| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 27.03% | 61.21% |
| CAGR﹪ | 7.62% | 15.77% |
| Sharpe | 0.4 | 56.61 |
| Prob. Sharpe Ratio | 77.75% | - |
| Smart Sharpe | 0.27 | 38.51 |
| Sortino | 0.73 | - |
| Smart Sortino | 0.49 | - |
| Sortino/√2 | 0.51 | - |
| Smart Sortino/√2 | 0.35 | - |
| Omega | 1.13 | 1.13 |
| Max Drawdown | -52.3% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 60.06% | 0.27% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.15 | - |
| Skew | 6.75 | 0.41 |
| Kurtosis | 141.25 | -0.01 |
| Expected Daily | 0.03% | 0.06% |
| Expected Monthly | 0.6% | 1.2% |
| Expected Yearly | 4.9% | 10.02% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.13% | -0.03% |
| Expected Shortfall (cVaR) | -6.13% | -0.03% |
| Max Consecutive Wins | 10 | 786 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.13 | - |
| Gain/Pain (1M) | 0.93 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.13 | - |
| Common Sense Ratio | 1.16 | - |
| CPC Index | - | - |
| Tail Ratio | 1.02 | 2.5 |
| Outlier Win Ratio | 2.55 | 62.26 |
| Outlier Loss Ratio | 2.3 | - |
| MTD | -0.73% | 0.33% |
| 3M | 4.85% | 3.76% |
| 6M | -3.43% | 7.75% |
| YTD | 3.44% | 2.73% |
| 1Y | -9.28% | 17.96% |
| 3Y (ann.) | -0.7% | 16.68% |
| 5Y (ann.) | 7.62% | 15.77% |
| 10Y (ann.) | 7.62% | 15.77% |
| All-time (ann.) | 7.62% | 15.77% |
| Best Day | 65.24% | 0.11% |
| Worst Day | -37.87% | 0.0% |
| Best Month | 44.02% | 1.83% |
| Worst Month | -40.91% | 0.33% |
| Best Year | 12.76% | 19.38% |
| Worst Year | -3.29% | 0.63% |
| Avg. Drawdown | -6.88% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.52 | - |
| Ulcer Index | 0.21 | 0.0 |
| Serenity Index | 0.14 | - |
| Avg. Up Month | 6.69% | 1.13% |
| Avg. Down Month | - | - |
| Win Days | 50.82% | 100.0% |
| Win Month | 57.5% | 100.0% |
| Win Quarter | 64.29% | 100.0% |
| Win Year | 80.0% | 100.0% |
| Beta | -2.4 | - |
| Alpha | 0.61 | - |
| Correlation | -1.08% | - |
| Treynor Ratio | -11.24% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 0.63 | 8.14 | 12.86 | + |
| 2023 | 10.00 | 4.14 | 0.41 | - |
| 2024 | 18.74 | 12.76 | 0.68 | - |
| 2025 | 19.38 | -3.29 | -0.17 | - |
| 2026 | 2.73 | 3.44 | 1.26 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-07 | 2026-03-09 | -52.30 | 945 |
| 2023-04-14 | 2023-06-13 | -8.86 | 60 |
| 2023-02-15 | 2023-04-06 | -7.13 | 50 |
| 2022-12-06 | 2022-12-19 | -4.31 | 13 |
| 2023-07-17 | 2023-07-28 | -3.83 | 11 |
| 2022-12-22 | 2023-01-04 | -3.74 | 13 |
| 2023-01-11 | 2023-01-18 | -3.38 | 7 |
| 2023-01-19 | 2023-01-30 | -3.31 | 11 |
| 2023-07-11 | 2023-07-12 | -3.14 | 1 |
| 2023-02-06 | 2023-02-13 | -3.06 | 7 |