| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -4.69% | 38.05% |
| CAGR﹪ | -2.66% | 19.88% |
| Sharpe | -0.07 | 61.88 |
| Prob. Sharpe Ratio | 46.18% | 100.0% |
| Smart Sharpe | -0.07 | 58.68 |
| Sortino | -0.1 | - |
| Smart Sortino | -0.1 | - |
| Sortino/√2 | -0.07 | - |
| Smart Sortino/√2 | -0.07 | - |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -28.8% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 16.91% | 0.28% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.09 | - |
| Skew | 0.4 | 4.6 |
| Kurtosis | 8.06 | 33.59 |
| Expected Daily | -0.01% | 0.07% |
| Expected Monthly | -0.21% | 1.41% |
| Expected Yearly | -2.37% | 17.5% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.76% | -0.04% |
| Expected Shortfall (cVaR) | -1.76% | -0.04% |
| Max Consecutive Wins | 8 | 460 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | -0.01 | - |
| Gain/Pain (1M) | -0.06 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.99 | - |
| Common Sense Ratio | 1.02 | - |
| CPC Index | - | - |
| Tail Ratio | 1.04 | 1.65 |
| Outlier Win Ratio | 2.11 | 20.36 |
| Outlier Loss Ratio | 1.53 | - |
| MTD | -0.88% | 0.11% |
| 3M | 1.07% | 3.99% |
| 6M | -2.43% | 8.77% |
| YTD | -20.41% | 16.5% |
| 1Y | -19.74% | 20.58% |
| 3Y (ann.) | -2.66% | 19.88% |
| 5Y (ann.) | -2.66% | 19.88% |
| 10Y (ann.) | -2.66% | 19.88% |
| All-time (ann.) | -2.66% | 19.88% |
| Best Day | 7.29% | 0.21% |
| Worst Day | -4.96% | 0.0% |
| Best Month | 13.51% | 1.83% |
| Worst Month | -9.77% | 0.11% |
| Best Year | 19.76% | 18.5% |
| Worst Year | -20.41% | 16.5% |
| Avg. Drawdown | -3.07% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.16 | - |
| Ulcer Index | 0.17 | 0.0 |
| Serenity Index | -0.01 | - |
| Avg. Up Month | 3.07% | 1.39% |
| Avg. Down Month | - | - |
| Win Days | 51.76% | 100.0% |
| Win Month | 52.17% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.26 | - |
| Alpha | 0.03 | - |
| Correlation | -0.43% | - |
| Treynor Ratio | 18.18% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 18.50 | 19.76 | 1.07 | + |
| 2025 | 16.50 | -20.41 | -1.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-27 | 2025-11-03 | -28.80 | 341 |
| 2024-04-18 | 2024-09-04 | -13.42 | 139 |
| 2024-02-26 | 2024-04-10 | -2.46 | 44 |
| 2024-11-06 | 2024-11-18 | -2.39 | 12 |
| 2024-10-10 | 2024-10-28 | -1.96 | 18 |
| 2024-02-08 | 2024-02-15 | -1.09 | 7 |
| 2024-09-05 | 2024-09-06 | -1.04 | 1 |
| 2024-01-29 | 2024-01-31 | -1.04 | 2 |
| 2024-10-29 | 2024-11-01 | -0.72 | 3 |
| 2024-02-05 | 2024-02-06 | -0.41 | 1 |