| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | 25.06% | 22.91% |
| CAGR﹪ | 9.61% | 8.83% |
| Sharpe | 0.46 | 32.08 |
| Prob. Sharpe Ratio | 77.13% | 100.0% |
| Smart Sharpe | 0.31 | 21.63 |
| Sortino | 0.85 | - |
| Smart Sortino | 0.57 | - |
| Sortino/√2 | 0.6 | - |
| Smart Sortino/√2 | 0.4 | - |
| Omega | 1.15 | 1.15 |
| Max Drawdown | -52.3% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 70.61% | 0.29% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.18 | - |
| Skew | 5.87 | 1.23 |
| Kurtosis | 104.11 | 2.77 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.75% | 0.69% |
| Expected Yearly | 5.75% | 5.29% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -7.19% | -0.01% |
| Expected Shortfall (cVaR) | -7.19% | -0.01% |
| Max Consecutive Wins | 10 | 555 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.15 | - |
| Gain/Pain (1M) | 1.11 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.15 | - |
| Common Sense Ratio | 1.11 | - |
| CPC Index | - | - |
| Tail Ratio | 0.96 | 5.08 |
| Outlier Win Ratio | 2.8 | 135.35 |
| Outlier Loss Ratio | 2.33 | - |
| MTD | 0.38% | 0.31% |
| 3M | -10.58% | 2.14% |
| 6M | 0.25% | 6.03% |
| YTD | -1.51% | 3.73% |
| 1Y | -10.25% | 10.65% |
| 3Y (ann.) | 9.61% | 8.83% |
| 5Y (ann.) | 9.61% | 8.83% |
| 10Y (ann.) | 9.61% | 8.83% |
| All-time (ann.) | 9.61% | 8.83% |
| Best Day | 65.24% | 0.11% |
| Worst Day | -37.87% | 0.0% |
| Best Month | 44.02% | 1.43% |
| Worst Month | -40.91% | 0.2% |
| Best Year | 12.76% | 9.51% |
| Worst Year | -1.51% | 0.72% |
| Avg. Drawdown | -6.88% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.48 | - |
| Ulcer Index | 0.2 | 0.0 |
| Serenity Index | 0.17 | - |
| Avg. Up Month | 7.53% | 0.63% |
| Avg. Down Month | - | - |
| Win Days | 50.2% | 100.0% |
| Win Month | 60.0% | 100.0% |
| Win Quarter | 63.64% | 100.0% |
| Win Year | 75.0% | 100.0% |
| Beta | -4.47 | - |
| Alpha | 0.74 | - |
| Correlation | -1.84% | - |
| Treynor Ratio | -5.61% | - |
| 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 | 3.73 | -1.51 | -0.41 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-07 | 2025-05-13 | -52.30 | 645 |
| 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 |