| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 9.7% | 74.45% |
| CAGR﹪ | 2.32% | 14.82% |
| Sharpe | 0.21 | 47.25 |
| Prob. Sharpe Ratio | 66.66% | - |
| Smart Sharpe | 0.21 | 45.7 |
| Sortino | 0.3 | - |
| Smart Sortino | 0.29 | - |
| Sortino/√2 | 0.22 | - |
| Smart Sortino/√2 | 0.21 | - |
| Omega | 1.04 | 1.04 |
| Max Drawdown | -46.78% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 22.39% | 0.29% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.05 | - |
| Skew | 0.22 | 0.0 |
| Kurtosis | 4.91 | -0.86 |
| Expected Daily | 0.01% | 0.05% |
| Expected Monthly | 0.19% | 1.14% |
| Expected Yearly | 1.87% | 11.77% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.3% | -0.02% |
| Expected Shortfall (cVaR) | -2.3% | -0.02% |
| Max Consecutive Wins | 10 | 1028 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.04 | - |
| Gain/Pain (1M) | 0.17 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.04 | - |
| Common Sense Ratio | 0.97 | - |
| CPC Index | - | - |
| Tail Ratio | 0.93 | 3.18 |
| Outlier Win Ratio | 2.07 | 36.85 |
| Outlier Loss Ratio | 1.74 | - |
| MTD | -1.32% | 1.07% |
| 3M | -13.64% | 3.3% |
| 6M | -23.63% | 6.79% |
| YTD | -19.33% | 8.09% |
| 1Y | -18.72% | 15.33% |
| 3Y (ann.) | -10.61% | 17.44% |
| 5Y (ann.) | 2.32% | 14.82% |
| 10Y (ann.) | 2.32% | 14.82% |
| All-time (ann.) | 2.32% | 14.82% |
| Best Day | 9.17% | 0.1% |
| Worst Day | -7.64% | 0.0% |
| Best Month | 15.75% | 1.83% |
| Worst Month | -16.36% | 0.48% |
| Best Year | 37.09% | 19.38% |
| Worst Year | -19.33% | 3.5% |
| Avg. Drawdown | -3.98% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.21 | - |
| Ulcer Index | 0.17 | 0.0 |
| Serenity Index | 0.03 | - |
| Avg. Up Month | 4.87% | 1.06% |
| Avg. Down Month | - | - |
| Win Days | 52.37% | 100.0% |
| Win Month | 57.14% | 100.0% |
| Win Quarter | 47.06% | 100.0% |
| Win Year | 40.0% | 100.0% |
| Beta | -0.32 | - |
| Alpha | 0.09 | - |
| Correlation | -0.42% | - |
| Treynor Ratio | -29.99% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 3.50 | 6.56 | 1.87 | + |
| 2023 | 10.00 | 37.09 | 3.71 | + |
| 2024 | 18.74 | -3.41 | -0.18 | - |
| 2025 | 19.38 | -3.63 | -0.19 | - |
| 2026 | 8.09 | -19.33 | -2.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-20 | 2026-07-31 | -46.78 | 802 |
| 2022-09-06 | 2023-03-20 | -22.86 | 195 |
| 2023-09-06 | 2024-03-13 | -11.69 | 189 |
| 2022-08-01 | 2022-08-23 | -5.91 | 22 |
| 2023-04-25 | 2023-05-29 | -5.21 | 34 |
| 2023-08-04 | 2023-08-31 | -4.16 | 27 |
| 2023-06-22 | 2023-07-10 | -3.25 | 18 |
| 2024-03-14 | 2024-03-28 | -1.96 | 14 |
| 2023-07-19 | 2023-07-25 | -1.84 | 6 |
| 2024-04-30 | 2024-05-13 | -1.69 | 13 |