| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -5.83% | 48.13% |
| CAGR﹪ | -2.62% | 18.96% |
| Sharpe | -0.08 | 63.82 |
| Prob. Sharpe Ratio | 45.4% | 100.0% |
| Smart Sharpe | -0.07 | 61.32 |
| Sortino | -0.11 | - |
| Smart Sortino | -0.11 | - |
| Sortino/√2 | -0.08 | - |
| Smart Sortino/√2 | -0.07 | - |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -29.75% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 16.49% | 0.27% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.09 | - |
| Skew | 0.37 | 4.69 |
| Kurtosis | 7.13 | 36.75 |
| Expected Daily | -0.01% | 0.07% |
| Expected Monthly | -0.21% | 1.41% |
| Expected Yearly | -1.98% | 13.99% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.71% | -0.04% |
| Expected Shortfall (cVaR) | -1.71% | -0.04% |
| Max Consecutive Wins | 8 | 579 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | -0.01 | - |
| Gain/Pain (1M) | -0.06 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.99 | - |
| Common Sense Ratio | 1.04 | - |
| CPC Index | - | - |
| Tail Ratio | 1.06 | 1.64 |
| Outlier Win Ratio | 1.95 | 19.76 |
| Outlier Loss Ratio | 1.55 | - |
| MTD | -7.12% | 1.12% |
| 3M | 1.25% | 3.53% |
| 6M | -0.62% | 7.61% |
| YTD | -1.22% | 4.71% |
| 1Y | -1.83% | 16.96% |
| 3Y (ann.) | -2.62% | 18.96% |
| 5Y (ann.) | -2.62% | 18.96% |
| 10Y (ann.) | -2.62% | 18.96% |
| All-time (ann.) | -2.62% | 18.96% |
| Best Day | 7.29% | 0.21% |
| Worst Day | -4.96% | 0.0% |
| Best Month | 13.51% | 1.83% |
| Worst Month | -9.77% | 1.03% |
| Best Year | 19.76% | 19.38% |
| Worst Year | -20.4% | 4.71% |
| Avg. Drawdown | -3.12% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.2 | - |
| Ulcer Index | 0.19 | 0.0 |
| Serenity Index | -0.01 | - |
| Avg. Up Month | 3.32% | 1.35% |
| Avg. Down Month | - | - |
| Win Days | 51.13% | 100.0% |
| Win Month | 53.57% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | -0.59 | - |
| Alpha | 0.09 | - |
| Correlation | -0.96% | - |
| Treynor Ratio | 9.89% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 18.50 | 19.76 | 1.07 | + |
| 2025 | 19.38 | -20.40 | -1.05 | - |
| 2026 | 4.71 | -1.22 | -0.26 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-27 | 2026-04-29 | -29.75 | 518 |
| 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 |