Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
Cumulative Return | -2.19% | 10.15% |
CAGR﹪ | -4.39% | 21.65% |
Sharpe | -0.07 | 25.84 |
Prob. Sharpe Ratio | 48.09% | 100.0% |
Smart Sharpe | -0.06 | 24.66 |
Sortino | -0.1 | - |
Smart Sortino | -0.09 | - |
Sortino/√2 | -0.07 | - |
Smart Sortino/√2 | -0.07 | - |
Omega | 0.99 | 0.99 |
Max Drawdown | -14.02% | - |
Longest DD Days | - | - |
Volatility (ann.) | 23.81% | 0.75% |
R^2 | 0.0 | 0.0 |
Information Ratio | -0.06 | -0.06 |
Calmar | -0.31 | - |
Skew | 0.18 | 4.84 |
Kurtosis | 0.4 | 23.94 |
Expected Daily | -0.02% | 0.08% |
Expected Monthly | -0.32% | 1.39% |
Expected Yearly | -2.19% | 10.15% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.47% | -0.0% |
Expected Shortfall (cVaR) | -2.47% | -0.0% |
Max Consecutive Wins | 8 | 125 |
Max Consecutive Losses | 5 | 0 |
Gain/Pain Ratio | -0.01 | - |
Gain/Pain (1M) | -0.07 | - |
Payoff Ratio | - | - |
Profit Factor | 0.99 | - |
Common Sense Ratio | 1.09 | - |
CPC Index | - | - |
Tail Ratio | 1.1 | 1.46 |
Outlier Win Ratio | 1.95 | 27.81 |
Outlier Loss Ratio | 1.38 | - |
MTD | 1.22% | 1.29% |
3M | -0.76% | 4.5% |
6M | -2.19% | 10.15% |
YTD | -2.19% | 10.15% |
1Y | -2.19% | 10.15% |
3Y (ann.) | -4.39% | 21.65% |
5Y (ann.) | -4.39% | 21.65% |
10Y (ann.) | -4.39% | 21.65% |
All-time (ann.) | -4.39% | 21.65% |
Best Day | 4.27% | 0.33% |
Worst Day | -3.74% | 0.0% |
Best Month | 6.77% | 1.62% |
Worst Month | -6.42% | 1.29% |
Best Year | -2.19% | 10.15% |
Worst Year | -2.19% | 10.15% |
Avg. Drawdown | -8.93% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.16 | - |
Ulcer Index | 0.07 | 0.0 |
Serenity Index | -0.04 | - |
Avg. Up Month | 3.28% | 1.37% |
Avg. Down Month | - | - |
Win Days | 52.0% | 100.0% |
Win Month | 42.86% | 100.0% |
Win Quarter | 33.33% | 100.0% |
Win Year | 0.0% | 100.0% |
Beta | 0.01 | - |
Alpha | -0.02 | - |
Correlation | 0.02% | - |
Treynor Ratio | -364.83% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2025 | 10.15 | -2.19 | -0.22 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2025-08-18 | 2025-10-21 | -14.02 | 64 |
2025-04-29 | 2025-08-08 | -11.92 | 101 |
2025-08-12 | 2025-08-15 | -0.85 | 3 |