| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -26.82% | 53.45% |
| CAGR﹪ | -11.49% | 18.22% |
| Sharpe | -0.41 | 81.46 |
| Prob. Sharpe Ratio | 25.35% | - |
| Smart Sharpe | -0.39 | 76.46 |
| Sortino | -0.57 | - |
| Smart Sortino | -0.53 | - |
| Sortino/√2 | -0.4 | - |
| Smart Sortino/√2 | -0.38 | - |
| Omega | 0.93 | 0.93 |
| Max Drawdown | -39.78% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 22.71% | 0.2% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.29 | - |
| Skew | 0.18 | -0.19 |
| Kurtosis | 3.53 | 0.58 |
| Expected Daily | -0.05% | 0.06% |
| Expected Monthly | -0.97% | 1.35% |
| Expected Yearly | -7.51% | 11.3% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.39% | -0.04% |
| Expected Shortfall (cVaR) | -2.39% | -0.04% |
| Max Consecutive Wins | 10 | 659 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | -0.07 | - |
| Gain/Pain (1M) | -0.25 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.93 | - |
| Common Sense Ratio | 0.81 | - |
| CPC Index | - | - |
| Tail Ratio | 0.87 | 1.85 |
| Outlier Win Ratio | 1.84 | 28.48 |
| Outlier Loss Ratio | 1.8 | - |
| MTD | 0.12% | 0.04% |
| 3M | -11.34% | 3.5% |
| 6M | 2.29% | 7.47% |
| YTD | -4.83% | 4.75% |
| 1Y | -8.31% | 16.83% |
| 3Y (ann.) | -11.49% | 18.22% |
| 5Y (ann.) | -11.49% | 18.22% |
| 10Y (ann.) | -11.49% | 18.22% |
| All-time (ann.) | -11.49% | 18.22% |
| Best Day | 8.73% | 0.09% |
| Worst Day | -5.58% | 0.0% |
| Best Month | 13.07% | 1.83% |
| Worst Month | -14.0% | 0.04% |
| Best Year | -4.17% | 19.38% |
| Worst Year | -12.78% | 3.34% |
| Avg. Drawdown | -8.15% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.67 | - |
| Ulcer Index | 0.26 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 4.63% | 1.31% |
| Avg. Down Month | - | - |
| Win Days | 49.62% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 27.27% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | 5.08 | - |
| Alpha | -0.92 | - |
| Correlation | 4.49% | - |
| Treynor Ratio | -5.28% | - |
| 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 | 4.75 | -4.83 | -1.02 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-18 | 2026-05-01 | -39.78 | 743 |
| 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 |