| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 1.84% | 49.17% |
| CAGR﹪ | 0.38% | 8.64% |
| Sharpe | 0.15 | 4.28 |
| Prob. Sharpe Ratio | 62.46% | 100.0% |
| Smart Sharpe | 0.13 | 3.78 |
| Sortino | 0.2 | 98.52 |
| Smart Sortino | 0.17 | 87.01 |
| Sortino/√2 | 0.14 | 69.66 |
| Smart Sortino/√2 | 0.12 | 61.53 |
| Omega | 1.03 | 1.03 |
| Max Drawdown | -45.18% | -1.25% |
| Longest DD Days | 734 | 209 |
| Volatility (ann.) | 25.85% | 1.98% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.01 | 6.89 |
| Skew | -2.12 | 18.85 |
| Kurtosis | 36.35 | 366.33 |
| Expected Daily | 0.0% | 0.03% |
| Expected Monthly | 0.03% | 0.68% |
| Expected Yearly | 0.3% | 6.89% |
| Kelly Criterion | 1.85% | 89.76% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.66% | -0.17% |
| Expected Shortfall (cVaR) | -2.66% | -0.17% |
| Max Consecutive Wins | 7 | 739 |
| Max Consecutive Losses | 6 | 60 |
| Gain/Pain Ratio | 0.03 | 24.1 |
| Gain/Pain (1M) | 0.14 | 24.1 |
| Payoff Ratio | 0.96 | 2.0 |
| Profit Factor | 1.03 | 25.1 |
| Common Sense Ratio | 1.02 | 93.04 |
| CPC Index | 0.51 | 46.74 |
| Tail Ratio | 0.99 | 3.71 |
| Outlier Win Ratio | 2.14 | 54.36 |
| Outlier Loss Ratio | 1.75 | 95.53 |
| MTD | 2.0% | 0.11% |
| 3M | -0.58% | 1.01% |
| 6M | 6.13% | 3.67% |
| YTD | 4.83% | 3.24% |
| 1Y | 5.69% | 5.38% |
| 3Y (ann.) | 3.87% | 7.94% |
| 5Y (ann.) | 0.38% | 8.64% |
| 10Y (ann.) | 0.38% | 8.64% |
| All-time (ann.) | 0.38% | 8.64% |
| Best Day | 12.19% | 2.47% |
| Worst Day | -22.27% | -0.03% |
| Best Month | 18.05% | 7.61% |
| Worst Month | -21.38% | -0.52% |
| Best Year | 50.35% | 11.92% |
| Worst Year | -29.89% | 3.24% |
| Avg. Drawdown | -4.48% | -0.83% |
| Avg. Drawdown Days | 68 | 136 |
| Recovery Factor | 0.04 | 39.18 |
| Ulcer Index | 0.2 | 0.0 |
| Serenity Index | 0.0 | 37.77 |
| Avg. Up Month | 4.22% | 0.78% |
| Avg. Down Month | -3.04% | -0.37% |
| Win Days | 52.0% | 93.18% |
| Win Month | 59.32% | 93.22% |
| Win Quarter | 55.0% | 95.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 0.84 | - |
| Alpha | -0.03 | - |
| Correlation | 6.46% | - |
| Treynor Ratio | 2.18% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.93 | 0.29 | 0.07 | - |
| 2022 | 11.92 | -29.89 | -2.51 | - |
| 2023 | 7.42 | 50.35 | 6.79 | + |
| 2024 | 9.51 | -0.57 | -0.06 | - |
| 2025 | 5.60 | -7.59 | -1.36 | - |
| 2026 | 3.24 | 4.83 | 1.49 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2023-09-04 | -45.18 | 683 |
| 2024-05-20 | 2026-05-24 | -30.66 | 734 |
| 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 |