| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -13.89% | -13.76% |
| CAGR﹪ | -20.97% | -20.78% |
| Sharpe | -1.41 | -1.43 |
| Prob. Sharpe Ratio | 4.19% | 4.1% |
| Smart Sharpe | -1.31 | -1.33 |
| Sortino | -1.88 | -1.92 |
| Smart Sortino | -1.75 | -1.78 |
| Sortino/√2 | -1.33 | -1.36 |
| Smart Sortino/√2 | -1.24 | -1.26 |
| Omega | 0.79 | 0.79 |
| Max Drawdown | -16.12% | -15.47% |
| Longest DD Days | 231 | 231 |
| Volatility (ann.) | 20.06% | 19.72% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -1.3 | -1.34 |
| Skew | 0.12 | 0.09 |
| Kurtosis | 0.81 | 0.52 |
| Expected Daily | -0.09% | -0.09% |
| Expected Monthly | -1.85% | -1.83% |
| Expected Yearly | -7.21% | -7.14% |
| Kelly Criterion | -5.62% | -6.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.16% | -2.13% |
| Expected Shortfall (cVaR) | -2.16% | -2.13% |
| Max Consecutive Wins | 6 | 5 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | -0.16 | -0.16 |
| Gain/Pain (1M) | -0.64 | -0.59 |
| Payoff Ratio | 0.99 | 1.08 |
| Profit Factor | 0.84 | 0.84 |
| Common Sense Ratio | 0.72 | 0.79 |
| CPC Index | 0.39 | 0.4 |
| Tail Ratio | 0.86 | 0.95 |
| Outlier Win Ratio | 3.21 | 3.04 |
| Outlier Loss Ratio | 2.91 | 3.2 |
| MTD | -5.97% | -6.53% |
| 3M | -0.78% | -0.73% |
| 6M | -4.82% | -4.87% |
| YTD | -5.32% | -5.94% |
| 1Y | -13.89% | -13.76% |
| 3Y (ann.) | -20.97% | -20.78% |
| 5Y (ann.) | -20.97% | -20.78% |
| 10Y (ann.) | -20.97% | -20.78% |
| All-time (ann.) | -20.97% | -20.78% |
| Best Day | 4.5% | 3.59% |
| Worst Day | -3.47% | -3.68% |
| Best Month | 3.78% | 4.56% |
| Worst Month | -5.97% | -6.53% |
| Best Year | -5.32% | -5.94% |
| Worst Year | -9.05% | -8.31% |
| Avg. Drawdown | -16.12% | -15.47% |
| Avg. Drawdown Days | 231 | 231 |
| Recovery Factor | -0.86 | -0.89 |
| Ulcer Index | 0.1 | 0.1 |
| Serenity Index | -0.17 | -0.18 |
| Avg. Up Month | 2.42% | 3.05% |
| Avg. Down Month | -4.31% | -4.64% |
| Win Days | 47.44% | 44.65% |
| Win Month | 37.5% | 37.5% |
| Win Quarter | 25.0% | 25.0% |
| Win Year | 0.0% | 0.0% |
| Beta | 0.74 | - |
| Alpha | -0.06 | - |
| Correlation | 72.8% | - |
| Treynor Ratio | -28.21% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | -8.31 | -9.05 | 1.09 | - |
| 2026 | -5.94 | -5.32 | 0.90 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-09-11 | 2026-04-30 | -16.12 | 231 |