| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -20.33% | 48.33% |
| CAGR﹪ | -9.45% | 18.79% |
| Sharpe | -0.3 | 91.38 |
| Prob. Sharpe Ratio | 32.72% | - |
| Smart Sharpe | -0.28 | 85.84 |
| Sortino | -0.41 | - |
| Smart Sortino | -0.39 | - |
| Sortino/√2 | -0.29 | - |
| Smart Sortino/√2 | -0.27 | - |
| Omega | 0.95 | 0.95 |
| Max Drawdown | -39.78% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 23.77% | 0.19% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.24 | - |
| Skew | 0.18 | 0.27 |
| Kurtosis | 3.14 | 0.99 |
| Expected Daily | -0.04% | 0.07% |
| Expected Monthly | -0.81% | 1.42% |
| Expected Yearly | -5.52% | 10.36% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.49% | -0.05% |
| Expected Shortfall (cVaR) | -2.49% | -0.05% |
| Max Consecutive Wins | 10 | 581 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | -0.05 | - |
| Gain/Pain (1M) | -0.19 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.95 | - |
| Common Sense Ratio | 0.86 | - |
| CPC Index | - | - |
| Tail Ratio | 0.9 | 1.65 |
| Outlier Win Ratio | 1.84 | 28.89 |
| Outlier Loss Ratio | 1.71 | - |
| MTD | 3.61% | 1.26% |
| 3M | 6.0% | 4.29% |
| 6M | -2.46% | 8.42% |
| YTD | 3.61% | 1.26% |
| 1Y | -8.53% | 19.5% |
| 3Y (ann.) | -9.45% | 18.79% |
| 5Y (ann.) | -9.45% | 18.79% |
| 10Y (ann.) | -9.45% | 18.79% |
| All-time (ann.) | -9.45% | 18.79% |
| Best Day | 8.73% | 0.1% |
| Worst Day | -5.58% | 0.0% |
| Best Month | 13.07% | 1.83% |
| Worst Month | -14.0% | 0.94% |
| Best Year | 3.61% | 19.38% |
| Worst Year | -12.78% | 1.26% |
| Avg. Drawdown | -8.15% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.51 | - |
| Ulcer Index | 0.25 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 4.69% | 1.4% |
| Avg. Down Month | - | - |
| Win Days | 49.91% | 100.0% |
| Win Month | 53.57% | 100.0% |
| Win Quarter | 40.0% | 100.0% |
| Win Year | 25.0% | 100.0% |
| Beta | 5.37 | - |
| Alpha | -0.99 | - |
| Correlation | 4.22% | - |
| Treynor Ratio | -3.78% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 3.34 | -4.17 | -1.25 | - |
| 2024 | 18.74 | -12.78 | -0.68 | - |
| 2025 | 19.38 | -8.01 | -0.41 | - |
| 2026 | 1.26 | 3.61 | 2.87 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-18 | 2026-01-23 | -39.78 | 645 |
| 2023-10-26 | 2024-03-29 | -14.07 | 155 |
| 2024-04-09 | 2024-04-12 | -0.95 | 3 |
| 2024-04-04 | 2024-04-08 | -0.89 | 4 |
| 2023-10-18 | 2023-10-20 | -0.71 | 2 |
| 2023-10-12 | 2023-10-13 | -0.57 | 1 |
| 2023-10-24 | 2023-10-25 | -0.06 | 1 |