| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 19.91% | 48.08% |
| CAGR﹪ | 7.2% | 16.21% |
| Sharpe | 0.53 | 50.46 |
| Prob. Sharpe Ratio | 80.45% | - |
| Smart Sharpe | 0.51 | 48.56 |
| Sortino | 0.77 | - |
| Smart Sortino | 0.74 | - |
| Sortino/√2 | 0.54 | - |
| Smart Sortino/√2 | 0.52 | - |
| Omega | 1.1 | 1.1 |
| Max Drawdown | -27.14% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 15.27% | 0.29% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.27 | - |
| Skew | 0.24 | -0.25 |
| Kurtosis | 3.99 | -1.03 |
| Expected Daily | 0.03% | 0.06% |
| Expected Monthly | 0.57% | 1.23% |
| Expected Yearly | 6.24% | 13.98% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.55% | -0.03% |
| Expected Shortfall (cVaR) | -1.55% | -0.03% |
| Max Consecutive Wins | 8 | 665 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.1 | - |
| Gain/Pain (1M) | 0.47 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.1 | - |
| Common Sense Ratio | 1.11 | - |
| CPC Index | - | - |
| Tail Ratio | 1.01 | 2.82 |
| Outlier Win Ratio | 2.08 | 23.34 |
| Outlier Loss Ratio | 1.83 | - |
| MTD | 1.38% | 1.32% |
| 3M | 1.11% | 4.62% |
| 6M | -6.33% | 9.73% |
| YTD | -18.55% | 13.44% |
| 1Y | 0.23% | 21.75% |
| 3Y (ann.) | 7.2% | 16.21% |
| 5Y (ann.) | 7.2% | 16.21% |
| 10Y (ann.) | 7.2% | 16.21% |
| All-time (ann.) | 7.2% | 16.21% |
| Best Day | 5.06% | 0.09% |
| Worst Day | -4.13% | 0.0% |
| Best Month | 13.51% | 1.83% |
| Worst Month | -9.03% | 0.61% |
| Best Year | 26.22% | 18.74% |
| Worst Year | -18.55% | 9.94% |
| Avg. Drawdown | -3.36% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.73 | - |
| Ulcer Index | 0.12 | 0.0 |
| Serenity Index | 0.07 | - |
| Avg. Up Month | 3.53% | 1.11% |
| Avg. Down Month | - | - |
| Win Days | 52.66% | 100.0% |
| Win Month | 59.38% | 100.0% |
| Win Quarter | 63.64% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -3.79 | - |
| Alpha | 0.64 | - |
| Correlation | -7.32% | - |
| Treynor Ratio | -5.25% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 9.94 | 26.22 | 2.64 | + |
| 2024 | 18.74 | 16.64 | 0.89 | - |
| 2025 | 13.44 | -18.55 | -1.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-29 | 2025-08-27 | -27.14 | 271 |
| 2023-10-09 | 2024-09-20 | -17.44 | 347 |
| 2023-04-12 | 2023-06-29 | -7.67 | 78 |
| 2023-08-14 | 2023-10-05 | -6.46 | 52 |
| 2024-10-07 | 2024-11-22 | -6.18 | 46 |
| 2023-02-27 | 2023-03-16 | -2.51 | 17 |
| 2024-10-03 | 2024-10-04 | -2.01 | 1 |
| 2024-11-27 | 2024-11-28 | -1.97 | 1 |
| 2023-02-17 | 2023-02-22 | -1.16 | 5 |
| 2023-07-03 | 2023-07-04 | -1.16 | 1 |