| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 20.13% | 29.65% |
| CAGR﹪ | 5.55% | 7.94% |
| Sharpe | 0.36 | 24.27 |
| Prob. Sharpe Ratio | 75.9% | 100.0% |
| Smart Sharpe | 0.24 | 16.52 |
| Sortino | 0.65 | 163.15 |
| Smart Sortino | 0.44 | 111.06 |
| Sortino/√2 | 0.46 | 115.36 |
| Smart Sortino/√2 | 0.31 | 78.53 |
| Omega | 1.12 | 1.12 |
| Max Drawdown | -52.3% | -0.4% |
| Longest DD Days | 995 | 63 |
| Volatility (ann.) | 58.36% | 0.32% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.11 | 19.86 |
| Skew | 6.95 | 0.85 |
| Kurtosis | 149.55 | 2.05 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.45% | 0.64% |
| Expected Yearly | 3.74% | 5.33% |
| Kelly Criterion | 32.13% | 96.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.96% | -0.0% |
| Expected Shortfall (cVaR) | -5.96% | -0.0% |
| Max Consecutive Wins | 10 | 614 |
| Max Consecutive Losses | 6 | 21 |
| Gain/Pain Ratio | 0.12 | 64.81 |
| Gain/Pain (1M) | 0.81 | 64.81 |
| Payoff Ratio | 2.71 | 1.71 |
| Profit Factor | 1.12 | 65.81 |
| Common Sense Ratio | 1.13 | 490.07 |
| CPC Index | 1.53 | 109.56 |
| Tail Ratio | 1.01 | 7.45 |
| Outlier Win Ratio | 2.56 | 112.66 |
| Outlier Loss Ratio | 2.38 | 182.84 |
| MTD | -1.49% | 0.62% |
| 3M | -5.25% | 2.11% |
| 6M | 5.55% | 4.48% |
| YTD | -2.18% | 3.62% |
| 1Y | -7.05% | 6.16% |
| 3Y (ann.) | -1.03% | 8.18% |
| 5Y (ann.) | 5.55% | 7.94% |
| 10Y (ann.) | 5.55% | 7.94% |
| All-time (ann.) | 5.55% | 7.94% |
| Best Day | 65.24% | 0.11% |
| Worst Day | -37.87% | -0.02% |
| Best Month | 44.02% | 1.62% |
| 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 | 79 | 63 |
| Recovery Factor | 0.38 | 74.12 |
| Ulcer Index | 0.22 | 0.0 |
| Serenity Index | 0.1 | 110.5 |
| Avg. Up Month | 6.75% | 0.65% |
| Avg. Down Month | - | - |
| Win Days | 50.45% | 97.48% |
| Win Month | 56.1% | 97.56% |
| Win Quarter | 53.33% | 100.0% |
| Win Year | 60.0% | 100.0% |
| Beta | -1.1 | - |
| Alpha | 0.3 | - |
| Correlation | -0.61% | - |
| Treynor Ratio | -18.25% | - |
| 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 | 3.62 | -2.18 | -0.60 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-07 | 2026-04-28 | -52.30 | 995 |
| 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 |