| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 99.0% |
| Cumulative Return | -3.57% | 4.57% |
| CAGR﹪ | -12.9% | 18.51% |
| Sharpe | -0.46 | 63.27 |
| Prob. Sharpe Ratio | 40.2% | 100.0% |
| Smart Sharpe | -0.43 | 59.43 |
| Sortino | -0.67 | - |
| Smart Sortino | -0.63 | - |
| Sortino/√2 | -0.47 | - |
| Smart Sortino/√2 | -0.45 | - |
| Omega | 0.92 | 0.92 |
| Max Drawdown | -13.48% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 21.21% | 0.23% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.96 | - |
| Skew | 0.62 | 0.41 |
| Kurtosis | 3.46 | 3.15 |
| Expected Daily | -0.05% | 0.06% |
| Expected Monthly | -0.9% | 1.12% |
| Expected Yearly | -3.57% | 4.57% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.24% | -0.03% |
| Expected Shortfall (cVaR) | -2.24% | -0.03% |
| Max Consecutive Wins | 6 | 76 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | -0.08 | - |
| Gain/Pain (1M) | -0.27 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.92 | - |
| Common Sense Ratio | 0.91 | - |
| CPC Index | - | - |
| Tail Ratio | 0.99 | 1.69 |
| Outlier Win Ratio | 1.79 | 27.96 |
| Outlier Loss Ratio | 1.38 | - |
| MTD | -0.0% | 0.7% |
| 3M | -1.42% | 4.39% |
| 6M | -3.57% | 4.57% |
| YTD | -3.57% | 4.57% |
| 1Y | -3.57% | 4.57% |
| 3Y (ann.) | -12.9% | 18.51% |
| 5Y (ann.) | -12.9% | 18.51% |
| 10Y (ann.) | -12.9% | 18.51% |
| All-time (ann.) | -12.9% | 18.51% |
| Best Day | 5.5% | 0.09% |
| Worst Day | -4.02% | 0.0% |
| Best Month | 8.11% | 1.3% |
| Worst Month | -10.11% | 0.7% |
| Best Year | -3.57% | 4.57% |
| Worst Year | -3.57% | 4.57% |
| Avg. Drawdown | -13.48% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.26 | - |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | -0.05 | - |
| Avg. Up Month | 8.11% | 1.3% |
| Avg. Down Month | - | - |
| Win Days | 47.89% | 100.0% |
| Win Month | 25.0% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | -20.2 | - |
| Alpha | 2.86 | - |
| Correlation | -22.02% | - |
| Treynor Ratio | 0.18% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 4.57 | -3.57 | -0.78 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-09-12 | 2025-12-15 | -13.48 | 94 |