| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 9.69% | 37.44% |
| CAGR﹪ | 5.5% | 20.19% |
| Sharpe | 0.41 | 42.21 |
| Prob. Sharpe Ratio | 70.6% | 99.99% |
| Smart Sharpe | 0.41 | 41.5 |
| Sortino | 0.6 | - |
| Smart Sortino | 0.59 | - |
| Sortino/√2 | 0.43 | - |
| Smart Sortino/√2 | 0.42 | - |
| Omega | 1.08 | 1.08 |
| Max Drawdown | -27.73% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 16.29% | 0.44% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.2 | - |
| Skew | 0.22 | 11.03 |
| Kurtosis | 3.07 | 146.51 |
| Expected Daily | 0.02% | 0.07% |
| Expected Monthly | 0.42% | 1.46% |
| Expected Yearly | 3.13% | 11.18% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.66% | -0.03% |
| Expected Shortfall (cVaR) | -1.66% | -0.03% |
| Max Consecutive Wins | 9 | 429 |
| Max Consecutive Losses | 10 | 0 |
| Gain/Pain Ratio | 0.08 | - |
| Gain/Pain (1M) | 0.29 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.08 | - |
| Common Sense Ratio | 1.14 | - |
| CPC Index | - | - |
| Tail Ratio | 1.06 | 1.6 |
| Outlier Win Ratio | 1.84 | 17.88 |
| Outlier Loss Ratio | 1.83 | - |
| MTD | 6.96% | 1.16% |
| 3M | 7.37% | 4.18% |
| 6M | 3.87% | 8.26% |
| YTD | 7.5% | 3.58% |
| 1Y | 2.83% | 18.47% |
| 3Y (ann.) | 5.5% | 20.19% |
| 5Y (ann.) | 5.5% | 20.19% |
| 10Y (ann.) | 5.5% | 20.19% |
| All-time (ann.) | 5.5% | 20.19% |
| 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% | 3.58% |
| Avg. Drawdown | -2.52% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.35 | - |
| Ulcer Index | 0.19 | 0.0 |
| Serenity Index | 0.02 | - |
| Avg. Up Month | 4.7% | 1.41% |
| Avg. Down Month | - | - |
| Win Days | 51.98% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -3.52 | - |
| Alpha | 0.72 | - |
| Correlation | -9.55% | - |
| Treynor Ratio | -2.75% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 11.14 | 24.74 | 2.22 | + |
| 2025 | 19.38 | -18.19 | -0.94 | - |
| 2026 | 3.58 | 7.50 | 2.09 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-29 | 2026-03-17 | -27.73 | 473 |
| 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 |