| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 26.85% | 30.06% |
| CAGR﹪ | 7.59% | 8.42% |
| Sharpe | 0.4 | 23.79 |
| Prob. Sharpe Ratio | 77.7% | - |
| Smart Sharpe | 0.27 | 16.18 |
| Sortino | 0.73 | 170.22 |
| Smart Sortino | 0.49 | 115.79 |
| Sortino/√2 | 0.51 | 120.37 |
| Smart Sortino/√2 | 0.35 | 81.88 |
| Omega | 1.13 | 1.13 |
| Max Drawdown | -52.3% | -0.4% |
| Longest DD Days | 942 | 63 |
| Volatility (ann.) | 60.1% | 0.35% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.15 | 21.05 |
| Skew | 6.75 | 0.63 |
| Kurtosis | 141.07 | 0.87 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.6% | 0.66% |
| Expected Yearly | 4.87% | 5.4% |
| Kelly Criterion | 33.34% | 95.88% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.13% | -0.0% |
| Expected Shortfall (cVaR) | -6.13% | -0.0% |
| Max Consecutive Wins | 10 | 614 |
| Max Consecutive Losses | 6 | 21 |
| Gain/Pain Ratio | 0.13 | 65.6 |
| Gain/Pain (1M) | 0.93 | 65.6 |
| Payoff Ratio | 2.83 | 1.85 |
| Profit Factor | 1.13 | 66.6 |
| Common Sense Ratio | 1.16 | 535.87 |
| CPC Index | 1.63 | 120.1 |
| Tail Ratio | 1.02 | 8.05 |
| Outlier Win Ratio | 2.55 | 108.33 |
| Outlier Loss Ratio | 2.31 | 185.81 |
| MTD | -0.87% | 0.44% |
| 3M | 4.41% | 4.22% |
| 6M | -2.16% | 5.52% |
| YTD | 3.29% | 3.95% |
| 1Y | -9.53% | 7.46% |
| 3Y (ann.) | 0.93% | 8.51% |
| 5Y (ann.) | 7.59% | 8.42% |
| 10Y (ann.) | 7.59% | 8.42% |
| All-time (ann.) | 7.59% | 8.42% |
| Best Day | 65.24% | 0.11% |
| Worst Day | -37.87% | -0.02% |
| Best Month | 44.02% | 1.84% |
| Worst Month | -40.91% | -0.4% |
| Best Year | 12.76% | 9.51% |
| Worst Year | -3.29% | 0.72% |
| Avg. Drawdown | -6.88% | -0.4% |
| Avg. Drawdown Days | 75 | 63 |
| Recovery Factor | 0.51 | 75.16 |
| Ulcer Index | 0.21 | 0.0 |
| Serenity Index | 0.14 | 115.42 |
| Avg. Up Month | 6.75% | 0.7% |
| Avg. Down Month | - | - |
| Win Days | 50.75% | 97.32% |
| Win Month | 57.5% | 97.5% |
| Win Quarter | 64.29% | 100.0% |
| Win Year | 80.0% | 100.0% |
| Beta | -1.57 | - |
| Alpha | 0.37 | - |
| Correlation | -0.92% | - |
| Treynor Ratio | -17.15% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 0.72 | 8.14 | 11.24 | + |
| 2023 | 7.42 | 4.14 | 0.56 | - |
| 2024 | 9.51 | 12.76 | 1.34 | + |
| 2025 | 5.60 | -3.29 | -0.59 | - |
| 2026 | 3.95 | 3.29 | 0.83 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-07 | 2026-03-06 | -52.30 | 942 |
| 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 |