| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -0.81% | 10.16% |
| CAGR﹪ | -0.79% | 9.95% |
| Sharpe | 0.04 | 24.48 |
| Prob. Sharpe Ratio | 51.72% | 100.0% |
| Smart Sharpe | 0.04 | 23.31 |
| Sortino | 0.06 | - |
| Smart Sortino | 0.06 | - |
| Sortino/√2 | 0.04 | - |
| Smart Sortino/√2 | 0.04 | - |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -26.56% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 17.83% | 0.4% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.03 | - |
| Skew | 0.24 | 2.83 |
| Kurtosis | 3.36 | 17.24 |
| Expected Daily | -0.0% | 0.04% |
| Expected Monthly | -0.06% | 0.69% |
| Expected Yearly | -0.41% | 4.95% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.84% | -0.0% |
| Expected Shortfall (cVaR) | -1.84% | -0.0% |
| Max Consecutive Wins | 9 | 251 |
| Max Consecutive Losses | 10 | 0 |
| Gain/Pain Ratio | 0.01 | - |
| Gain/Pain (1M) | 0.03 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.01 | - |
| Common Sense Ratio | 0.96 | - |
| CPC Index | - | - |
| Tail Ratio | 0.95 | 6.77 |
| Outlier Win Ratio | 1.74 | 35.47 |
| Outlier Loss Ratio | 1.99 | - |
| MTD | 0.41% | 0.02% |
| 3M | -6.28% | 1.29% |
| 6M | -20.48% | 4.04% |
| YTD | -20.48% | 4.04% |
| 1Y | 2.17% | 9.69% |
| 3Y (ann.) | -0.79% | 9.95% |
| 5Y (ann.) | -0.79% | 9.95% |
| 10Y (ann.) | -0.79% | 9.95% |
| All-time (ann.) | -0.79% | 9.95% |
| Best Day | 5.48% | 0.21% |
| Worst Day | -3.95% | 0.0% |
| Best Month | 12.87% | 1.43% |
| Worst Month | -8.96% | 0.02% |
| Best Year | 24.74% | 5.88% |
| Worst Year | -20.48% | 4.04% |
| Avg. Drawdown | -2.45% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.03 | - |
| Ulcer Index | 0.15 | 0.0 |
| Serenity Index | -0.0 | - |
| Avg. Up Month | 5.33% | 0.67% |
| Avg. Down Month | - | - |
| Win Days | 49.8% | 100.0% |
| Win Month | 42.86% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -3.24 | - |
| Alpha | 0.32 | - |
| Correlation | -7.18% | - |
| Treynor Ratio | 0.25% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 5.88 | 24.74 | 4.21 | + |
| 2025 | 4.04 | -20.48 | -5.08 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-29 | 2025-07-01 | -26.56 | 214 |
| 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 |