| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -23.46% | 22.87% |
| CAGR﹪ | -10.02% | 8.48% |
| Sharpe | -0.34 | 24.99 |
| Prob. Sharpe Ratio | 29.19% | 100.0% |
| Smart Sharpe | -0.32 | 23.48 |
| Sortino | -0.48 | 146.7 |
| Smart Sortino | -0.45 | 137.85 |
| Sortino/√2 | -0.34 | 103.73 |
| Smart Sortino/√2 | -0.32 | 97.47 |
| Omega | 0.94 | 0.94 |
| Max Drawdown | -39.78% | -0.4% |
| Longest DD Days | 733 | 63 |
| Volatility (ann.) | 22.75% | 0.32% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.25 | 21.19 |
| Skew | 0.18 | 0.56 |
| Kurtosis | 3.57 | 1.65 |
| Expected Daily | -0.04% | 0.03% |
| Expected Monthly | -0.86% | 0.67% |
| Expected Yearly | -6.47% | 5.28% |
| Kelly Criterion | 5.59% | 94.99% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.39% | -0.0% |
| Expected Shortfall (cVaR) | -2.39% | -0.0% |
| Max Consecutive Wins | 10 | 460 |
| Max Consecutive Losses | 9 | 21 |
| Gain/Pain Ratio | -0.06 | 51.41 |
| Gain/Pain (1M) | -0.21 | 51.41 |
| Payoff Ratio | 1.14 | 1.82 |
| Profit Factor | 0.94 | 52.41 |
| Common Sense Ratio | 0.82 | 390.32 |
| CPC Index | 0.53 | 92.36 |
| Tail Ratio | 0.87 | 7.45 |
| Outlier Win Ratio | 1.85 | 55.92 |
| Outlier Loss Ratio | 1.84 | 101.76 |
| MTD | 1.21% | 0.52% |
| 3M | -2.45% | 2.54% |
| 6M | -0.62% | 4.49% |
| YTD | -0.46% | 3.52% |
| 1Y | -3.99% | 6.16% |
| 3Y (ann.) | -10.02% | 8.48% |
| 5Y (ann.) | -10.02% | 8.48% |
| 10Y (ann.) | -10.02% | 8.48% |
| All-time (ann.) | -10.02% | 8.48% |
| Best Day | 8.73% | 0.09% |
| Worst Day | -5.58% | -0.02% |
| Best Month | 13.07% | 1.62% |
| Worst Month | -14.0% | -0.4% |
| Best Year | -0.46% | 9.51% |
| Worst Year | -12.78% | 2.64% |
| Avg. Drawdown | -8.15% | -0.4% |
| Avg. Drawdown Days | 128 | 63 |
| Recovery Factor | -0.59 | 57.19 |
| Ulcer Index | 0.26 | 0.0 |
| Serenity Index | -0.03 | 65.05 |
| Avg. Up Month | 4.57% | 0.71% |
| Avg. Down Month | - | - |
| Win Days | 49.61% | 96.76% |
| Win Month | 51.61% | 96.77% |
| Win Quarter | 36.36% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | 2.9 | - |
| Alpha | -0.31 | - |
| Correlation | 4.07% | - |
| Treynor Ratio | -8.09% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 2.64 | -4.17 | -1.58 | - |
| 2024 | 9.51 | -12.78 | -1.34 | - |
| 2025 | 5.60 | -8.01 | -1.43 | - |
| 2026 | 3.52 | -0.46 | -0.13 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-18 | 2026-04-21 | -39.78 | 733 |
| 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 |