| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1.27% | 38.94% |
| CAGR﹪ | 0.69% | 19.46% |
| Sharpe | 0.12 | 41.23 |
| Prob. Sharpe Ratio | 56.66% | 99.99% |
| Smart Sharpe | 0.12 | 40.41 |
| Sortino | 0.18 | - |
| Smart Sortino | 0.17 | - |
| Sortino/√2 | 0.13 | - |
| Smart Sortino/√2 | 0.12 | - |
| Omega | 1.02 | 1.02 |
| Max Drawdown | -27.73% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 16.44% | 0.44% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.02 | - |
| Skew | 0.18 | 10.96 |
| Kurtosis | 2.89 | 148.87 |
| Expected Daily | 0.0% | 0.07% |
| Expected Monthly | 0.05% | 1.44% |
| Expected Yearly | 0.42% | 11.58% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.7% | -0.03% |
| Expected Shortfall (cVaR) | -1.7% | -0.03% |
| Max Consecutive Wins | 9 | 461 |
| Max Consecutive Losses | 10 | 0 |
| Gain/Pain Ratio | 0.02 | - |
| Gain/Pain (1M) | 0.08 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.02 | - |
| Common Sense Ratio | 1.08 | - |
| CPC Index | - | - |
| Tail Ratio | 1.06 | 1.69 |
| Outlier Win Ratio | 1.83 | 18.53 |
| Outlier Loss Ratio | 1.89 | - |
| MTD | -6.74% | 1.12% |
| 3M | 3.24% | 3.46% |
| 6M | -0.58% | 7.55% |
| YTD | -0.76% | 4.71% |
| 1Y | 0.12% | 16.87% |
| 3Y (ann.) | 0.69% | 19.46% |
| 5Y (ann.) | 0.69% | 19.46% |
| 10Y (ann.) | 0.69% | 19.46% |
| All-time (ann.) | 0.69% | 19.46% |
| 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% | 19.38% |
| Worst Year | -18.19% | 4.71% |
| Avg. Drawdown | -2.52% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.05 | - |
| Ulcer Index | 0.19 | 0.0 |
| Serenity Index | 0.0 | - |
| Avg. Up Month | 4.6% | 1.41% |
| Avg. Down Month | - | - |
| Win Days | 51.19% | 100.0% |
| Win Month | 47.83% | 100.0% |
| Win Quarter | 44.44% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | -3.69 | - |
| Alpha | 0.68 | - |
| Correlation | -9.78% | - |
| Treynor Ratio | -0.34% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 11.14 | 24.74 | 2.22 | + |
| 2025 | 19.38 | -18.19 | -0.94 | - |
| 2026 | 4.71 | -0.76 | -0.16 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-29 | 2026-04-30 | -27.73 | 517 |
| 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 |