| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 6.8% | 69.69% |
| CAGR﹪ | 1.59% | 13.52% |
| Sharpe | 0.18 | 31.23 |
| Prob. Sharpe Ratio | 64.61% | 100.0% |
| Smart Sharpe | 0.18 | 30.46 |
| Sortino | 0.28 | - |
| Smart Sortino | 0.27 | - |
| Sortino/√2 | 0.2 | - |
| Smart Sortino/√2 | 0.19 | - |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -25.49% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 14.32% | 0.41% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.06 | - |
| Skew | 2.98 | 4.54 |
| Kurtosis | 153.34 | 44.82 |
| Expected Daily | 0.01% | 0.05% |
| Expected Monthly | 0.13% | 1.06% |
| Expected Yearly | 1.32% | 11.16% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.47% | -0.01% |
| Expected Shortfall (cVaR) | -1.47% | -0.01% |
| Max Consecutive Wins | 13 | 1040 |
| Max Consecutive Losses | 10 | 0 |
| Gain/Pain Ratio | 0.05 | - |
| Gain/Pain (1M) | 0.15 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.05 | - |
| Common Sense Ratio | 1.06 | - |
| CPC Index | - | - |
| Tail Ratio | 1.01 | 3.25 |
| Outlier Win Ratio | 2.14 | 18.04 |
| Outlier Loss Ratio | 1.67 | - |
| MTD | 0.47% | 1.3% |
| 3M | -0.74% | 5.09% |
| 6M | 13.93% | 9.91% |
| YTD | 16.47% | 17.88% |
| 1Y | 31.97% | 21.89% |
| 3Y (ann.) | 3.31% | 16.16% |
| 5Y (ann.) | 1.59% | 13.52% |
| 10Y (ann.) | 1.59% | 13.52% |
| All-time (ann.) | 1.59% | 13.52% |
| Best Day | 16.67% | 0.32% |
| Worst Day | -12.11% | 0.0% |
| Best Month | 24.19% | 1.83% |
| Worst Month | -22.9% | 0.5% |
| Best Year | 16.47% | 18.74% |
| Worst Year | -5.64% | 2.32% |
| Avg. Drawdown | -3.68% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.27 | - |
| Ulcer Index | 0.09 | 0.0 |
| Serenity Index | 0.05 | - |
| Avg. Up Month | 3.46% | 1.13% |
| Avg. Down Month | - | - |
| Win Days | 48.4% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 20.0% | 100.0% |
| Beta | 1.64 | - |
| Alpha | -0.18 | - |
| Correlation | 4.71% | - |
| Treynor Ratio | 4.13% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.32 | -1.72 | -0.74 | - |
| 2022 | 7.72 | -0.33 | -0.04 | - |
| 2023 | 10.00 | -0.79 | -0.08 | - |
| 2024 | 18.74 | -5.64 | -0.30 | - |
| 2025 | 17.88 | 16.47 | 0.92 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-07 | 2022-06-24 | -25.49 | 290 |
| 2022-08-10 | 2025-06-30 | -21.67 | 1055 |
| 2025-08-20 | 2025-11-06 | -6.70 | 78 |
| 2022-06-29 | 2022-07-22 | -2.40 | 23 |
| 2025-07-09 | 2025-07-14 | -0.50 | 5 |
| 2025-07-22 | 2025-07-25 | -0.39 | 3 |
| 2022-07-28 | 2022-08-03 | -0.33 | 6 |
| 2022-08-04 | 2022-08-05 | -0.27 | 1 |
| 2025-07-29 | 2025-07-30 | -0.20 | 1 |
| 2025-08-06 | 2025-08-07 | -0.18 | 1 |