| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -2.49% | -2.69% |
| CAGR﹪ | -1.06% | -1.15% |
| Sharpe | -0.38 | -0.39 |
| Prob. Sharpe Ratio | 4.6% | 4.51% |
| Smart Sharpe | -0.36 | -0.37 |
| Sortino | -0.54 | -0.55 |
| Smart Sortino | -0.51 | -0.51 |
| Sortino/√2 | -0.38 | -0.39 |
| Smart Sortino/√2 | -0.36 | -0.36 |
| Omega | 0.93 | 0.93 |
| Max Drawdown | -18.59% | -18.63% |
| Longest DD Days | 377 | 404 |
| Volatility (ann.) | 16.71% | 16.6% |
| R^2 | 0.79 | 0.79 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | -0.06 | -0.06 |
| Skew | 0.28 | 0.35 |
| Kurtosis | 3.33 | 5.55 |
| Expected Daily | -0.0% | -0.0% |
| Expected Monthly | -0.09% | -0.09% |
| Expected Yearly | -0.84% | -0.9% |
| Kelly Criterion | -0.64% | 0.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.72% |
| Expected Shortfall (cVaR) | -1.73% | -1.72% |
| Max Consecutive Wins | 8 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.0 | 0.0 |
| Gain/Pain (1M) | 0.02 | 0.02 |
| Payoff Ratio | 1.02 | 0.96 |
| Profit Factor | 1.0 | 1.0 |
| Common Sense Ratio | 0.95 | 0.88 |
| CPC Index | 0.5 | 0.49 |
| Tail Ratio | 0.95 | 0.87 |
| Outlier Win Ratio | 3.46 | 3.7 |
| Outlier Loss Ratio | 4.0 | 3.94 |
| MTD | -0.68% | 0.22% |
| 3M | -5.75% | -6.0% |
| 6M | 1.87% | 1.2% |
| YTD | -13.84% | -12.7% |
| 1Y | -6.64% | -6.41% |
| 3Y (ann.) | -1.06% | -1.15% |
| 5Y (ann.) | -1.06% | -1.15% |
| 10Y (ann.) | -1.06% | -1.15% |
| All-time (ann.) | -1.06% | -1.15% |
| Best Day | 6.08% | 7.13% |
| Worst Day | -3.56% | -4.22% |
| Best Month | 10.99% | 9.98% |
| Worst Month | -6.68% | -6.87% |
| Best Year | 17.66% | 15.56% |
| Worst Year | -13.84% | -12.7% |
| Avg. Drawdown | -6.02% | -7.52% |
| Avg. Drawdown Days | 105 | 139 |
| Recovery Factor | -0.13 | -0.14 |
| Ulcer Index | 0.11 | 0.11 |
| Serenity Index | -0.05 | -0.05 |
| Avg. Up Month | 2.54% | 2.58% |
| Avg. Down Month | -2.53% | -2.67% |
| Win Days | 49.16% | 51.58% |
| Win Month | 48.28% | 51.72% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.9 | - |
| Alpha | 0.0 | - |
| Correlation | 88.91% | - |
| Treynor Ratio | -10.6% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | -3.54 | -3.81 | 1.08 | - |
| 2024 | 15.56 | 17.66 | 1.14 | + |
| 2025 | -12.70 | -13.84 | 1.09 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-27 | 2025-12-09 | -18.59 | 377 |
| 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 |
| 2023-08-07 | 2023-08-08 | -0.67 | 1 |
| 2024-11-21 | 2024-11-22 | -0.25 | 1 |
| 2023-08-09 | 2023-08-10 | -0.06 | 1 |