| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 20.72% | 28.42% |
| CAGR﹪ | 5.93% | 7.95% |
| Sharpe | 0.45 | 25.12 |
| Prob. Sharpe Ratio | 79.29% | 100.0% |
| Smart Sharpe | 0.44 | 24.55 |
| Sortino | 0.66 | 157.66 |
| Smart Sortino | 0.64 | 154.04 |
| Sortino/√2 | 0.46 | 111.48 |
| Smart Sortino/√2 | 0.45 | 108.92 |
| Omega | 1.08 | 1.08 |
| Max Drawdown | -27.72% | -0.4% |
| Longest DD Days | 510 | 63 |
| Volatility (ann.) | 15.35% | 0.3% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.21 | 19.89 |
| Skew | 0.18 | 0.77 |
| Kurtosis | 3.48 | 2.02 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.47% | 0.63% |
| Expected Yearly | 4.82% | 6.45% |
| Kelly Criterion | 26.29% | 95.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.56% | -0.0% |
| Expected Shortfall (cVaR) | -1.56% | -0.0% |
| Max Consecutive Wins | 10 | 646 |
| Max Consecutive Losses | 8 | 21 |
| Gain/Pain Ratio | 0.08 | 62.44 |
| Gain/Pain (1M) | 0.4 | 62.44 |
| Payoff Ratio | 1.94 | 1.58 |
| Profit Factor | 1.08 | 63.44 |
| Common Sense Ratio | 1.13 | 472.42 |
| CPC Index | 1.08 | 97.71 |
| Tail Ratio | 1.04 | 7.45 |
| Outlier Win Ratio | 2.02 | 44.06 |
| Outlier Loss Ratio | 1.85 | 66.21 |
| MTD | -4.55% | 0.46% |
| 3M | 4.42% | 2.29% |
| 6M | -0.89% | 4.38% |
| YTD | 1.11% | 3.45% |
| 1Y | 0.63% | 6.05% |
| 3Y (ann.) | 2.14% | 8.13% |
| 5Y (ann.) | 5.93% | 7.95% |
| 10Y (ann.) | 5.93% | 7.95% |
| All-time (ann.) | 5.93% | 7.95% |
| Best Day | 5.06% | 0.09% |
| Worst Day | -4.23% | -0.02% |
| Best Month | 13.51% | 1.62% |
| Worst Month | -9.03% | -0.4% |
| Best Year | 26.22% | 9.51% |
| Worst Year | -18.9% | 3.45% |
| Avg. Drawdown | -3.39% | -0.4% |
| Avg. Drawdown Days | 46 | 63 |
| Recovery Factor | 0.75 | 71.06 |
| Ulcer Index | 0.15 | 0.0 |
| Serenity Index | 0.05 | 98.57 |
| Avg. Up Month | 3.57% | 0.59% |
| Avg. Down Month | - | - |
| Win Days | 51.34% | 97.47% |
| Win Month | 57.5% | 97.5% |
| Win Quarter | 57.14% | 100.0% |
| Win Year | 75.0% | 100.0% |
| Beta | -1.77 | - |
| Alpha | 0.2 | - |
| Correlation | -3.48% | - |
| Treynor Ratio | -11.73% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 7.34 | 26.22 | 3.57 | + |
| 2024 | 9.51 | 16.64 | 1.75 | + |
| 2025 | 5.60 | -18.90 | -3.37 | - |
| 2026 | 3.45 | 1.11 | 0.32 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-29 | 2026-04-23 | -27.72 | 510 |
| 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 |