| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -38.77% | -38.63% |
| CAGR﹪ | -22.23% | -22.14% |
| Sharpe | -1.34 | -1.42 |
| Prob. Sharpe Ratio | 0.16% | 0.11% |
| Smart Sharpe | -1.23 | -1.3 |
| Sortino | -1.82 | -1.88 |
| Smart Sortino | -1.67 | -1.72 |
| Sortino/√2 | -1.29 | -1.33 |
| Smart Sortino/√2 | -1.18 | -1.22 |
| Omega | 0.79 | 0.79 |
| Max Drawdown | -39.15% | -39.09% |
| Longest DD Days | 710 | 710 |
| Volatility (ann.) | 21.9% | 20.83% |
| R^2 | 0.85 | 0.85 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | -0.57 | -0.57 |
| Skew | 0.44 | 0.24 |
| Kurtosis | 4.6 | 4.56 |
| Expected Daily | -0.1% | -0.1% |
| Expected Monthly | -1.94% | -1.93% |
| Expected Yearly | -15.08% | -15.02% |
| Kelly Criterion | -8.45% | -9.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.36% | -2.25% |
| Expected Shortfall (cVaR) | -2.36% | -2.25% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | -0.17 | -0.18 |
| Gain/Pain (1M) | -0.49 | -0.49 |
| Payoff Ratio | 0.96 | 0.93 |
| Profit Factor | 0.83 | 0.82 |
| Common Sense Ratio | 0.7 | 0.69 |
| CPC Index | 0.37 | 0.36 |
| Tail Ratio | 0.84 | 0.84 |
| Outlier Win Ratio | 3.78 | 3.95 |
| Outlier Loss Ratio | 3.61 | 3.82 |
| MTD | -7.75% | -8.5% |
| 3M | -17.89% | -17.73% |
| 6M | -15.58% | -15.63% |
| YTD | -15.25% | -15.15% |
| 1Y | -19.07% | -19.01% |
| 3Y (ann.) | -22.23% | -22.14% |
| 5Y (ann.) | -22.23% | -22.14% |
| 10Y (ann.) | -22.23% | -22.14% |
| All-time (ann.) | -22.23% | -22.14% |
| Best Day | 8.63% | 8.21% |
| Worst Day | -5.85% | -5.74% |
| Best Month | 13.45% | 12.76% |
| Worst Month | -14.74% | -14.77% |
| Best Year | -13.83% | -13.6% |
| Worst Year | -16.15% | -16.28% |
| Avg. Drawdown | -39.15% | -39.09% |
| Avg. Drawdown Days | 710 | 710 |
| Recovery Factor | -0.99 | -0.99 |
| Ulcer Index | 0.22 | 0.22 |
| Serenity Index | -0.08 | -0.08 |
| Avg. Up Month | 3.81% | 3.85% |
| Avg. Down Month | -7.39% | -7.4% |
| Win Days | 46.91% | 47.06% |
| Win Month | 50.0% | 50.0% |
| Win Quarter | 22.22% | 22.22% |
| Win Year | 0.0% | 0.0% |
| Beta | 0.97 | - |
| Alpha | -0.01 | - |
| Correlation | 92.43% | - |
| Treynor Ratio | -47.09% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | -16.28 | -16.15 | 0.99 | + |
| 2025 | -13.60 | -13.83 | 1.02 | - |
| 2026 | -15.15 | -15.25 | 1.01 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-08-02 | 2026-07-13 | -39.15 | 710 |