| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 91.0% | 100.0% |
| Cumulative Return | 22.42% | 35.16% |
| CAGR﹪ | 5.44% | 8.21% |
| Sharpe | 0.48 | 31.7 |
| Prob. Sharpe Ratio | 73.63% | 100.0% |
| Smart Sharpe | 0.46 | 30.15 |
| Sortino | 0.62 | - |
| Smart Sortino | 0.59 | - |
| Sortino/√2 | 0.44 | - |
| Smart Sortino/√2 | 0.42 | - |
| Omega | 1.21 | 1.21 |
| Max Drawdown | -52.16% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 43.11% | 0.46% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.1 | - |
| Skew | -5.85 | 1.14 |
| Kurtosis | 188.26 | 3.1 |
| Expected Daily | 0.04% | 0.06% |
| Expected Monthly | 0.75% | 1.12% |
| Expected Yearly | 4.13% | 6.21% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.38% | -0.01% |
| Expected Shortfall (cVaR) | -4.38% | -0.01% |
| Max Consecutive Wins | 6 | 525 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.21 | - |
| Gain/Pain (1M) | 0.6 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.21 | - |
| Common Sense Ratio | 1.53 | - |
| CPC Index | - | - |
| Tail Ratio | 1.26 | 3.44 |
| Outlier Win Ratio | 2.83 | 39.46 |
| Outlier Loss Ratio | 1.93 | - |
| MTD | 0.81% | 1.3% |
| 3M | 3.98% | 4.83% |
| 6M | 8.42% | 10.07% |
| YTD | 10.96% | 14.9% |
| 1Y | 16.98% | 22.01% |
| 3Y (ann.) | 31.67% | 8.95% |
| 5Y (ann.) | 5.44% | 8.21% |
| 10Y (ann.) | 5.44% | 8.21% |
| All-time (ann.) | 5.44% | 8.21% |
| Best Day | 32.08% | 0.18% |
| Worst Day | -45.56% | 0.0% |
| Best Month | 31.46% | 1.83% |
| Worst Month | -51.26% | 0.5% |
| Best Year | 39.58% | 14.9% |
| Worst Year | -28.47% | 1.15% |
| Avg. Drawdown | -1.76% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.43 | - |
| Ulcer Index | 0.24 | 0.0 |
| Serenity Index | 0.05 | - |
| Avg. Up Month | 5.33% | 1.25% |
| Avg. Down Month | - | - |
| Win Days | 54.41% | 100.0% |
| Win Month | 81.48% | 100.0% |
| Win Quarter | 90.91% | 100.0% |
| Win Year | 80.0% | 100.0% |
| Beta | 7.14 | - |
| Alpha | -0.82 | - |
| Correlation | 7.54% | - |
| Treynor Ratio | 3.14% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.15 | 0.25 | 0.22 | - |
| 2022 | 5.69 | -28.47 | -5.00 | - |
| 2023 | 1.32 | 10.24 | 7.78 | + |
| 2024 | 8.61 | 39.58 | 4.60 | + |
| 2025 | 14.90 | 10.96 | 0.74 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-15 | 2024-08-21 | -52.16 | 798 |
| 2022-01-25 | 2022-02-25 | -8.49 | 31 |
| 2021-11-29 | 2022-01-04 | -2.32 | 36 |
| 2022-01-14 | 2022-01-24 | -2.06 | 10 |
| 2022-01-06 | 2022-01-13 | -2.00 | 7 |
| 2025-07-22 | 2025-08-22 | -1.83 | 31 |
| 2024-10-25 | 2024-11-18 | -0.93 | 24 |
| 2025-01-08 | 2025-01-27 | -0.89 | 19 |
| 2021-11-24 | 2021-11-26 | -0.88 | 2 |
| 2025-07-15 | 2025-07-21 | -0.83 | 6 |