| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 98.0% | 94.0% |
| Cumulative Return | 5.19% | -4.25% |
| CAGR﹪ | 30.19% | -20.26% |
| Sharpe | -72.1 | -16.53 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -69.77 | -16.0 |
| Sortino | -15.51 | -11.62 |
| Smart Sortino | -15.01 | -11.24 |
| Sortino/√2 | -10.97 | -8.21 |
| Smart Sortino/√2 | -10.61 | -7.95 |
| Omega | 0.0 | 0.0 |
| Max Drawdown | -0.25% | -6.94% |
| Longest DD Days | 2 | 27 |
| Volatility (ann.) | 2.53% | 13.95% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.21 | 0.21 |
| Calmar | 121.01 | -2.92 |
| Skew | 1.24 | -0.31 |
| Kurtosis | 6.14 | -0.19 |
| Expected Daily | 0.11% | -0.09% |
| Expected Monthly | 1.7% | -1.44% |
| Expected Yearly | 2.56% | -2.15% |
| Kelly Criterion | 68.43% | -40.82% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.16% | -1.53% |
| Expected Shortfall (cVaR) | -0.16% | -1.53% |
| Max Consecutive Wins | 13 | 5 |
| Max Consecutive Losses | 1 | 5 |
| Gain/Pain Ratio | 5.87 | -0.23 |
| Gain/Pain (1M) | - | -0.58 |
| Payoff Ratio | 1.17 | 0.61 |
| Profit Factor | 6.87 | 0.77 |
| Common Sense Ratio | 16.66 | 0.73 |
| CPC Index | 6.67 | 0.22 |
| Tail Ratio | 2.42 | 0.94 |
| Outlier Win Ratio | 6.93 | 1.75 |
| Outlier Loss Ratio | 10.55 | 1.49 |
| MTD | 1.24% | -5.11% |
| 3M | 5.19% | -4.25% |
| 6M | 5.19% | -4.25% |
| YTD | 2.79% | -2.31% |
| 1Y | 5.19% | -4.25% |
| 3Y (ann.) | 30.19% | -20.26% |
| 5Y (ann.) | 30.19% | -20.26% |
| 10Y (ann.) | 30.19% | -20.26% |
| All-time (ann.) | 30.19% | -20.26% |
| Best Day | 0.77% | 1.48% |
| Worst Day | -0.25% | -2.31% |
| Best Month | 2.34% | 2.95% |
| Worst Month | 1.24% | -5.11% |
| Best Year | 2.79% | -1.99% |
| Worst Year | 2.34% | -2.31% |
| Avg. Drawdown | -0.11% | -3.57% |
| Avg. Drawdown Days | 1 | 16 |
| Recovery Factor | 20.8 | -0.61 |
| Ulcer Index | 0.0 | 0.02 |
| Serenity Index | -16872.61 | -55.55 |
| Avg. Up Month | 1.53% | 2.95% |
| Avg. Down Month | - | - |
| Win Days | 82.98% | 46.67% |
| Win Month | 100.0% | 33.33% |
| Win Quarter | 100.0% | 0.0% |
| Win Year | 100.0% | 0.0% |
| Beta | -0.02 | - |
| Alpha | 0.26 | - |
| Correlation | -8.77% | - |
| Treynor Ratio | 43764.83% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | -1.99 | 2.34 | -1.17 | + |
| 2025 | -2.31 | 2.79 | -1.21 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-06 | 2025-02-07 | -0.25 | 1 |
| 2024-12-17 | 2024-12-18 | -0.23 | 1 |
| 2025-02-03 | 2025-02-05 | -0.15 | 2 |
| 2025-01-22 | 2025-01-23 | -0.09 | 1 |
| 2025-01-29 | 2025-01-30 | -0.06 | 1 |
| 2025-02-20 | 2025-02-20 | -0.04 | 0 |
| 2025-01-15 | 2025-01-17 | -0.03 | 2 |
| 2025-01-09 | 2025-01-10 | -0.02 | 1 |