| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -1.47% | 21.96% |
| CAGR﹪ | -1.5% | 22.44% |
| Sharpe | 0.01 | 38.3 |
| Prob. Sharpe Ratio | 50.21% | 99.95% |
| Smart Sharpe | 0.01 | 36.51 |
| Sortino | 0.01 | - |
| Smart Sortino | 0.01 | - |
| Sortino/√2 | 0.01 | - |
| Smart Sortino/√2 | 0.01 | - |
| Omega | 1.0 | 1.0 |
| Max Drawdown | -26.56% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 18.17% | 0.54% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.06 | - |
| Skew | 0.25 | 10.09 |
| Kurtosis | 3.14 | 107.16 |
| Expected Daily | -0.01% | 0.08% |
| Expected Monthly | -0.11% | 1.54% |
| Expected Yearly | -0.74% | 10.44% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.88% | -0.03% |
| Expected Shortfall (cVaR) | -1.88% | -0.03% |
| Max Consecutive Wins | 9 | 241 |
| Max Consecutive Losses | 10 | 0 |
| Gain/Pain Ratio | 0.0 | - |
| Gain/Pain (1M) | 0.0 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.0 | - |
| Common Sense Ratio | 0.95 | - |
| CPC Index | - | - |
| Tail Ratio | 0.95 | 1.23 |
| Outlier Win Ratio | 1.7 | 16.85 |
| Outlier Loss Ratio | 1.94 | - |
| MTD | -0.3% | 0.89% |
| 3M | -7.63% | 5.13% |
| 6M | -21.72% | 10.73% |
| YTD | -21.01% | 9.74% |
| 1Y | -1.47% | 21.96% |
| 3Y (ann.) | -1.5% | 22.44% |
| 5Y (ann.) | -1.5% | 22.44% |
| 10Y (ann.) | -1.5% | 22.44% |
| All-time (ann.) | -1.5% | 22.44% |
| Best Day | 5.48% | 0.44% |
| Worst Day | -3.95% | 0.0% |
| Best Month | 12.87% | 1.83% |
| Worst Month | -8.96% | 0.89% |
| Best Year | 24.74% | 11.14% |
| Worst Year | -21.01% | 9.74% |
| Avg. Drawdown | -2.45% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.06 | - |
| Ulcer Index | 0.14 | 0.0 |
| Serenity Index | -0.0 | - |
| Avg. Up Month | 6.32% | 1.59% |
| Avg. Down Month | - | - |
| Win Days | 48.96% | 100.0% |
| Win Month | 38.46% | 100.0% |
| Win Quarter | 40.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -4.34 | - |
| Alpha | 0.9 | - |
| Correlation | -12.9% | - |
| Treynor Ratio | 0.34% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 11.14 | 24.74 | 2.22 | + |
| 2025 | 9.74 | -21.01 | -2.16 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-29 | 2025-06-17 | -26.56 | 200 |
| 2024-08-22 | 2024-09-03 | -3.30 | 12 |
| 2024-06-27 | 2024-07-04 | -3.22 | 7 |
| 2024-09-05 | 2024-09-06 | -2.03 | 1 |
| 2024-10-10 | 2024-10-28 | -1.93 | 18 |
| 2024-11-06 | 2024-11-14 | -1.58 | 8 |
| 2024-07-18 | 2024-08-05 | -1.25 | 18 |
| 2024-11-27 | 2024-11-28 | -0.76 | 1 |
| 2024-08-06 | 2024-08-13 | -0.72 | 7 |
| 2024-08-14 | 2024-08-19 | -0.71 | 5 |