| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 4.21% | 7.7% |
| CAGR﹪ | 6.15% | 11.34% |
| Sharpe | 0.35 | 28.78 |
| Prob. Sharpe Ratio | 61.69% | 100.0% |
| Smart Sharpe | 0.35 | 28.52 |
| Sortino | 0.52 | - |
| Smart Sortino | 0.52 | - |
| Sortino/√2 | 0.37 | - |
| Smart Sortino/√2 | 0.37 | - |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -17.93% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 25.77% | 0.36% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.34 | - |
| Skew | 0.49 | 1.67 |
| Kurtosis | 2.22 | 6.66 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.41% | 0.74% |
| Expected Yearly | 2.08% | 3.78% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.63% | -0.0% |
| Expected Shortfall (cVaR) | -2.63% | -0.0% |
| Max Consecutive Wins | 7 | 181 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.06 | - |
| Gain/Pain (1M) | 0.36 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.06 | - |
| Common Sense Ratio | 1.04 | - |
| CPC Index | - | - |
| Tail Ratio | 0.98 | 3.73 |
| Outlier Win Ratio | 1.77 | 50.48 |
| Outlier Loss Ratio | 1.51 | - |
| MTD | 3.68% | 0.07% |
| 3M | -8.11% | 1.54% |
| 6M | 16.92% | 4.87% |
| YTD | 1.82% | 3.69% |
| 1Y | 4.21% | 7.7% |
| 3Y (ann.) | 6.15% | 11.34% |
| 5Y (ann.) | 6.15% | 11.34% |
| 10Y (ann.) | 6.15% | 11.34% |
| All-time (ann.) | 6.15% | 11.34% |
| Best Day | 7.58% | 0.16% |
| Worst Day | -4.09% | 0.0% |
| Best Month | 10.21% | 1.43% |
| Worst Month | -8.17% | 0.07% |
| Best Year | 2.34% | 3.87% |
| Worst Year | 1.82% | 3.69% |
| Avg. Drawdown | -4.89% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.23 | - |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 0.05 | - |
| Avg. Up Month | 3.97% | 0.86% |
| Avg. Down Month | - | - |
| Win Days | 52.0% | 100.0% |
| Win Month | 60.0% | 100.0% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 5.38 | - |
| Alpha | -0.46 | - |
| Correlation | 7.45% | - |
| Treynor Ratio | 0.78% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 3.87 | 2.34 | 0.60 | - |
| 2025 | 3.69 | 1.82 | 0.49 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-26 | 2025-06-05 | -17.93 | 99 |
| 2024-11-12 | 2024-12-30 | -13.07 | 48 |
| 2024-10-01 | 2024-11-11 | -8.17 | 41 |
| 2025-01-03 | 2025-01-14 | -3.13 | 11 |
| 2025-01-20 | 2025-01-29 | -2.08 | 9 |
| 2025-02-18 | 2025-02-19 | -1.85 | 1 |
| 2025-02-03 | 2025-02-10 | -1.36 | 7 |
| 2025-02-13 | 2025-02-17 | -1.09 | 4 |
| 2025-02-21 | 2025-02-24 | -0.23 | 3 |
| 2025-01-15 | 2025-01-16 | -0.00 | 1 |