| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -21.02% | 19.12% |
| CAGR﹪ | -9.59% | 7.76% |
| Sharpe | -0.31 | 25.65 |
| Prob. Sharpe Ratio | 32.01% | 100.0% |
| Smart Sharpe | -0.29 | 24.12 |
| Sortino | -0.43 | 130.41 |
| Smart Sortino | -0.4 | 122.63 |
| Sortino/√2 | -0.3 | 92.22 |
| Smart Sortino/√2 | -0.28 | 86.71 |
| Omega | 0.95 | 0.95 |
| Max Drawdown | -39.78% | -0.4% |
| Longest DD Days | 663 | 63 |
| Volatility (ann.) | 23.67% | 0.29% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.24 | 19.41 |
| Skew | 0.18 | -0.03 |
| Kurtosis | 3.14 | 0.41 |
| Expected Daily | -0.04% | 0.03% |
| Expected Monthly | -0.81% | 0.61% |
| Expected Yearly | -5.73% | 4.47% |
| Kelly Criterion | 8.47% | 94.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.48% | -0.0% |
| Expected Shortfall (cVaR) | -2.48% | -0.0% |
| Max Consecutive Wins | 10 | 460 |
| Max Consecutive Losses | 9 | 21 |
| Gain/Pain Ratio | -0.05 | 43.66 |
| Gain/Pain (1M) | -0.19 | 43.66 |
| Payoff Ratio | 1.21 | 1.65 |
| Profit Factor | 0.95 | 44.66 |
| Common Sense Ratio | 0.85 | 300.63 |
| CPC Index | 0.57 | 71.14 |
| Tail Ratio | 0.89 | 6.73 |
| Outlier Win Ratio | 1.82 | 61.91 |
| Outlier Loss Ratio | 1.74 | 102.08 |
| MTD | -4.32% | 0.1% |
| 3M | 7.9% | 0.99% |
| 6M | -5.96% | 1.65% |
| YTD | 2.71% | 0.35% |
| 1Y | -6.96% | 4.47% |
| 3Y (ann.) | -9.59% | 7.76% |
| 5Y (ann.) | -9.59% | 7.76% |
| 10Y (ann.) | -9.59% | 7.76% |
| All-time (ann.) | -9.59% | 7.76% |
| Best Day | 8.73% | 0.07% |
| Worst Day | -5.58% | -0.02% |
| Best Month | 13.07% | 1.43% |
| Worst Month | -14.0% | -0.4% |
| Best Year | 2.71% | 9.51% |
| Worst Year | -12.78% | 0.35% |
| Avg. Drawdown | -8.15% | -0.4% |
| Avg. Drawdown Days | 118 | 63 |
| Recovery Factor | -0.53 | 47.79 |
| Ulcer Index | 0.25 | 0.0 |
| Serenity Index | -0.03 | 44.79 |
| Avg. Up Month | 4.81% | 0.63% |
| Avg. Down Month | - | - |
| Win Days | 49.83% | 96.45% |
| Win Month | 51.72% | 96.55% |
| Win Quarter | 40.0% | 100.0% |
| Win Year | 25.0% | 100.0% |
| Beta | 1.02 | - |
| Alpha | -0.15 | - |
| Correlation | 1.25% | - |
| Treynor Ratio | -20.51% | - |
| 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 | 0.35 | 2.71 | 7.76 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-18 | 2026-02-10 | -39.78 | 663 |
| 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 |