| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | -46.06% | -45.99% |
| CAGR﹪ | -27.49% | -27.44% |
| Sharpe | -1.53 | -1.54 |
| Prob. Sharpe Ratio | 0.06% | 0.06% |
| Smart Sharpe | -1.38 | -1.39 |
| Sortino | -2.05 | -2.06 |
| Smart Sortino | -1.86 | -1.86 |
| Sortino/√2 | -1.45 | -1.45 |
| Smart Sortino/√2 | -1.31 | -1.32 |
| Omega | 0.77 | 0.77 |
| Max Drawdown | -47.54% | -47.48% |
| Longest DD Days | 689 | 689 |
| Volatility (ann.) | 23.47% | 23.32% |
| R^2 | 0.93 | 0.93 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.58 | -0.58 |
| Skew | 0.36 | 0.36 |
| Kurtosis | 3.72 | 3.61 |
| Expected Daily | -0.13% | -0.13% |
| Expected Monthly | -2.54% | -2.53% |
| Expected Yearly | -18.6% | -18.56% |
| Kelly Criterion | -10.84% | -10.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.55% | -2.53% |
| Expected Shortfall (cVaR) | -2.55% | -2.53% |
| Max Consecutive Wins | 6 | 8 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | -0.19 | -0.19 |
| Gain/Pain (1M) | -0.59 | -0.59 |
| Payoff Ratio | 0.91 | 0.89 |
| Profit Factor | 0.81 | 0.81 |
| Common Sense Ratio | 0.72 | 0.69 |
| CPC Index | 0.35 | 0.34 |
| Tail Ratio | 0.89 | 0.86 |
| Outlier Win Ratio | 3.92 | 3.82 |
| Outlier Loss Ratio | 3.04 | 3.18 |
| MTD | -6.04% | -6.05% |
| 3M | -10.16% | -9.24% |
| 6M | -4.29% | -4.38% |
| YTD | -6.22% | -6.43% |
| 1Y | -19.47% | -19.7% |
| 3Y (ann.) | -27.49% | -27.44% |
| 5Y (ann.) | -27.49% | -27.44% |
| 10Y (ann.) | -27.49% | -27.44% |
| All-time (ann.) | -27.49% | -27.44% |
| Best Day | 8.94% | 8.93% |
| Worst Day | -6.83% | -6.12% |
| Best Month | 11.95% | 11.35% |
| Worst Month | -12.69% | -12.69% |
| Best Year | -6.22% | -6.43% |
| Worst Year | -25.13% | -25.06% |
| Avg. Drawdown | -17.63% | -17.45% |
| Avg. Drawdown Days | 232 | 232 |
| Recovery Factor | -0.97 | -0.97 |
| Ulcer Index | 0.34 | 0.33 |
| Serenity Index | -0.05 | -0.05 |
| Avg. Up Month | 4.16% | 4.21% |
| Avg. Down Month | -6.72% | -6.69% |
| Win Days | 47.31% | 47.84% |
| Win Month | 41.67% | 37.5% |
| Win Quarter | 0.0% | 0.0% |
| Win Year | 0.0% | 0.0% |
| Beta | 0.97 | - |
| Alpha | -0.01 | - |
| Correlation | 96.64% | - |
| Treynor Ratio | -54.55% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | -25.06 | -25.13 | 1.00 | - |
| 2025 | -22.97 | -23.17 | 1.01 | - |
| 2026 | -6.43 | -6.22 | 0.97 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-06-10 | 2026-04-30 | -47.54 | 689 |
| 2024-05-30 | 2024-06-05 | -4.73 | 6 |
| 2024-06-06 | 2024-06-07 | -0.63 | 1 |