| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | 7.05% | 50.2% |
| CAGR﹪ | 2.89% | 18.54% |
| Sharpe | 0.28 | 73.39 |
| Prob. Sharpe Ratio | 64.4% | 100.0% |
| Smart Sharpe | 0.2 | 53.01 |
| Sortino | 0.42 | - |
| Smart Sortino | 0.3 | - |
| Sortino/√2 | 0.3 | - |
| Smart Sortino/√2 | 0.22 | - |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -21.91% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 28.1% | 0.32% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.13 | - |
| Skew | 0.64 | 1.42 |
| Kurtosis | 11.98 | 5.1 |
| Expected Daily | 0.02% | 0.09% |
| Expected Monthly | 0.24% | 1.41% |
| Expected Yearly | 1.72% | 10.7% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.88% | -0.06% |
| Expected Shortfall (cVaR) | -2.88% | -0.06% |
| Max Consecutive Wins | 7 | 437 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.06 | - |
| Gain/Pain (1M) | 0.47 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.06 | - |
| Common Sense Ratio | 1.14 | - |
| CPC Index | - | - |
| Tail Ratio | 1.08 | 1.95 |
| Outlier Win Ratio | 2.79 | 30.22 |
| Outlier Loss Ratio | 2.13 | - |
| MTD | 3.82% | 1.16% |
| 3M | 3.34% | 3.79% |
| 6M | -2.93% | 7.82% |
| YTD | 1.82% | 3.58% |
| 1Y | 0.0% | 18.02% |
| 3Y (ann.) | 2.89% | 18.54% |
| 5Y (ann.) | 2.89% | 18.54% |
| 10Y (ann.) | 2.89% | 18.54% |
| All-time (ann.) | 2.89% | 18.54% |
| Best Day | 11.31% | 0.17% |
| Worst Day | -10.1% | 0.0% |
| Best Month | 11.56% | 1.83% |
| Worst Month | -5.04% | 1.05% |
| Best Year | 19.44% | 19.39% |
| Worst Year | -11.74% | 2.28% |
| Avg. Drawdown | -5.48% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.32 | - |
| Ulcer Index | 0.13 | 0.0 |
| Serenity Index | 0.05 | - |
| Avg. Up Month | 2.54% | 1.4% |
| Avg. Down Month | - | - |
| Win Days | 50.12% | 100.0% |
| Win Month | 55.17% | 100.0% |
| Win Quarter | 60.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 1.29 | - |
| Alpha | -0.22 | - |
| Correlation | 1.47% | - |
| Treynor Ratio | 5.46% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 2.28 | -0.27 | -0.12 | - |
| 2024 | 18.74 | 19.44 | 1.04 | + |
| 2025 | 19.39 | -11.74 | -0.61 | - |
| 2026 | 3.58 | 1.82 | 0.51 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-26 | 2026-03-24 | -21.91 | 453 |
| 2023-11-03 | 2023-12-06 | -11.82 | 33 |
| 2024-11-29 | 2024-12-25 | -10.99 | 26 |
| 2024-04-18 | 2024-10-10 | -9.84 | 175 |
| 2024-01-09 | 2024-02-19 | -4.09 | 41 |
| 2024-10-16 | 2024-11-15 | -3.80 | 30 |
| 2023-12-07 | 2024-01-04 | -2.56 | 28 |
| 2024-02-20 | 2024-03-18 | -2.11 | 27 |
| 2024-10-14 | 2024-10-15 | -1.77 | 1 |
| 2024-03-22 | 2024-03-28 | -0.94 | 6 |