| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 11.79% | 29.39% |
| CAGR﹪ | 7.98% | 19.42% |
| Sharpe | 0.44 | 55.35 |
| Prob. Sharpe Ratio | 70.56% | 100.0% |
| Smart Sharpe | 0.41 | 51.43 |
| Sortino | 0.69 | - |
| Smart Sortino | 0.64 | - |
| Sortino/√2 | 0.48 | - |
| Smart Sortino/√2 | 0.45 | - |
| Omega | 1.08 | 1.08 |
| Max Drawdown | -21.51% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 23.16% | 0.32% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.37 | - |
| Skew | 0.82 | 2.9 |
| Kurtosis | 3.93 | 12.41 |
| Expected Daily | 0.03% | 0.07% |
| Expected Monthly | 0.62% | 1.44% |
| Expected Yearly | 3.78% | 8.97% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.36% | -0.04% |
| Expected Shortfall (cVaR) | -2.36% | -0.04% |
| Max Consecutive Wins | 6 | 371 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.08 | - |
| Gain/Pain (1M) | 0.48 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.08 | - |
| Common Sense Ratio | 1.13 | - |
| CPC Index | - | - |
| Tail Ratio | 1.05 | 1.74 |
| Outlier Win Ratio | 1.98 | 28.75 |
| Outlier Loss Ratio | 1.34 | - |
| MTD | -4.03% | 1.12% |
| 3M | -4.85% | 3.53% |
| 6M | 6.57% | 7.61% |
| YTD | -2.86% | 4.71% |
| 1Y | -5.65% | 16.96% |
| 3Y (ann.) | 7.98% | 19.42% |
| 5Y (ann.) | 7.98% | 19.42% |
| 10Y (ann.) | 7.98% | 19.42% |
| All-time (ann.) | 7.98% | 19.42% |
| Best Day | 8.43% | 0.17% |
| Worst Day | -4.2% | 0.0% |
| Best Month | 14.42% | 1.81% |
| Worst Month | -7.55% | 1.12% |
| Best Year | 12.59% | 19.38% |
| Worst Year | -2.86% | 3.5% |
| Avg. Drawdown | -5.16% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.55 | - |
| Ulcer Index | 0.12 | 0.0 |
| Serenity Index | 0.08 | - |
| Avg. Up Month | 5.78% | 1.5% |
| Avg. Down Month | - | - |
| Win Days | 50.58% | 100.0% |
| Win Month | 44.44% | 100.0% |
| Win Quarter | 57.14% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | 2.34 | - |
| Alpha | -0.31 | - |
| Correlation | 3.18% | - |
| Treynor Ratio | 5.04% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 3.50 | 12.59 | 3.59 | + |
| 2025 | 19.38 | 2.22 | 0.11 | - |
| 2026 | 4.71 | -2.86 | -0.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-18 | 2026-04-29 | -21.51 | 435 |
| 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 |