| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 4.09% | 52.55% |
| CAGR﹪ | 1.57% | 17.9% |
| Sharpe | 0.18 | 75.25 |
| Prob. Sharpe Ratio | 61.15% | - |
| Smart Sharpe | 0.17 | 70.9 |
| Sortino | 0.26 | - |
| Smart Sortino | 0.24 | - |
| Sortino/√2 | 0.18 | - |
| Smart Sortino/√2 | 0.17 | - |
| Omega | 1.03 | 1.03 |
| Max Drawdown | -18.59% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 16.65% | 0.22% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.08 | - |
| Skew | 0.25 | -0.22 |
| Kurtosis | 3.19 | 0.31 |
| Expected Daily | 0.01% | 0.06% |
| Expected Monthly | 0.13% | 1.33% |
| Expected Yearly | 1.01% | 11.13% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.71% | -0.04% |
| Expected Shortfall (cVaR) | -1.71% | -0.04% |
| Max Consecutive Wins | 9 | 650 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.03 | - |
| Gain/Pain (1M) | 0.21 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.03 | - |
| Common Sense Ratio | 0.98 | - |
| CPC Index | - | - |
| Tail Ratio | 0.95 | 2.15 |
| Outlier Win Ratio | 1.83 | 21.44 |
| Outlier Loss Ratio | 2.0 | - |
| MTD | 2.28% | 0.57% |
| 3M | -0.06% | 4.03% |
| 6M | 2.64% | 8.14% |
| YTD | 1.06% | 1.79% |
| 1Y | -6.2% | 18.77% |
| 3Y (ann.) | 1.57% | 17.9% |
| 5Y (ann.) | 1.57% | 17.9% |
| 10Y (ann.) | 1.57% | 17.9% |
| All-time (ann.) | 1.57% | 17.9% |
| Best Day | 6.08% | 0.1% |
| Worst Day | -3.56% | 0.0% |
| Best Month | 10.99% | 1.83% |
| Worst Month | -6.68% | 0.57% |
| Best Year | 17.66% | 19.38% |
| Worst Year | -11.94% | 1.79% |
| Avg. Drawdown | -4.94% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.22 | - |
| Ulcer Index | 0.11 | 0.0 |
| Serenity Index | 0.02 | - |
| Avg. Up Month | 2.51% | 1.24% |
| Avg. Down Month | - | - |
| Win Days | 49.38% | 100.0% |
| Win Month | 53.12% | 100.0% |
| Win Quarter | 54.55% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.51 | - |
| Alpha | 0.11 | - |
| Correlation | -0.67% | - |
| Treynor Ratio | -8.02% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 5.72 | -0.60 | -0.10 | - |
| 2024 | 18.74 | 17.66 | 0.94 | - |
| 2025 | 19.38 | -11.94 | -0.62 | - |
| 2026 | 1.79 | 1.06 | 0.59 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-27 | 2026-02-11 | -18.59 | 441 |
| 2023-10-06 | 2024-10-02 | -18.00 | 362 |
| 2023-08-14 | 2023-10-03 | -6.52 | 50 |
| 2024-10-03 | 2024-11-13 | -2.87 | 41 |
| 2024-11-15 | 2024-11-20 | -1.16 | 5 |
| 2023-07-24 | 2023-07-28 | -1.10 | 4 |
| 2023-08-07 | 2023-08-08 | -0.67 | 1 |
| 2024-11-21 | 2024-11-22 | -0.25 | 1 |
| 2023-07-31 | 2023-08-01 | -0.19 | 1 |
| 2023-08-09 | 2023-08-10 | -0.06 | 1 |