4.84% |
| Avg. Down Month | -3.94% | -4.02% |
| Win Days | 49.16% | 48.91% |
| Win Month | 30.0% | 30.0% |
| Win Quarter | 25.0% | 25.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.93 | - |
| Alpha | -0.02 | - |
| Correlation | 92.34% | - |
| Treynor Ratio | -22.67% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.50 | 1.87 | 0.75 | - |
| 2026 | -15.81 | -15.61 | 0.99 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-03 | 2026-06-16 | -19.06 | 133 |
| 2025-09-22 | 2025-12-10 | -9.88 | 79 |
| 2025-12-19 | 2026-01-19 | -3.43 | 31 |
| 2025-12-12 | 2025-12-15 | -1.73 | 3 |
| 2026-01-26 | 2026-01-29 | -0.99 | 3 |
| 2025-12-17 | 2025-12-18 | -0.10 | 1 |