| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 12.99% | 50.14% |
| CAGR﹪ | 5.28% | 18.68% |
| Sharpe | 0.36 | 90.14 |
| Prob. Sharpe Ratio | 71.01% | 100.0% |
| Smart Sharpe | 0.34 | 85.52 |
| Sortino | 0.54 | - |
| Smart Sortino | 0.51 | - |
| Sortino/√2 | 0.38 | - |
| Smart Sortino/√2 | 0.36 | - |
| Omega | 1.07 | 1.07 |
| Max Drawdown | -14.69% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 19.86% | 0.19% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.36 | - |
| Skew | 0.53 | 0.59 |
| Kurtosis | 3.02 | 2.27 |
| Expected Daily | 0.02% | 0.07% |
| Expected Monthly | 0.41% | 1.36% |
| Expected Yearly | 3.1% | 10.69% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.03% | -0.05% |
| Expected Shortfall (cVaR) | -2.03% | -0.05% |
| Max Consecutive Wins | 8 | 599 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.07 | - |
| Gain/Pain (1M) | 0.48 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.07 | - |
| Common Sense Ratio | 1.13 | - |
| CPC Index | - | - |
| Tail Ratio | 1.06 | 1.61 |
| Outlier Win Ratio | 2.41 | 30.27 |
| Outlier Loss Ratio | 1.94 | - |
| MTD | -1.03% | 0.12% |
| 3M | 0.57% | 3.73% |
| 6M | -5.71% | 7.8% |
| YTD | -2.07% | 2.54% |
| 1Y | -2.37% | 18.22% |
| 3Y (ann.) | 5.28% | 18.68% |
| 5Y (ann.) | 5.28% | 18.68% |
| 10Y (ann.) | 5.28% | 18.68% |
| All-time (ann.) | 5.28% | 18.68% |
| Best Day | 5.69% | 0.11% |
| Worst Day | -3.97% | 0.0% |
| Best Month | 18.88% | 1.83% |
| Worst Month | -6.28% | 0.12% |
| Best Year | 25.52% | 19.38% |
| Worst Year | -8.48% | 2.54% |
| Avg. Drawdown | -3.48% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.88 | - |
| Ulcer Index | 0.07 | 0.0 |
| Serenity Index | 0.17 | - |
| Avg. Up Month | 3.97% | 1.39% |
| Avg. Down Month | - | - |
| Win Days | 50.51% | 100.0% |
| Win Month | 43.33% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.35 | - |
| Alpha | 0.13 | - |
| Correlation | -0.34% | - |
| Treynor Ratio | -36.7% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 3.29 | 0.45 | 0.14 | - |
| 2024 | 18.74 | 25.52 | 1.36 | + |
| 2025 | 19.38 | -8.48 | -0.44 | - |
| 2026 | 2.54 | -2.07 | -0.82 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-01-08 | 2026-03-03 | -14.69 | 419 |
| 2024-04-23 | 2024-11-14 | -10.38 | 205 |
| 2024-11-29 | 2024-12-28 | -9.13 | 29 |
| 2023-10-20 | 2023-12-05 | -5.76 | 46 |
| 2024-01-05 | 2024-02-06 | -3.11 | 32 |
| 2023-12-25 | 2024-01-03 | -1.82 | 9 |
| 2023-12-06 | 2023-12-21 | -1.67 | 15 |
| 2024-03-01 | 2024-03-15 | -1.57 | 14 |
| 2024-04-18 | 2024-04-22 | -1.07 | 4 |
| 2024-11-18 | 2024-11-22 | -0.89 | 4 |