| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 84.0% |
| Cumulative Return | -3.73% | -8.65% |
| CAGR﹪ | -4.23% | -9.77% |
| Sharpe | -0.57 | -0.85 |
| Prob. Sharpe Ratio | 9.94% | 5.67% |
| Smart Sharpe | -0.53 | -0.8 |
| Sortino | -0.78 | -1.19 |
| Smart Sortino | -0.73 | -1.11 |
| Sortino/√2 | -0.55 | -0.84 |
| Smart Sortino/√2 | -0.51 | -0.79 |
| Omega | 0.91 | 0.91 |
| Max Drawdown | -16.41% | -17.77% |
| Longest DD Days | 302 | 302 |
| Volatility (ann.) | 16.08% | 16.47% |
| R^2 | 0.46 | 0.46 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | -0.26 | -0.55 |
| Skew | 0.12 | 0.2 |
| Kurtosis | 3.3 | 3.44 |
| Expected Daily | -0.01% | -0.03% |
| Expected Monthly | -0.32% | -0.75% |
| Expected Yearly | -1.88% | -4.42% |
| Kelly Criterion | 1.24% | -5.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.68% | -1.74% |
| Expected Shortfall (cVaR) | -1.68% | -1.74% |
| Max Consecutive Wins | 6 | 5 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | -0.02 | -0.08 |
| Gain/Pain (1M) | -0.11 | -0.31 |
| Payoff Ratio | 0.98 | 1.05 |
| Profit Factor | 0.98 | 0.92 |
| Common Sense Ratio | 0.89 | 1.0 |
| CPC Index | 0.49 | 0.44 |
| Tail Ratio | 0.91 | 1.08 |
| Outlier Win Ratio | 3.81 | 4.33 |
| Outlier Loss Ratio | 3.36 | 3.29 |
| MTD | -2.57% | -2.93% |
| 3M | -10.59% | -13.28% |
| 6M | -5.49% | -9.4% |
| YTD | -7.31% | -9.98% |
| 1Y | -3.73% | -8.65% |
| 3Y (ann.) | -4.23% | -9.77% |
| 5Y (ann.) | -4.23% | -9.77% |
| 10Y (ann.) | -4.23% | -9.77% |
| All-time (ann.) | -4.23% | -9.77% |
| Best Day | 5.27% | 4.35% |
| Worst Day | -3.94% | -4.1% |
| Best Month | 6.46% | 6.12% |
| Worst Month | -7.45% | -7.41% |
| Best Year | 3.86% | 1.48% |
| Worst Year | -7.31% | -9.98% |
| Avg. Drawdown | -5.92% | -4.71% |
| Avg. Drawdown Days | 101 | 77 |
| Recovery Factor | -0.23 | -0.49 |
| Ulcer Index | 0.07 | 0.1 |
| Serenity Index | -0.12 | -0.1 |
| Avg. Up Month | 3.48% | 2.81% |
| Avg. Down Month | -3.92% | -4.14% |
| Win Days | 51.16% | 45.95% |
| Win Month | 50.0% | 50.0% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.66 | - |
| Alpha | 0.02 | - |
| Correlation | 67.52% | - |
| Treynor Ratio | -16.28% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.48 | 3.86 | 2.61 | + |
| 2026 | -9.98 | -7.31 | 0.73 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-18 | 2026-06-16 | -16.41 | 302 |
| 2025-08-13 | 2025-08-14 | -0.92 | 1 |
| 2025-08-05 | 2025-08-06 | -0.44 | 1 |