| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | -40.06% | -39.9% |
| CAGR﹪ | -24.75% | -24.64% |
| Sharpe | -1.35 | -1.34 |
| Prob. Sharpe Ratio | 0.2% | 0.2% |
| Smart Sharpe | -1.21 | -1.21 |
| Sortino | -1.82 | -1.81 |
| Smart Sortino | -1.64 | -1.63 |
| Sortino/√2 | -1.29 | -1.28 |
| Smart Sortino/√2 | -1.16 | -1.16 |
| Omega | 0.79 | 0.79 |
| Max Drawdown | -46.2% | -46.05% |
| Longest DD Days | 645 | 645 |
| Volatility (ann.) | 23.92% | 23.87% |
| R^2 | 0.94 | 0.94 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.54 | -0.54 |
| Skew | 0.35 | 0.34 |
| Kurtosis | 3.63 | 3.42 |
| Expected Daily | -0.11% | -0.11% |
| Expected Monthly | -2.2% | -2.19% |
| Expected Yearly | -15.69% | -15.61% |
| Kelly Criterion | -9.15% | -8.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.58% | -2.57% |
| Expected Shortfall (cVaR) | -2.58% | -2.57% |
| Max Consecutive Wins | 6 | 8 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | -0.17 | -0.17 |
| Gain/Pain (1M) | -0.54 | -0.54 |
| Payoff Ratio | 0.92 | 0.91 |
| Profit Factor | 0.83 | 0.83 |
| Common Sense Ratio | 0.79 | 0.76 |
| CPC Index | 0.36 | 0.37 |
| Tail Ratio | 0.95 | 0.91 |
| Outlier Win Ratio | 3.86 | 3.72 |
| Outlier Loss Ratio | 3.03 | 3.16 |
| MTD | -3.55% | -3.43% |
| 3M | 1.24% | 1.57% |
| 6M | -7.32% | -7.82% |
| YTD | 4.2% | 4.1% |
| 1Y | -21.92% | -22.2% |
| 3Y (ann.) | -24.75% | -24.64% |
| 5Y (ann.) | -24.75% | -24.64% |
| 10Y (ann.) | -24.75% | -24.64% |
| All-time (ann.) | -24.75% | -24.64% |
| 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 | 4.2% | 4.1% |
| Worst Year | -25.13% | -25.06% |
| Avg. Drawdown | -17.19% | -16.97% |
| Avg. Drawdown Days | 217 | 217 |
| Recovery Factor | -0.87 | -0.87 |
| Ulcer Index | 0.33 | 0.32 |
| Serenity Index | -0.04 | -0.05 |
| Avg. Up Month | 4.16% | 4.21% |
| Avg. Down Month | -6.46% | -6.42% |
| Win Days | 47.82% | 48.13% |
| Win Month | 43.48% | 39.13% |
| Win Quarter | 12.5% | 12.5% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.97 | - |
| Alpha | -0.01 | - |
| Correlation | 96.81% | - |
| Treynor Ratio | -48.51% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | -25.06 | -25.13 | 1.00 | - |
| 2025 | -22.97 | -23.17 | 1.01 | - |
| 2026 | 4.10 | 4.20 | 1.02 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-06-10 | 2026-03-17 | -46.20 | 645 |
| 2024-05-30 | 2024-06-05 | -4.73 | 6 |
| 2024-06-06 | 2024-06-07 | -0.63 | 1 |