| Metric | Strategy | Benchmark | 
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% | 
| Time in Market | 9.0% | 100.0% | 
| Cumulative Return | 8.61% | 26.29% | 
| CAGR﹪ | 2.23% | 6.44% | 
| Sharpe | -0.45 | 0.02 | 
| Prob. Sharpe Ratio | 6.32% | 19.94% | 
| Smart Sharpe | -0.42 | 0.02 | 
| Sortino | -0.59 | 0.02 | 
| Smart Sortino | -0.56 | 0.02 | 
| Sortino/√2 | -0.42 | 0.02 | 
| Smart Sortino/√2 | -0.39 | 0.01 | 
| Omega | 0.79 | 0.79 | 
| Max Drawdown | -12.52% | -19.89% | 
| Longest DD Days | 889 | 630 | 
| Volatility (ann.) | 9.19% | 11.44% | 
| R^2 | 0.0 | 0.0 | 
| Information Ratio | -0.02 | -0.02 | 
| Calmar | 0.18 | 0.32 | 
| Skew | -3.73 | -6.78 | 
| Kurtosis | 86.0 | 152.65 | 
| Expected Daily | 0.01% | 0.02% | 
| Expected Monthly | 0.18% | 0.52% | 
| Expected Yearly | 2.09% | 6.01% | 
| Kelly Criterion | 32.81% | -3.46% | 
| Risk of Ruin | 0.0% | 0.0% | 
| Daily Value-at-Risk | -0.94% | -1.16% | 
| Expected Shortfall (cVaR) | -0.94% | -1.16% | 
| Max Consecutive Wins | 4 | 15 | 
| Max Consecutive Losses | 3 | 15 | 
| Gain/Pain Ratio | 0.2 | 0.19 | 
| Gain/Pain (1M) | 0.48 | 0.54 | 
| Payoff Ratio | 1.34 | 0.85 | 
| Profit Factor | 1.2 | 1.19 | 
| Common Sense Ratio | - | 1.54 | 
| CPC Index | 0.99 | 0.53 | 
| Tail Ratio | - | 1.29 | 
| Outlier Win Ratio | 32.23 | 6.36 | 
| Outlier Loss Ratio | 0.86 | 4.59 | 
| MTD | 0.0% | 1.96% | 
| 3M | 0.0% | 0.2% | 
| 6M | 0.0% | 12.79% | 
| YTD | 0.0% | 18.58% | 
| 1Y | 0.0% | 32.78% | 
| 3Y (ann.) | 0.09% | 5.69% | 
| 5Y (ann.) | 2.23% | 6.44% | 
| 10Y (ann.) | 2.23% | 6.44% | 
| All-time (ann.) | 2.23% | 6.44% | 
| Best Day | 4.02% | 4.82% | 
| Worst Day | -9.24% | -13.8% | 
| Best Month | 8.59% | 8.98% | 
| Worst Month | -12.52% | -15.45% | 
| Best Year | 9.2% | 18.58% | 
| Worst Year | -0.54% | -2.11% | 
| Avg. Drawdown | -4.24% | -1.98% | 
| Avg. Drawdown Days | 181 | 41 | 
| Recovery Factor | 0.69 | 1.32 | 
| Ulcer Index | 0.03 | 0.05 | 
| Serenity Index | 0.05 | 0.26 | 
| Avg. Up Month | 2.78% | 3.01% | 
| Avg. Down Month | -4.8% | -5.38% | 
| Win Days | 61.54% | 52.46% | 
| Win Month | 68.75% | 57.78% | 
| Win Quarter | 50.0% | 62.5% | 
| Win Year | 50.0% | 75.0% | 
| Beta | 0.0 | - | 
| Alpha | 0.03 | - | 
| Correlation | 0.11% | - | 
| Treynor Ratio | 1876.35% | - | 
| Year | Benchmark | Strategy | Multiplier | Won | 
|---|---|---|---|---|
| 2022 | 7.97 | 9.20 | 1.15 | + | 
| 2023 | 0.76 | -0.54 | -0.71 | - | 
| 2024 | -2.11 | 0.00 | -0.00 | + | 
| 2025 | 18.58 | 0.00 | 0.00 | - | 
| Started | Recovered | Drawdown | Days | 
|---|---|---|---|
| 2022-02-21 | 2022-04-28 | -12.52 | 66 | 
| 2022-09-12 | 2023-05-16 | -5.22 | 246 | 
| 2023-05-25 | 2025-10-30 | -3.54 | 889 | 
| 2023-05-22 | 2023-05-24 | -3.52 | 2 | 
| 2022-08-12 | 2022-09-08 | -2.00 | 27 | 
| 2022-04-29 | 2022-05-27 | -1.48 | 28 | 
| 2022-07-21 | 2022-07-28 | -1.41 | 7 |