| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 5.63% | 55.51% |
| CAGR﹪ | 2.04% | 17.68% |
| Sharpe | 0.2 | 75.15 |
| Prob. Sharpe Ratio | 63.16% | - |
| Smart Sharpe | 0.19 | 71.1 |
| Sortino | 0.29 | - |
| Smart Sortino | 0.28 | - |
| Sortino/√2 | 0.21 | - |
| Smart Sortino/√2 | 0.2 | - |
| Omega | 1.04 | 1.04 |
| Max Drawdown | -18.59% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 16.77% | 0.22% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.11 | - |
| Skew | 0.19 | -0.11 |
| Kurtosis | 3.02 | 0.26 |
| Expected Daily | 0.01% | 0.06% |
| Expected Monthly | 0.16% | 1.31% |
| Expected Yearly | 1.38% | 11.67% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.72% | -0.04% |
| Expected Shortfall (cVaR) | -1.72% | -0.04% |
| Max Consecutive Wins | 9 | 687 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.04 | - |
| Gain/Pain (1M) | 0.24 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.04 | - |
| Common Sense Ratio | 1.0 | - |
| CPC Index | - | - |
| Tail Ratio | 0.97 | 2.15 |
| Outlier Win Ratio | 1.81 | 21.65 |
| Outlier Loss Ratio | 2.03 | - |
| MTD | -2.85% | 0.2% |
| 3M | 0.11% | 3.7% |
| 6M | 0.15% | 7.64% |
| YTD | 2.56% | 3.77% |
| 1Y | 2.5% | 17.29% |
| 3Y (ann.) | 2.04% | 17.68% |
| 5Y (ann.) | 2.04% | 17.68% |
| 10Y (ann.) | 2.04% | 17.68% |
| All-time (ann.) | 2.04% | 17.68% |
| Best Day | 6.08% | 0.1% |
| Worst Day | -3.69% | 0.0% |
| Best Month | 10.99% | 1.83% |
| Worst Month | -6.68% | 0.2% |
| Best Year | 17.66% | 19.38% |
| Worst Year | -11.94% | 3.77% |
| Avg. Drawdown | -4.94% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.3 | - |
| Ulcer Index | 0.11 | 0.0 |
| Serenity Index | 0.03 | - |
| Avg. Up Month | 2.62% | 1.26% |
| Avg. Down Month | - | - |
| Win Days | 49.26% | 100.0% |
| Win Month | 52.94% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.75 | - |
| Alpha | 0.16 | - |
| Correlation | -0.97% | - |
| Treynor Ratio | -7.49% | - |
| 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 | 3.77 | 2.56 | 0.68 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-27 | 2026-04-06 | -18.59 | 495 |
| 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 |