| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 0.84% | 62.97% |
| CAGR﹪ | 0.21% | 13.24% |
| Sharpe | 0.15 | 24.46 |
| Prob. Sharpe Ratio | 61.46% | 100.0% |
| Smart Sharpe | 0.13 | 21.37 |
| Sortino | 0.2 | - |
| Smart Sortino | 0.17 | - |
| Sortino/√2 | 0.14 | - |
| Smart Sortino/√2 | 0.12 | - |
| Omega | 1.03 | 1.03 |
| Max Drawdown | -45.18% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 27.81% | 0.53% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.0 | - |
| Skew | -2.13 | 8.65 |
| Kurtosis | 33.37 | 117.18 |
| Expected Daily | 0.0% | 0.05% |
| Expected Monthly | 0.02% | 1.0% |
| Expected Yearly | 0.17% | 10.26% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.87% | -0.0% |
| Expected Shortfall (cVaR) | -2.87% | -0.0% |
| Max Consecutive Wins | 7 | 956 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.03 | - |
| Gain/Pain (1M) | 0.14 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.03 | - |
| Common Sense Ratio | 1.04 | - |
| CPC Index | - | - |
| Tail Ratio | 1.01 | 3.33 |
| Outlier Win Ratio | 2.11 | 42.51 |
| Outlier Loss Ratio | 1.73 | - |
| MTD | 1.1% | 0.08% |
| 3M | -2.98% | 4.96% |
| 6M | -4.08% | 10.53% |
| YTD | -4.08% | 10.53% |
| 1Y | -9.97% | 21.75% |
| 3Y (ann.) | 12.63% | 14.57% |
| 5Y (ann.) | 0.21% | 13.24% |
| 10Y (ann.) | 0.21% | 13.24% |
| All-time (ann.) | 0.21% | 13.24% |
| Best Day | 12.19% | 0.51% |
| Worst Day | -22.27% | 0.0% |
| Best Month | 18.05% | 1.83% |
| Worst Month | -21.38% | 0.08% |
| Best Year | 50.35% | 18.74% |
| Worst Year | -29.89% | 3.19% |
| Avg. Drawdown | -4.48% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.02 | - |
| Ulcer Index | 0.21 | 0.0 |
| Serenity Index | 0.0 | - |
| Avg. Up Month | 4.6% | 0.9% |
| Avg. Down Month | - | - |
| Win Days | 52.52% | 100.0% |
| Win Month | 57.14% | 100.0% |
| Win Quarter | 52.94% | 100.0% |
| Win Year | 40.0% | 100.0% |
| Beta | 2.78 | - |
| Alpha | -0.32 | - |
| Correlation | 5.27% | - |
| Treynor Ratio | 0.3% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.19 | 0.29 | 0.09 | - |
| 2022 | 9.41 | -29.89 | -3.18 | - |
| 2023 | 10.00 | 50.35 | 5.04 | + |
| 2024 | 18.74 | -0.57 | -0.03 | - |
| 2025 | 10.53 | -4.08 | -0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2023-09-04 | -45.18 | 683 |
| 2024-05-20 | 2025-07-01 | -30.66 | 407 |
| 2023-10-26 | 2024-01-12 | -8.57 | 78 |
| 2023-09-05 | 2023-10-17 | -7.17 | 42 |
| 2024-02-20 | 2024-03-01 | -3.42 | 10 |
| 2021-09-10 | 2021-10-05 | -2.99 | 25 |
| 2024-03-12 | 2024-03-28 | -2.65 | 16 |
| 2024-04-17 | 2024-05-13 | -2.62 | 26 |
| 2021-08-12 | 2021-08-30 | -1.83 | 18 |
| 2024-01-23 | 2024-01-30 | -0.99 | 7 |