| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -24.21% | 36.44% |
| CAGR﹪ | -14.62% | 19.39% |
| Sharpe | -0.5 | 95.97 |
| Prob. Sharpe Ratio | 25.22% | 100.0% |
| Smart Sharpe | -0.47 | 90.29 |
| Sortino | -0.7 | - |
| Smart Sortino | -0.66 | - |
| Sortino/√2 | -0.49 | - |
| Smart Sortino/√2 | -0.46 | - |
| Omega | 0.92 | 0.92 |
| Max Drawdown | -39.78% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 24.89% | 0.18% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | -0.37 | - |
| Skew | 0.21 | -0.37 |
| Kurtosis | 3.04 | 1.56 |
| Expected Daily | -0.06% | 0.07% |
| Expected Monthly | -1.25% | 1.42% |
| Expected Yearly | -8.83% | 10.91% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.63% | -0.05% |
| Expected Shortfall (cVaR) | -2.63% | -0.05% |
| Max Consecutive Wins | 8 | 446 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | -0.08 | - |
| Gain/Pain (1M) | -0.3 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.92 | - |
| Common Sense Ratio | 0.81 | - |
| CPC Index | - | - |
| Tail Ratio | 0.89 | 1.66 |
| Outlier Win Ratio | 1.77 | 28.4 |
| Outlier Loss Ratio | 1.76 | - |
| MTD | -3.12% | 0.68% |
| 3M | -3.32% | 4.96% |
| 6M | -9.6% | 10.7% |
| YTD | -9.33% | 11.19% |
| 1Y | -15.91% | 21.88% |
| 3Y (ann.) | -14.62% | 19.39% |
| 5Y (ann.) | -14.62% | 19.39% |
| 10Y (ann.) | -14.62% | 19.39% |
| All-time (ann.) | -14.62% | 19.39% |
| Best Day | 8.73% | 0.09% |
| Worst Day | -5.58% | 0.0% |
| Best Month | 13.07% | 1.83% |
| Worst Month | -14.0% | 0.68% |
| Best Year | -4.17% | 18.74% |
| Worst Year | -12.78% | 3.34% |
| Avg. Drawdown | -8.15% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.61 | - |
| Ulcer Index | 0.22 | 0.0 |
| Serenity Index | -0.04 | - |
| Avg. Up Month | 5.08% | 1.44% |
| Avg. Down Month | - | - |
| Win Days | 48.88% | 100.0% |
| Win Month | 45.45% | 100.0% |
| Win Quarter | 25.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | 4.59 | - |
| Alpha | -0.93 | - |
| Correlation | 3.37% | - |
| Treynor Ratio | -5.27% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 3.34 | -4.17 | -1.25 | - |
| 2024 | 18.74 | -12.78 | -0.68 | - |
| 2025 | 11.19 | -9.33 | -0.83 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-18 | 2025-07-11 | -39.78 | 449 |
| 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 |