| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 12.92% | 23.92% |
| CAGR﹪ | 3.73% | 6.67% |
| Sharpe | 0.46 | 25.48 |
| Prob. Sharpe Ratio | 69.99% | - |
| Smart Sharpe | 0.43 | 24.28 |
| Sortino | 0.58 | - |
| Smart Sortino | 0.56 | - |
| Sortino/√2 | 0.41 | - |
| Smart Sortino/√2 | 0.39 | - |
| Omega | 1.19 | 1.19 |
| Max Drawdown | -52.16% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 49.76% | 0.54% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.07 | - |
| Skew | -5.11 | 1.41 |
| Kurtosis | 141.99 | 2.23 |
| Expected Daily | 0.03% | 0.05% |
| Expected Monthly | 0.58% | 1.03% |
| Expected Yearly | 2.46% | 4.38% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.07% | -0.0% |
| Expected Shortfall (cVaR) | -5.07% | -0.0% |
| Max Consecutive Wins | 6 | 392 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.19 | - |
| Gain/Pain (1M) | 0.49 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.19 | - |
| Common Sense Ratio | 1.32 | - |
| CPC Index | - | - |
| Tail Ratio | 1.11 | 5.34 |
| Outlier Win Ratio | 2.39 | 43.8 |
| Outlier Loss Ratio | 1.73 | - |
| MTD | 0.55% | 1.73% |
| 3M | 4.93% | 6.12% |
| 6M | 8.03% | 11.7% |
| YTD | 2.35% | 5.35% |
| 1Y | 42.86% | 14.42% |
| 3Y (ann.) | 3.06% | 7.11% |
| 5Y (ann.) | 3.73% | 6.67% |
| 10Y (ann.) | 3.73% | 6.67% |
| All-time (ann.) | 3.73% | 6.67% |
| 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% | 8.61% |
| Worst Year | -28.47% | 1.15% |
| Avg. Drawdown | -3.06% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.25 | - |
| Ulcer Index | 0.28 | 0.0 |
| Serenity Index | 0.03 | - |
| Avg. Up Month | 6.83% | 1.17% |
| Avg. Down Month | - | - |
| Win Days | 53.83% | 100.0% |
| Win Month | 76.19% | 100.0% |
| Win Quarter | 88.89% | 100.0% |
| Win Year | 80.0% | 100.0% |
| Beta | 6.83 | - |
| Alpha | -0.71 | - |
| Correlation | 7.41% | - |
| Treynor Ratio | 1.89% | - |
| 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 | 5.35 | 2.35 | 0.44 | - |
| 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 |
| 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 |
| 2025-02-03 | 2025-02-17 | -0.77 | 14 |
| 2024-08-22 | 2024-09-06 | -0.71 | 15 |