| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 4.18% | 41.34% |
| CAGR﹪ | 2.08% | 19.0% |
| Sharpe | 0.24 | 74.2 |
| Prob. Sharpe Ratio | 61.54% | 100.0% |
| Smart Sharpe | 0.17 | 52.2 |
| Sortino | 0.37 | - |
| Smart Sortino | 0.26 | - |
| Sortino/√2 | 0.26 | - |
| Smart Sortino/√2 | 0.18 | - |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -21.91% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 30.08% | 0.32% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.09 | - |
| Skew | 0.63 | 1.52 |
| Kurtosis | 10.69 | 5.53 |
| Expected Daily | 0.01% | 0.09% |
| Expected Monthly | 0.17% | 1.45% |
| Expected Yearly | 1.37% | 12.23% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.09% | -0.06% |
| Expected Shortfall (cVaR) | -3.09% | -0.06% |
| Max Consecutive Wins | 7 | 364 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.05 | - |
| Gain/Pain (1M) | 0.41 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.05 | - |
| Common Sense Ratio | 1.34 | - |
| CPC Index | - | - |
| Tail Ratio | 1.27 | 1.94 |
| Outlier Win Ratio | 2.69 | 30.68 |
| Outlier Loss Ratio | 2.46 | - |
| MTD | -3.75% | 1.29% |
| 3M | -0.34% | 4.23% |
| 6M | -0.57% | 8.98% |
| YTD | -12.54% | 16.38% |
| 1Y | -2.68% | 20.9% |
| 3Y (ann.) | 2.08% | 19.0% |
| 5Y (ann.) | 2.08% | 19.0% |
| 10Y (ann.) | 2.08% | 19.0% |
| All-time (ann.) | 2.08% | 19.0% |
| 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% | 18.74% |
| Worst Year | -12.54% | 2.28% |
| Avg. Drawdown | -5.48% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.19 | - |
| Ulcer Index | 0.11 | 0.0 |
| Serenity Index | 0.03 | - |
| Avg. Up Month | 2.65% | 1.44% |
| Avg. Down Month | - | - |
| Win Days | 49.85% | 100.0% |
| Win Month | 54.17% | 100.0% |
| Win Quarter | 55.56% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | 2.53 | - |
| Alpha | -0.53 | - |
| Correlation | 2.71% | - |
| Treynor Ratio | 1.65% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 2.28 | -0.27 | -0.12 | - |
| 2024 | 18.74 | 19.44 | 1.04 | + |
| 2025 | 16.38 | -12.54 | -0.77 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-26 | 2025-10-28 | -21.91 | 306 |
| 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 |