| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -30.4% | 22.72% |
| CAGR﹪ | -12.64% | 7.93% |
| Sharpe | -0.47 | 22.1 |
| Prob. Sharpe Ratio | 21.65% | 100.0% |
| Smart Sharpe | -0.45 | 20.86 |
| Sortino | -0.65 | 140.32 |
| Smart Sortino | -0.61 | 132.49 |
| Sortino/√2 | -0.46 | 99.22 |
| Smart Sortino/√2 | -0.43 | 93.68 |
| Omega | 0.92 | 0.92 |
| Max Drawdown | -40.22% | -0.4% |
| Longest DD Days | 788 | 63 |
| Volatility (ann.) | 22.31% | 0.33% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.31 | 19.83 |
| Skew | 0.19 | 0.62 |
| Kurtosis | 3.64 | 1.13 |
| Expected Daily | -0.05% | 0.03% |
| Expected Monthly | -1.09% | 0.62% |
| Expected Yearly | -8.66% | 5.25% |
| Kelly Criterion | 3.82% | 95.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.35% | -0.01% |
| Expected Shortfall (cVaR) | -2.35% | -0.01% |
| Max Consecutive Wins | 10 | 460 |
| Max Consecutive Losses | 9 | 21 |
| Gain/Pain Ratio | -0.08 | 51.11 |
| Gain/Pain (1M) | -0.28 | 51.11 |
| Payoff Ratio | 1.12 | 1.68 |
| Profit Factor | 0.92 | 52.11 |
| Common Sense Ratio | 0.82 | 755.7 |
| CPC Index | 0.51 | 84.97 |
| Tail Ratio | 0.89 | 14.5 |
| Outlier Win Ratio | 1.81 | 58.23 |
| Outlier Loss Ratio | 1.86 | 101.6 |
| MTD | -1.8% | 0.09% |
| 3M | -12.3% | 0.75% |
| 6M | -10.34% | 3.57% |
| YTD | -9.49% | 3.39% |
| 1Y | -8.66% | 5.32% |
| 3Y (ann.) | -12.64% | 7.93% |
| 5Y (ann.) | -12.64% | 7.93% |
| 10Y (ann.) | -12.64% | 7.93% |
| All-time (ann.) | -12.64% | 7.93% |
| 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 | -4.17% | 9.51% |
| Worst Year | -12.78% | 2.64% |
| Avg. Drawdown | -8.21% | -0.4% |
| Avg. Drawdown Days | 136 | 63 |
| Recovery Factor | -0.76 | 56.81 |
| Ulcer Index | 0.27 | 0.0 |
| Serenity Index | -0.04 | 72.86 |
| Avg. Up Month | 4.81% | 0.72% |
| Avg. Down Month | - | - |
| Win Days | 49.14% | 97.0% |
| Win Month | 45.45% | 96.97% |
| Win Quarter | 27.27% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | 2.95 | - |
| Alpha | -0.32 | - |
| Correlation | 4.39% | - |
| Treynor Ratio | -10.32% | - |
| 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 | 3.39 | -9.49 | -2.80 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-18 | 2026-06-15 | -40.22 | 788 |
| 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 |