| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | -56.12% | 48.85% |
| CAGR﹪ | -29.47% | 18.37% |
| Sharpe | -1.33 | 72.44 |
| Prob. Sharpe Ratio | 2.15% | 100.0% |
| Smart Sharpe | -1.22 | 66.33 |
| Sortino | -1.8 | - |
| Smart Sortino | -1.65 | - |
| Sortino/√2 | -1.28 | - |
| Smart Sortino/√2 | -1.17 | - |
| Omega | 0.8 | 0.8 |
| Max Drawdown | -61.21% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 23.83% | 0.23% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | -0.48 | - |
| Skew | 0.3 | 0.92 |
| Kurtosis | 3.0 | 2.89 |
| Expected Daily | -0.14% | 0.07% |
| Expected Monthly | -2.8% | 1.38% |
| Expected Yearly | -24.01% | 14.18% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.6% | -0.04% |
| Expected Shortfall (cVaR) | -2.6% | -0.04% |
| Max Consecutive Wins | 6 | 599 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.2 | - |
| Gain/Pain (1M) | -0.65 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.8 | - |
| Common Sense Ratio | 0.76 | - |
| CPC Index | - | - |
| Tail Ratio | 0.95 | 1.76 |
| Outlier Win Ratio | 1.99 | 30.08 |
| Outlier Loss Ratio | 1.54 | - |
| MTD | 1.85% | 1.08% |
| 3M | 2.08% | 3.37% |
| 6M | -18.78% | 6.75% |
| YTD | -19.38% | 10.44% |
| 1Y | -26.13% | 14.88% |
| 3Y (ann.) | -29.47% | 18.37% |
| 5Y (ann.) | -29.47% | 18.37% |
| 10Y (ann.) | -29.47% | 18.37% |
| All-time (ann.) | -29.47% | 18.37% |
| Best Day | 8.94% | 0.13% |
| Worst Day | -6.83% | 0.0% |
| Best Month | 11.95% | 1.83% |
| Worst Month | -12.69% | 1.06% |
| Best Year | -19.38% | 19.38% |
| Worst Year | -29.15% | 10.44% |
| Avg. Drawdown | -30.65% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.92 | - |
| Ulcer Index | 0.4 | 0.0 |
| Serenity Index | -0.04 | - |
| Avg. Up Month | 3.33% | 1.37% |
| Avg. Down Month | - | - |
| Win Days | 46.22% | 100.0% |
| Win Month | 41.38% | 100.0% |
| Win Quarter | 0.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | 0.43 | - |
| Alpha | -0.39 | - |
| Correlation | 0.42% | - |
| Treynor Ratio | -129.69% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 12.90 | -29.15 | -2.26 | - |
| 2025 | 19.38 | -23.17 | -1.20 | - |
| 2026 | 10.44 | -19.38 | -1.86 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-23 | 2026-09-28 | -61.21 | 858 |
| 2024-05-21 | 2024-05-22 | -0.10 | 1 |