| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 91.0% | 100.0% |
| Cumulative Return | 2.75% | 6.88% |
| CAGR﹪ | 2.29% | 5.72% |
| Sharpe | -0.39 | -0.09 |
| Prob. Sharpe Ratio | 17.79% | 29.93% |
| Smart Sharpe | -0.38 | -0.08 |
| Sortino | -0.54 | -0.12 |
| Smart Sortino | -0.54 | -0.12 |
| Sortino/√2 | -0.38 | -0.09 |
| Smart Sortino/√2 | -0.38 | -0.08 |
| Omega | 0.94 | 0.94 |
| Max Drawdown | -10.5% | -10.22% |
| Longest DD Days | 137 | 137 |
| Volatility (ann.) | 10.28% | 9.42% |
| R^2 | 0.63 | 0.63 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.22 | 0.56 |
| Skew | 0.13 | 0.18 |
| Kurtosis | 0.46 | 2.29 |
| Expected Daily | 0.01% | 0.02% |
| Expected Monthly | 0.17% | 0.42% |
| Expected Yearly | 1.37% | 3.38% |
| Kelly Criterion | 4.7% | 2.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.05% | -0.95% |
| Expected Shortfall (cVaR) | -1.05% | -0.95% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.04 | 0.11 |
| Gain/Pain (1M) | 0.32 | 0.86 |
| Payoff Ratio | 0.94 | 1.0 |
| Profit Factor | 1.04 | 1.11 |
| Common Sense Ratio | 1.08 | 1.02 |
| CPC Index | 0.53 | 0.57 |
| Tail Ratio | 1.03 | 0.92 |
| Outlier Win Ratio | 3.35 | 3.26 |
| Outlier Loss Ratio | 2.33 | 3.14 |
| MTD | -1.41% | -0.33% |
| 3M | -6.19% | -5.39% |
| 6M | -3.77% | -2.05% |
| YTD | -3.77% | -2.05% |
| 1Y | 2.75% | 5.45% |
| 3Y (ann.) | 2.29% | 5.72% |
| 5Y (ann.) | 2.29% | 5.72% |
| 10Y (ann.) | 2.29% | 5.72% |
| All-time (ann.) | 2.29% | 5.72% |
| Best Day | 2.58% | 3.0% |
| Worst Day | -1.67% | -1.94% |
| Best Month | 3.3% | 3.2% |
| Worst Month | -3.13% | -2.66% |
| Best Year | 6.78% | 9.12% |
| Worst Year | -3.77% | -2.05% |
| Avg. Drawdown | -2.67% | -2.26% |
| Avg. Drawdown Days | 35 | 32 |
| Recovery Factor | 0.26 | 0.67 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | -0.1 | -0.0 |
| Avg. Up Month | 1.5% | 1.71% |
| Avg. Down Month | -1.5% | -1.22% |
| Win Days | 53.82% | 51.32% |
| Win Month | 56.25% | 56.25% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.87 | - |
| Alpha | -0.02 | - |
| Correlation | 79.36% | - |
| Treynor Ratio | -4.91% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 9.12 | 6.78 | 0.74 | - |
| 2026 | -2.05 | -3.77 | 1.84 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-20 | 2026-07-02 | -10.50 | 104 |
| 2025-09-12 | 2026-01-27 | -7.08 | 137 |
| 2025-04-29 | 2025-07-21 | -4.25 | 83 |
| 2025-07-30 | 2025-08-08 | -2.56 | 9 |
| 2026-02-02 | 2026-02-27 | -1.80 | 25 |
| 2025-08-18 | 2025-09-08 | -1.48 | 21 |
| 2025-08-14 | 2025-08-15 | -0.56 | 1 |
| 2026-03-16 | 2026-03-17 | -0.44 | 1 |
| 2025-07-25 | 2025-07-29 | -0.38 | 4 |
| 2026-03-03 | 2026-03-05 | -0.18 | 2 |