| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 99.0% |
| Cumulative Return | -0.45% | -0.45% |
| CAGR﹪ | -1.54% | -1.52% |
| Sharpe | -2.07 | -1.86 |
| Prob. Sharpe Ratio | 20.62% | 21.45% |
| Smart Sharpe | -2.0 | -1.8 |
| Sortino | -2.1 | -1.9 |
| Smart Sortino | -2.04 | -1.84 |
| Sortino/√2 | -1.49 | -1.34 |
| Smart Sortino/√2 | -1.44 | -1.3 |
| Omega | 0.47 | 0.47 |
| Max Drawdown | -1.19% | -1.27% |
| Longest DD Days | 63 | 30 |
| Volatility (ann.) | 4.02% | 4.45% |
| R^2 | 0.94 | 0.94 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -1.29 | -1.2 |
| Skew | -3.76 | -3.76 |
| Kurtosis | 13.2 | 13.29 |
| Expected Daily | -0.01% | -0.01% |
| Expected Monthly | -0.09% | -0.09% |
| Expected Yearly | -0.22% | -0.22% |
| Kelly Criterion | -36.49% | -12.99% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.42% | -0.47% |
| Expected Shortfall (cVaR) | -0.42% | -0.47% |
| Max Consecutive Wins | 17 | 21 |
| Max Consecutive Losses | 1 | 1 |
| Gain/Pain Ratio | -0.11 | -0.09 |
| Gain/Pain (1M) | -0.28 | -0.23 |
| Payoff Ratio | 0.06 | 0.05 |
| Profit Factor | 0.89 | 0.91 |
| Common Sense Ratio | 0.26 | 0.22 |
| CPC Index | 0.05 | 0.05 |
| Tail Ratio | 0.29 | 0.24 |
| Outlier Win Ratio | 3.3 | 3.01 |
| Outlier Loss Ratio | 1.39 | 1.01 |
| MTD | 0.05% | 0.16% |
| 3M | -0.03% | -0.01% |
| 6M | -0.45% | -0.45% |
| YTD | -0.01% | 0.19% |
| 1Y | -0.45% | -0.45% |
| 3Y (ann.) | -1.54% | -1.52% |
| 5Y (ann.) | -1.54% | -1.52% |
| 10Y (ann.) | -1.54% | -1.52% |
| All-time (ann.) | -1.54% | -1.52% |
| Best Day | 0.17% | 0.3% |
| Worst Day | -1.14% | -1.27% |
| Best Month | 1.0% | 1.29% |
| Worst Month | -1.05% | -1.24% |
| Best Year | -0.01% | 0.19% |
| Worst Year | -0.44% | -0.63% |
| Avg. Drawdown | -1.07% | -1.18% |
| Avg. Drawdown Days | 44 | 28 |
| Recovery Factor | -0.38 | -0.35 |
| Ulcer Index | 0.01 | 0.01 |
| Serenity Index | -2.49 | -2.93 |
| Avg. Up Month | 0.53% | 0.72% |
| Avg. Down Month | -0.78% | -0.93% |
| Win Days | 92.54% | 94.2% |
| Win Month | 60.0% | 40.0% |
| Win Quarter | 0.0% | 50.0% |
| Win Year | 0.0% | 50.0% |
| Beta | 0.88 | - |
| Alpha | -0.0 | - |
| Correlation | 96.82% | - |
| Treynor Ratio | -8.51% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | -0.63 | -0.44 | 0.70 | + |
| 2026 | 0.19 | -0.01 | -0.05 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-12-30 | 2026-03-03 | -1.19 | 63 |
| 2025-11-28 | 2025-12-23 | -0.94 | 25 |