| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 98.0% |
| Cumulative Return | 1.87% | 3.27% |
| CAGR﹪ | 1.71% | 2.99% |
| Sharpe | -0.11 | -0.03 |
| Prob. Sharpe Ratio | 16.11% | 17.48% |
| Smart Sharpe | -0.1 | -0.03 |
| Sortino | -0.16 | -0.05 |
| Smart Sortino | -0.15 | -0.04 |
| Sortino/√2 | -0.11 | -0.03 |
| Smart Sortino/√2 | -0.1 | -0.03 |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -19.02% | -25.73% |
| Longest DD Days | 300 | 300 |
| Volatility (ann.) | 22.94% | 25.19% |
| R^2 | 0.74 | 0.74 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.09 | 0.12 |
| Skew | 0.78 | 0.83 |
| Kurtosis | 5.57 | 3.86 |
| Expected Daily | 0.01% | 0.01% |
| Expected Monthly | 0.13% | 0.23% |
| Expected Yearly | 0.93% | 1.62% |
| Kelly Criterion | 2.57% | 1.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.36% | -2.59% |
| Expected Shortfall (cVaR) | -2.36% | -2.59% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 6 | 14 |
| Gain/Pain Ratio | 0.03 | 0.04 |
| Gain/Pain (1M) | 0.16 | 0.21 |
| Payoff Ratio | 0.99 | 1.06 |
| Profit Factor | 1.03 | 1.04 |
| Common Sense Ratio | 1.0 | 1.01 |
| CPC Index | 0.53 | 0.55 |
| Tail Ratio | 0.97 | 0.97 |
| Outlier Win Ratio | 3.82 | 3.36 |
| Outlier Loss Ratio | 2.99 | 2.84 |
| MTD | 2.24% | 1.68% |
| 3M | -1.53% | -0.73% |
| 6M | 4.0% | -0.45% |
| YTD | -0.87% | -5.58% |
| 1Y | 4.45% | 3.04% |
| 3Y (ann.) | 1.71% | 2.99% |
| 5Y (ann.) | 1.71% | 2.99% |
| 10Y (ann.) | 1.71% | 2.99% |
| All-time (ann.) | 1.71% | 2.99% |
| Best Day | 9.3% | 9.13% |
| Worst Day | -4.08% | -4.13% |
| Best Month | 10.61% | 12.0% |
| Worst Month | -7.86% | -7.32% |
| Best Year | 2.76% | 9.37% |
| Worst Year | -0.87% | -5.58% |
| Avg. Drawdown | -4.51% | -5.09% |
| Avg. Drawdown Days | 42 | 42 |
| Recovery Factor | 0.1 | 0.13 |
| Ulcer Index | 0.11 | 0.14 |
| Serenity Index | -0.04 | -0.02 |
| Avg. Up Month | 4.63% | 5.43% |
| Avg. Down Month | -5.19% | -4.8% |
| Win Days | 51.61% | 49.64% |
| Win Month | 57.14% | 50.0% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.78 | - |
| Alpha | -0.0 | - |
| Correlation | 85.97% | - |
| Treynor Ratio | -6.56% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 9.37 | 2.76 | 0.29 | - |
| 2025 | -5.58 | -0.87 | 0.16 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-26 | 2025-12-23 | -19.02 | 300 |
| 2024-11-20 | 2024-12-26 | -13.65 | 36 |
| 2025-01-23 | 2025-02-13 | -3.44 | 21 |
| 2025-01-03 | 2025-01-10 | -1.56 | 7 |
| 2025-02-18 | 2025-02-20 | -1.51 | 2 |
| 2025-01-14 | 2025-01-16 | -0.54 | 2 |
| 2025-01-20 | 2025-01-22 | -0.53 | 2 |
| 2024-12-27 | 2024-12-30 | -0.30 | 3 |
| 2025-02-24 | 2025-02-25 | -0.07 | 1 |