| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 9.12% | 67.28% |
| CAGR﹪ | 2.18% | 13.54% |
| Sharpe | 0.22 | 24.72 |
| Prob. Sharpe Ratio | 66.78% | 100.0% |
| Smart Sharpe | 0.19 | 21.66 |
| Sortino | 0.29 | - |
| Smart Sortino | 0.26 | - |
| Sortino/√2 | 0.21 | - |
| Smart Sortino/√2 | 0.18 | - |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -45.18% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 27.54% | 0.53% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.05 | - |
| Skew | -2.13 | 8.19 |
| Kurtosis | 33.63 | 109.04 |
| Expected Daily | 0.01% | 0.05% |
| Expected Monthly | 0.17% | 1.03% |
| Expected Yearly | 1.76% | 10.84% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.83% | -0.0% |
| Expected Shortfall (cVaR) | -2.83% | -0.0% |
| Max Consecutive Wins | 7 | 989 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.05 | - |
| Gain/Pain (1M) | 0.21 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.05 | - |
| Common Sense Ratio | 1.06 | - |
| CPC Index | - | - |
| Tail Ratio | 1.02 | 3.34 |
| Outlier Win Ratio | 2.12 | 41.75 |
| Outlier Loss Ratio | 1.72 | - |
| MTD | 7.57% | 1.33% |
| 3M | 9.95% | 5.26% |
| 6M | -1.53% | 10.5% |
| YTD | 3.8% | 13.45% |
| 1Y | 4.09% | 22.41% |
| 3Y (ann.) | 13.48% | 15.27% |
| 5Y (ann.) | 2.18% | 13.54% |
| 10Y (ann.) | 2.18% | 13.54% |
| All-time (ann.) | 2.18% | 13.54% |
| Best Day | 12.19% | 0.51% |
| Worst Day | -22.27% | 0.0% |
| Best Month | 18.05% | 1.83% |
| Worst Month | -21.38% | 0.31% |
| Best Year | 50.35% | 18.74% |
| Worst Year | -29.89% | 3.19% |
| Avg. Drawdown | -4.48% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.2 | - |
| Ulcer Index | 0.21 | 0.0 |
| Serenity Index | 0.02 | - |
| Avg. Up Month | 4.73% | 0.96% |
| Avg. Down Month | - | - |
| Win Days | 52.75% | 100.0% |
| Win Month | 58.0% | 100.0% |
| Win Quarter | 52.94% | 100.0% |
| Win Year | 60.0% | 100.0% |
| Beta | 3.08 | - |
| Alpha | -0.34 | - |
| Correlation | 5.93% | - |
| Treynor Ratio | 2.96% | - |
| 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 | 13.45 | 3.80 | 0.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2023-09-04 | -45.18 | 683 |
| 2024-05-20 | 2025-08-15 | -30.66 | 452 |
| 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 |