| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | -4.08% | 32.08% |
| CAGR﹪ | -2.7% | 20.0% |
| Sharpe | -0.02 | 64.47 |
| Prob. Sharpe Ratio | 49.06% | 100.0% |
| Smart Sharpe | -0.02 | 62.26 |
| Sortino | -0.03 | - |
| Smart Sortino | -0.03 | - |
| Sortino/√2 | -0.02 | - |
| Smart Sortino/√2 | -0.02 | - |
| Omega | 1.0 | 1.0 |
| Max Drawdown | -29.94% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 21.39% | 0.28% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -0.09 | - |
| Skew | 0.73 | 3.77 |
| Kurtosis | 4.58 | 24.8 |
| Expected Daily | -0.01% | 0.07% |
| Expected Monthly | -0.21% | 1.4% |
| Expected Yearly | -1.38% | 9.72% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.22% | -0.04% |
| Expected Shortfall (cVaR) | -2.22% | -0.04% |
| Max Consecutive Wins | 8 | 392 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.0 | - |
| Gain/Pain (1M) | -0.01 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.0 | - |
| Common Sense Ratio | 0.96 | - |
| CPC Index | - | - |
| Tail Ratio | 0.97 | 1.65 |
| Outlier Win Ratio | 2.16 | 27.25 |
| Outlier Loss Ratio | 1.52 | - |
| MTD | -0.1% | 0.06% |
| 3M | -10.92% | 5.12% |
| 6M | 10.82% | 10.83% |
| YTD | -3.7% | 8.86% |
| 1Y | -10.75% | 21.51% |
| 3Y (ann.) | -2.7% | 20.0% |
| 5Y (ann.) | -2.7% | 20.0% |
| 10Y (ann.) | -2.7% | 20.0% |
| All-time (ann.) | -2.7% | 20.0% |
| Best Day | 8.47% | 0.19% |
| Worst Day | -4.14% | 0.0% |
| Best Month | 15.07% | 1.83% |
| Worst Month | -11.31% | 0.06% |
| Best Year | -0.2% | 18.74% |
| Worst Year | -3.7% | 2.18% |
| Avg. Drawdown | -3.2% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.14 | - |
| Ulcer Index | 0.14 | 0.0 |
| Serenity Index | -0.02 | - |
| Avg. Up Month | 4.65% | 1.44% |
| Avg. Down Month | - | - |
| Win Days | 50.67% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 42.86% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | 0.34 | - |
| Alpha | -0.06 | - |
| Correlation | 0.44% | - |
| Treynor Ratio | -12.1% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 2.18 | -0.20 | -0.09 | - |
| 2024 | 18.74 | -0.20 | -0.01 | - |
| 2025 | 8.86 | -3.70 | -0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-17 | 2025-06-02 | -29.94 | 381 |
| 2023-11-27 | 2023-12-27 | -7.67 | 30 |
| 2024-02-08 | 2024-03-01 | -3.52 | 22 |
| 2024-04-16 | 2024-05-10 | -1.99 | 24 |
| 2024-03-13 | 2024-03-26 | -1.63 | 13 |
| 2024-01-18 | 2024-01-22 | -0.66 | 4 |
| 2023-12-28 | 2024-01-03 | -0.60 | 6 |
| 2024-01-24 | 2024-01-29 | -0.47 | 5 |
| 2024-01-09 | 2024-01-10 | -0.39 | 1 |
| 2024-04-04 | 2024-04-08 | -0.35 | 4 |