| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -16.47% | -15.96% |
| CAGR﹪ | -12.89% | -12.48% |
| Sharpe | -0.8 | -0.78 |
| Prob. Sharpe Ratio | 3.27% | 3.42% |
| Smart Sharpe | -0.77 | -0.75 |
| Sortino | -1.06 | -1.05 |
| Smart Sortino | -1.02 | -1.01 |
| Sortino/√2 | -0.75 | -0.74 |
| Smart Sortino/√2 | -0.72 | -0.71 |
| Omega | 0.87 | 0.87 |
| Max Drawdown | -31.19% | -31.21% |
| Longest DD Days | 372 | 203 |
| Volatility (ann.) | 22.53% | 22.4% |
| R^2 | 0.95 | 0.95 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.41 | -0.4 |
| Skew | -0.19 | -0.15 |
| Kurtosis | 1.29 | 1.49 |
| Expected Daily | -0.05% | -0.05% |
| Expected Monthly | -1.12% | -1.08% |
| Expected Yearly | -8.6% | -8.32% |
| Kelly Criterion | -2.72% | -6.15% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.38% | -2.36% |
| Expected Shortfall (cVaR) | -2.38% | -2.36% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | -0.08 | -0.08 |
| Gain/Pain (1M) | -0.39 | -0.39 |
| Payoff Ratio | 0.92 | 0.92 |
| Profit Factor | 0.92 | 0.92 |
| Common Sense Ratio | 0.75 | 0.83 |
| CPC Index | 0.43 | 0.42 |
| Tail Ratio | 0.81 | 0.91 |
| Outlier Win Ratio | 3.85 | 3.77 |
| Outlier Loss Ratio | 3.71 | 3.91 |
| MTD | -5.92% | -5.8% |
| 3M | -18.82% | -18.22% |
| 6M | -21.96% | -21.63% |
| YTD | -20.78% | -20.27% |
| 1Y | -22.09% | -21.66% |
| 3Y (ann.) | -12.89% | -12.48% |
| 5Y (ann.) | -12.89% | -12.48% |
| 10Y (ann.) | -12.89% | -12.48% |
| All-time (ann.) | -12.89% | -12.48% |
| Best Day | 4.67% | 4.91% |
| Worst Day | -4.61% | -4.51% |
| Best Month | 6.77% | 6.74% |
| Worst Month | -8.84% | -8.65% |
| Best Year | 5.44% | 5.41% |
| Worst Year | -20.78% | -20.27% |
| Avg. Drawdown | -11.18% | -12.11% |
| Avg. Drawdown Days | 114 | 91 |
| Recovery Factor | -0.53 | -0.51 |
| Ulcer Index | 0.11 | 0.11 |
| Serenity Index | -0.16 | -0.15 |
| Avg. Up Month | 3.77% | 3.56% |
| Avg. Down Month | -3.89% | -3.71% |
| Win Days | 50.91% | 49.09% |
| Win Month | 37.5% | 37.5% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.98 | - |
| Alpha | -0.01 | - |
| Correlation | 97.72% | - |
| Treynor Ratio | -23.88% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 5.41 | 5.44 | 1.01 | + |
| 2026 | -20.27 | -20.78 | 1.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-18 | 2026-08-25 | -31.19 | 372 |
| 2025-05-14 | 2025-07-22 | -8.70 | 69 |
| 2025-07-24 | 2025-08-07 | -3.99 | 14 |
| 2025-08-12 | 2025-08-15 | -0.85 | 3 |