| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | 10.29% | 22.33% |
| CAGR﹪ | 9.76% | 21.11% |
| Sharpe | 0.47 | 54.49 |
| Prob. Sharpe Ratio | 69.15% | 100.0% |
| Smart Sharpe | 0.44 | 51.09 |
| Sortino | 0.74 | - |
| Smart Sortino | 0.69 | - |
| Sortino/√2 | 0.52 | - |
| Smart Sortino/√2 | 0.49 | - |
| Omega | 1.08 | 1.08 |
| Max Drawdown | -21.51% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 25.93% | 0.34% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.45 | - |
| Skew | 0.77 | 2.69 |
| Kurtosis | 2.93 | 10.38 |
| Expected Daily | 0.04% | 0.07% |
| Expected Monthly | 0.7% | 1.45% |
| Expected Yearly | 5.02% | 10.6% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.64% | -0.04% |
| Expected Shortfall (cVaR) | -2.64% | -0.04% |
| Max Consecutive Wins | 6 | 274 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.08 | - |
| Gain/Pain (1M) | 0.51 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.08 | - |
| Common Sense Ratio | 1.18 | - |
| CPC Index | - | - |
| Tail Ratio | 1.09 | 1.6 |
| Outlier Win Ratio | 2.07 | 32.37 |
| Outlier Loss Ratio | 1.24 | - |
| MTD | -0.9% | 0.26% |
| 3M | -7.77% | 4.01% |
| 6M | -4.17% | 8.49% |
| YTD | -2.04% | 18.19% |
| 1Y | 13.81% | 20.13% |
| 3Y (ann.) | 9.76% | 21.11% |
| 5Y (ann.) | 9.76% | 21.11% |
| 10Y (ann.) | 9.76% | 21.11% |
| All-time (ann.) | 9.76% | 21.11% |
| Best Day | 8.43% | 0.17% |
| Worst Day | -4.2% | 0.0% |
| Best Month | 14.42% | 1.81% |
| Worst Month | -7.55% | 0.26% |
| Best Year | 12.59% | 18.19% |
| Worst Year | -2.04% | 3.5% |
| Avg. Drawdown | -5.16% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.48 | - |
| Ulcer Index | 0.12 | 0.0 |
| Serenity Index | 0.07 | - |
| Avg. Up Month | 6.61% | 1.58% |
| Avg. Down Month | - | - |
| Win Days | 50.79% | 100.0% |
| Win Month | 42.86% | 100.0% |
| Win Quarter | 40.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 1.86 | - |
| Alpha | -0.22 | - |
| Correlation | 2.44% | - |
| Treynor Ratio | 5.52% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 3.50 | 12.59 | 3.59 | + |
| 2025 | 18.19 | -2.04 | -0.11 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-18 | 2025-12-04 | -21.51 | 289 |
| 2024-11-21 | 2024-12-20 | -7.59 | 29 |
| 2025-01-03 | 2025-01-15 | -4.17 | 12 |
| 2025-01-31 | 2025-02-06 | -2.41 | 6 |
| 2025-01-20 | 2025-01-30 | -2.25 | 10 |
| 2025-02-14 | 2025-02-17 | -1.87 | 3 |
| 2024-12-24 | 2024-12-25 | -1.32 | 1 |
| 2025-02-07 | 2025-02-10 | -0.17 | 3 |