| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1.39% | 6.26% |
| CAGR﹪ | 1.41% | 6.37% |
| Sharpe | 0.17 | 15.67 |
| Prob. Sharpe Ratio | 56.73% | 100.0% |
| Smart Sharpe | 0.17 | 15.39 |
| Sortino | 0.24 | 69.19 |
| Smart Sortino | 0.24 | 67.96 |
| Sortino/√2 | 0.17 | 48.93 |
| Smart Sortino/√2 | 0.17 | 48.05 |
| Omega | 1.03 | 1.03 |
| Max Drawdown | -16.59% | -0.4% |
| Longest DD Days | 243 | 63 |
| Volatility (ann.) | 20.57% | 0.38% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.09 | 15.93 |
| Skew | 0.02 | 1.39 |
| Kurtosis | 1.23 | 3.26 |
| Expected Daily | 0.01% | 0.02% |
| Expected Monthly | 0.11% | 0.47% |
| Expected Yearly | 0.69% | 3.08% |
| Kelly Criterion | 11.0% | 86.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.12% | -0.02% |
| Expected Shortfall (cVaR) | -2.12% | -0.02% |
| Max Consecutive Wins | 8 | 165 |
| Max Consecutive Losses | 5 | 21 |
| Gain/Pain Ratio | 0.03 | 15.16 |
| Gain/Pain (1M) | 0.18 | 15.16 |
| Payoff Ratio | 1.2 | 1.49 |
| Profit Factor | 1.03 | 16.16 |
| Common Sense Ratio | 1.06 | 80.08 |
| CPC Index | 0.64 | 22.02 |
| Tail Ratio | 1.03 | 4.96 |
| Outlier Win Ratio | 1.88 | 63.81 |
| Outlier Loss Ratio | 1.69 | 86.52 |
| MTD | -1.87% | 0.45% |
| 3M | 0.37% | 2.66% |
| 6M | 2.7% | 4.43% |
| YTD | 0.22% | 3.44% |
| 1Y | 1.39% | 6.26% |
| 3Y (ann.) | 1.41% | 6.37% |
| 5Y (ann.) | 1.41% | 6.37% |
| 10Y (ann.) | 1.41% | 6.37% |
| All-time (ann.) | 1.41% | 6.37% |
| Best Day | 4.27% | 0.09% |
| Worst Day | -4.2% | -0.02% |
| Best Month | 6.77% | 1.62% |
| Worst Month | -6.42% | -0.4% |
| Best Year | 1.17% | 3.44% |
| Worst Year | 0.22% | 2.73% |
| Avg. Drawdown | -9.79% | -0.4% |
| Avg. Drawdown Days | 116 | 63 |
| Recovery Factor | 0.08 | 15.66 |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 0.02 | 8.06 |
| Avg. Up Month | 3.92% | 0.64% |
| Avg. Down Month | - | - |
| Win Days | 51.38% | 91.7% |
| Win Month | 38.46% | 92.31% |
| Win Quarter | 40.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -0.51 | - |
| Alpha | 0.07 | - |
| Correlation | -0.96% | - |
| Treynor Ratio | -2.72% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.73 | 1.17 | 0.43 | - |
| 2026 | 3.44 | 0.22 | 0.06 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-18 | 2026-04-18 | -16.59 | 243 |
| 2025-04-29 | 2025-08-08 | -11.92 | 101 |
| 2025-08-12 | 2025-08-15 | -0.85 | 3 |