| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -44.58% | 31.74% |
| CAGR﹪ | -33.09% | 20.65% |
| Sharpe | -1.39 | 84.57 |
| Prob. Sharpe Ratio | 4.73% | 100.0% |
| Smart Sharpe | -1.26 | 76.38 |
| Sortino | -1.89 | - |
| Smart Sortino | -1.71 | - |
| Sortino/√2 | -1.34 | - |
| Smart Sortino/√2 | -1.21 | - |
| Omega | 0.79 | 0.79 |
| Max Drawdown | -48.02% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 25.86% | 0.22% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | -0.69 | - |
| Skew | 0.37 | 0.81 |
| Kurtosis | 2.92 | 5.07 |
| Expected Daily | -0.16% | 0.07% |
| Expected Monthly | -3.06% | 1.46% |
| Expected Yearly | -25.55% | 14.78% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.82% | -0.05% |
| Expected Shortfall (cVaR) | -2.82% | -0.05% |
| Max Consecutive Wins | 5 | 377 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | -0.21 | - |
| Gain/Pain (1M) | -0.62 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.79 | - |
| Common Sense Ratio | 0.76 | - |
| CPC Index | - | - |
| Tail Ratio | 0.96 | 1.6 |
| Outlier Win Ratio | 1.88 | 28.95 |
| Outlier Loss Ratio | 1.43 | - |
| MTD | 2.39% | 0.28% |
| 3M | -13.78% | 3.97% |
| 6M | -9.72% | 8.75% |
| YTD | -21.77% | 16.69% |
| 1Y | -19.39% | 20.56% |
| 3Y (ann.) | -33.09% | 20.65% |
| 5Y (ann.) | -33.09% | 20.65% |
| 10Y (ann.) | -33.09% | 20.65% |
| All-time (ann.) | -33.09% | 20.65% |
| Best Day | 8.94% | 0.13% |
| Worst Day | -6.83% | 0.0% |
| Best Month | 11.95% | 1.83% |
| Worst Month | -12.69% | 0.28% |
| Best Year | -21.77% | 16.69% |
| Worst Year | -29.15% | 12.9% |
| Avg. Drawdown | -24.06% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.93 | - |
| Ulcer Index | 0.32 | 0.0 |
| Serenity Index | -0.05 | - |
| Avg. Up Month | 4.54% | 1.38% |
| Avg. Down Month | - | - |
| Win Days | 46.87% | 100.0% |
| Win Month | 36.84% | 100.0% |
| Win Quarter | 0.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | -0.49 | - |
| Alpha | -0.27 | - |
| Correlation | -0.41% | - |
| Treynor Ratio | 91.55% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 12.90 | -29.15 | -2.26 | - |
| 2025 | 16.69 | -21.77 | -1.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-23 | 2025-11-07 | -48.02 | 533 |
| 2024-05-21 | 2024-05-22 | -0.10 | 1 |