| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 8.57% | 32.31% |
| CAGR﹪ | 2.01% | 7.0% |
| Sharpe | 0.23 | 22.26 |
| Prob. Sharpe Ratio | 66.75% | 100.0% |
| Smart Sharpe | 0.19 | 18.61 |
| Sortino | 0.28 | 63.74 |
| Smart Sortino | 0.24 | 53.28 |
| Sortino/√2 | 0.2 | 45.07 |
| Smart Sortino/√2 | 0.17 | 37.67 |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -52.71% | -1.25% |
| Longest DD Days | 1330 | 183 |
| Volatility (ann.) | 28.59% | 0.32% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.04 | 5.58 |
| Skew | -4.92 | -1.0 |
| Kurtosis | 93.64 | 3.9 |
| Expected Daily | 0.01% | 0.03% |
| Expected Monthly | 0.17% | 0.58% |
| Expected Yearly | 1.66% | 5.76% |
| Kelly Criterion | -10.62% | 90.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.94% | -0.0% |
| Expected Shortfall (cVaR) | -2.94% | -0.0% |
| Max Consecutive Wins | 10 | 707 |
| Max Consecutive Losses | 8 | 48 |
| Gain/Pain Ratio | 0.05 | 22.18 |
| Gain/Pain (1M) | 0.24 | 22.18 |
| Payoff Ratio | 0.71 | 1.18 |
| Profit Factor | 1.05 | 23.18 |
| Common Sense Ratio | 1.0 | 779.74 |
| CPC Index | 0.4 | 26.01 |
| Tail Ratio | 0.95 | 33.64 |
| Outlier Win Ratio | 1.87 | 55.51 |
| Outlier Loss Ratio | 1.72 | 74.67 |
| MTD | 1.49% | 0.04% |
| 3M | -6.76% | 1.57% |
| 6M | 18.22% | 4.96% |
| YTD | 6.03% | 3.65% |
| 1Y | -4.05% | 9.98% |
| 3Y (ann.) | 15.11% | 7.21% |
| 5Y (ann.) | 2.01% | 7.0% |
| 10Y (ann.) | 2.01% | 7.0% |
| All-time (ann.) | 2.01% | 7.0% |
| Best Day | 15.24% | 0.07% |
| Worst Day | -30.58% | -0.09% |
| Best Month | 15.94% | 1.43% |
| Worst Month | -29.54% | -0.52% |
| Best Year | 48.13% | 9.51% |
| Worst Year | -35.9% | 2.29% |
| Avg. Drawdown | -4.4% | -1.25% |
| Avg. Drawdown Days | 81 | 183 |
| Recovery Factor | 0.16 | 25.75 |
| Ulcer Index | 0.25 | 0.0 |
| Serenity Index | 0.01 | 3.18 |
| Avg. Up Month | 4.65% | 0.61% |
| Avg. Down Month | -5.03% | -0.35% |
| Win Days | 54.09% | 95.08% |
| Win Month | 60.42% | 93.75% |
| Win Quarter | 58.82% | 88.24% |
| Win Year | 60.0% | 100.0% |
| Beta | -1.24 | - |
| Alpha | 0.16 | - |
| Correlation | -1.41% | - |
| Treynor Ratio | -6.88% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 6.09 | 12.35 | 2.03 | + |
| 2022 | 2.29 | -35.90 | -15.70 | - |
| 2023 | 7.42 | 48.13 | 6.49 | + |
| 2024 | 9.51 | -4.01 | -0.42 | - |
| 2025 | 3.65 | 6.03 | 1.65 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-12 | 2025-06-03 | -52.71 | 1330 |
| 2021-07-06 | 2021-08-10 | -5.38 | 35 |
| 2021-09-16 | 2021-09-27 | -3.01 | 11 |
| 2021-04-27 | 2021-05-06 | -2.73 | 9 |
| 2021-08-18 | 2021-08-31 | -2.54 | 13 |
| 2021-06-24 | 2021-07-01 | -1.91 | 7 |
| 2021-05-19 | 2021-05-26 | -1.82 | 7 |
| 2021-06-15 | 2021-06-23 | -1.73 | 8 |
| 2021-05-11 | 2021-05-18 | -1.72 | 7 |
| 2021-09-28 | 2021-10-05 | -1.49 | 7 |