| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | -43.58% | 38.78% |
| CAGR﹪ | -27.1% | 19.84% |
| Sharpe | -1.19 | 86.66 |
| Prob. Sharpe Ratio | 5.73% | 100.0% |
| Smart Sharpe | -1.07 | 78.11 |
| Sortino | -1.62 | - |
| Smart Sortino | -1.46 | - |
| Sortino/√2 | -1.14 | - |
| Smart Sortino/√2 | -1.03 | - |
| Omega | 0.82 | 0.82 |
| Max Drawdown | -48.02% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 24.01% | 0.21% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | -0.56 | - |
| Skew | 0.33 | 1.06 |
| Kurtosis | 3.55 | 5.55 |
| Expected Daily | -0.12% | 0.07% |
| Expected Monthly | -2.46% | 1.44% |
| Expected Yearly | -17.37% | 11.54% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.6% | -0.05% |
| Expected Shortfall (cVaR) | -2.6% | -0.05% |
| Max Consecutive Wins | 6 | 459 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | -0.18 | - |
| Gain/Pain (1M) | -0.57 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.82 | - |
| Common Sense Ratio | 0.74 | - |
| CPC Index | - | - |
| Tail Ratio | 0.9 | 1.59 |
| Outlier Win Ratio | 2.02 | 28.57 |
| Outlier Loss Ratio | 1.5 | - |
| MTD | -4.06% | 0.55% |
| 3M | 2.16% | 3.74% |
| 6M | -12.63% | 7.81% |
| YTD | 3.66% | 2.97% |
| 1Y | -23.17% | 18.04% |
| 3Y (ann.) | -27.1% | 19.84% |
| 5Y (ann.) | -27.1% | 19.84% |
| 10Y (ann.) | -27.1% | 19.84% |
| All-time (ann.) | -27.1% | 19.84% |
| Best Day | 8.94% | 0.13% |
| Worst Day | -6.83% | 0.0% |
| Best Month | 11.95% | 1.83% |
| Worst Month | -12.69% | 0.55% |
| Best Year | 3.66% | 19.38% |
| Worst Year | -29.15% | 2.97% |
| Avg. Drawdown | -24.06% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.91 | - |
| Ulcer Index | 0.34 | 0.0 |
| Serenity Index | -0.04 | - |
| Avg. Up Month | 3.78% | 1.43% |
| Avg. Down Month | - | - |
| Win Days | 47.5% | 100.0% |
| Win Month | 43.48% | 100.0% |
| Win Quarter | 12.5% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | -1.16 | - |
| Alpha | -0.08 | - |
| Correlation | -1.0% | - |
| Treynor Ratio | 37.51% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 12.90 | -29.15 | -2.26 | - |
| 2025 | 19.38 | -23.17 | -1.20 | - |
| 2026 | 2.97 | 3.66 | 1.23 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-23 | 2026-03-12 | -48.02 | 658 |
| 2024-05-21 | 2024-05-22 | -0.10 | 1 |