| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -40.51% | -40.51% |
| CAGR﹪ | -23.32% | -23.32% |
| Sharpe | -1.4 | -1.48 |
| Prob. Sharpe Ratio | 0.12% | 0.08% |
| Smart Sharpe | -1.28 | -1.36 |
| Sortino | -1.9 | -1.96 |
| Smart Sortino | -1.74 | -1.8 |
| Sortino/√2 | -1.34 | -1.39 |
| Smart Sortino/√2 | -1.23 | -1.27 |
| Omega | 0.78 | 0.78 |
| Max Drawdown | -40.88% | -40.96% |
| Longest DD Days | 712 | 712 |
| Volatility (ann.) | 21.93% | 20.87% |
| R^2 | 0.86 | 0.86 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | -0.57 | -0.57 |
| Skew | 0.43 | 0.23 |
| Kurtosis | 4.56 | 4.51 |
| Expected Daily | -0.1% | -0.1% |
| Expected Monthly | -2.06% | -2.06% |
| Expected Yearly | -15.9% | -15.9% |
| Kelly Criterion | -8.97% | -10.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.37% | -2.26% |
| Expected Shortfall (cVaR) | -2.37% | -2.26% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | -0.18 | -0.19 |
| Gain/Pain (1M) | -0.51 | -0.51 |
| Payoff Ratio | 0.96 | 0.93 |
| Profit Factor | 0.82 | 0.81 |
| Common Sense Ratio | 0.69 | 0.67 |
| CPC Index | 0.37 | 0.35 |
| Tail Ratio | 0.84 | 0.83 |
| Outlier Win Ratio | 3.78 | 3.94 |
| Outlier Loss Ratio | 3.6 | 3.8 |
| MTD | -10.37% | -11.3% |
| 3M | -19.05% | -19.77% |
| 6M | -19.58% | -20.16% |
| YTD | -17.66% | -17.75% |
| 1Y | -22.32% | -23.09% |
| 3Y (ann.) | -23.32% | -23.32% |
| 5Y (ann.) | -23.32% | -23.32% |
| 10Y (ann.) | -23.32% | -23.32% |
| All-time (ann.) | -23.32% | -23.32% |
| 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 | -17.66% | -17.75% |
| Avg. Drawdown | -40.88% | -40.96% |
| Avg. Drawdown Days | 712 | 712 |
| Recovery Factor | -0.99 | -0.99 |
| Ulcer Index | 0.22 | 0.22 |
| Serenity Index | -0.09 | -0.08 |
| Avg. Up Month | 3.81% | 3.85% |
| Avg. Down Month | -7.6% | -7.64% |
| Win Days | 46.72% | 46.87% |
| Win Month | 50.0% | 50.0% |
| Win Quarter | 22.22% | 22.22% |
| Win Year | 0.0% | 0.0% |
| Beta | 0.97 | - |
| Alpha | -0.0 | - |
| Correlation | 92.49% | - |
| Treynor Ratio | -48.88% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | -16.28 | -16.15 | 0.99 | + |
| 2025 | -13.60 | -13.83 | 1.02 | - |
| 2026 | -17.75 | -17.66 | 0.99 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-08-02 | 2026-07-15 | -40.88 | 712 |