| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 7.07% | 75.9% |
| CAGR﹪ | 1.45% | 12.65% |
| Sharpe | 0.18 | 20.4 |
| Prob. Sharpe Ratio | 64.94% | 100.0% |
| Smart Sharpe | 0.17 | 19.59 |
| Sortino | 0.24 | - |
| Smart Sortino | 0.23 | - |
| Sortino/√2 | 0.17 | - |
| Smart Sortino/√2 | 0.16 | - |
| Omega | 1.03 | 1.03 |
| Max Drawdown | -48.48% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 22.37% | 0.59% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.03 | - |
| Skew | -0.89 | 12.77 |
| Kurtosis | 8.06 | 246.79 |
| Expected Daily | 0.01% | 0.05% |
| Expected Monthly | 0.12% | 0.98% |
| Expected Yearly | 1.38% | 11.96% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.3% | -0.01% |
| Expected Shortfall (cVaR) | -2.3% | -0.01% |
| Max Consecutive Wins | 9 | 1190 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.03 | - |
| Gain/Pain (1M) | 0.13 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.03 | - |
| Common Sense Ratio | 0.94 | - |
| CPC Index | - | - |
| Tail Ratio | 0.91 | 4.59 |
| Outlier Win Ratio | 2.03 | 39.53 |
| Outlier Loss Ratio | 1.89 | - |
| MTD | -3.47% | 1.29% |
| 3M | -3.52% | 4.75% |
| 6M | -4.67% | 9.69% |
| YTD | -8.85% | 16.38% |
| 1Y | -2.91% | 21.79% |
| 3Y (ann.) | 12.0% | 15.84% |
| 5Y (ann.) | 1.45% | 12.65% |
| 10Y (ann.) | 1.45% | 12.65% |
| All-time (ann.) | 1.45% | 12.65% |
| Best Day | 7.71% | 0.77% |
| Worst Day | -10.29% | 0.0% |
| Best Month | 15.57% | 1.83% |
| Worst Month | -24.16% | 0.33% |
| Best Year | 55.98% | 18.74% |
| Worst Year | -32.19% | 5.77% |
| Avg. Drawdown | -3.77% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.15 | - |
| Ulcer Index | 0.2 | 0.0 |
| Serenity Index | 0.01 | - |
| Avg. Up Month | 4.65% | 0.94% |
| Avg. Down Month | - | - |
| Win Days | 53.32% | 100.0% |
| Win Month | 60.34% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 40.0% | 100.0% |
| Beta | 4.24 | - |
| Alpha | -0.47 | - |
| Correlation | 11.12% | - |
| Treynor Ratio | 1.67% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 5.77 | 13.43 | 2.33 | + |
| 2022 | 9.41 | -32.19 | -3.42 | - |
| 2023 | 10.00 | 55.98 | 5.60 | + |
| 2024 | 18.74 | -2.09 | -0.11 | - |
| 2025 | 16.38 | -8.85 | -0.54 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2023-09-01 | -48.48 | 681 |
| 2024-05-17 | 2025-10-15 | -28.78 | 516 |
| 2023-10-26 | 2024-01-31 | -9.85 | 97 |
| 2023-09-07 | 2023-10-17 | -7.57 | 40 |
| 2021-01-21 | 2021-03-11 | -5.27 | 49 |
| 2021-06-15 | 2021-08-05 | -4.77 | 51 |
| 2024-02-16 | 2024-03-07 | -4.02 | 20 |
| 2021-04-27 | 2021-05-07 | -3.47 | 10 |
| 2021-09-14 | 2021-10-05 | -3.38 | 21 |
| 2024-03-12 | 2024-04-01 | -2.70 | 20 |