| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -0.29% | 0.39% |
| CAGR﹪ | -0.38% | 0.52% |
| Sharpe | -0.31 | -0.28 |
| Prob. Sharpe Ratio | 18.36% | 19.45% |
| Smart Sharpe | -0.29 | -0.26 |
| Sortino | -0.43 | -0.4 |
| Smart Sortino | -0.4 | -0.38 |
| Sortino/√2 | -0.3 | -0.28 |
| Smart Sortino/√2 | -0.29 | -0.27 |
| Omega | 0.95 | 0.95 |
| Max Drawdown | -16.41% | -16.31% |
| Longest DD Days | 255 | 255 |
| Volatility (ann.) | 17.87% | 17.2% |
| R^2 | 0.75 | 0.75 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.02 | 0.03 |
| Skew | 0.1 | 0.5 |
| Kurtosis | 2.68 | 3.56 |
| Expected Daily | -0.0% | 0.0% |
| Expected Monthly | -0.03% | 0.04% |
| Expected Yearly | -0.14% | 0.2% |
| Kelly Criterion | -0.88% | 0.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.85% | -1.77% |
| Expected Shortfall (cVaR) | -1.85% | -1.77% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.01 | 0.02 |
| Gain/Pain (1M) | 0.05 | 0.08 |
| Payoff Ratio | 0.9 | 0.92 |
| Profit Factor | 1.01 | 1.02 |
| Common Sense Ratio | 1.0 | 1.18 |
| CPC Index | 0.48 | 0.49 |
| Tail Ratio | 0.99 | 1.16 |
| Outlier Win Ratio | 3.18 | 3.31 |
| Outlier Loss Ratio | 3.26 | 3.5 |
| MTD | -3.56% | -3.27% |
| 3M | -6.87% | -6.61% |
| 6M | 6.18% | 7.08% |
| YTD | -4.0% | -3.29% |
| 1Y | -0.29% | 0.39% |
| 3Y (ann.) | -0.38% | 0.52% |
| 5Y (ann.) | -0.38% | 0.52% |
| 10Y (ann.) | -0.38% | 0.52% |
| All-time (ann.) | -0.38% | 0.52% |
| Best Day | 5.27% | 5.42% |
| Worst Day | -3.94% | -3.34% |
| Best Month | 6.46% | 5.92% |
| Worst Month | -7.45% | -6.75% |
| Best Year | 3.86% | 3.81% |
| Worst Year | -4.0% | -3.29% |
| Avg. Drawdown | -5.92% | -5.73% |
| Avg. Drawdown Days | 86 | 86 |
| Recovery Factor | -0.02 | 0.02 |
| Ulcer Index | 0.07 | 0.07 |
| Serenity Index | -0.09 | -0.09 |
| Avg. Up Month | 4.13% | 4.02% |
| Avg. Down Month | -3.98% | -3.74% |
| Win Days | 52.15% | 52.13% |
| Win Month | 50.0% | 50.0% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.9 | - |
| Alpha | -0.01 | - |
| Correlation | 86.8% | - |
| Treynor Ratio | -8.09% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 3.81 | 3.86 | 1.02 | + |
| 2026 | -3.29 | -4.00 | 1.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-18 | 2026-04-30 | -16.41 | 255 |
| 2025-08-13 | 2025-08-14 | -0.92 | 1 |
| 2025-08-05 | 2025-08-06 | -0.44 | 1 |