| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | -0.89% | 41.36% |
| CAGR﹪ | -0.46% | 19.45% |
| Sharpe | 0.04 | 67.69 |
| Prob. Sharpe Ratio | 52.02% | 100.0% |
| Smart Sharpe | 0.03 | 59.81 |
| Sortino | 0.05 | - |
| Smart Sortino | 0.05 | - |
| Sortino/√2 | 0.04 | - |
| Smart Sortino/√2 | 0.03 | - |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -15.24% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 13.83% | 0.26% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | -0.03 | - |
| Skew | 0.1 | 3.77 |
| Kurtosis | 2.39 | 26.53 |
| Expected Daily | -0.0% | 0.07% |
| Expected Monthly | -0.04% | 1.39% |
| Expected Yearly | -0.3% | 12.23% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.43% | -0.04% |
| Expected Shortfall (cVaR) | -1.43% | -0.04% |
| Max Consecutive Wins | 7 | 496 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.01 | - |
| Gain/Pain (1M) | 0.03 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.01 | - |
| Common Sense Ratio | 1.09 | - |
| CPC Index | - | - |
| Tail Ratio | 1.09 | 1.56 |
| Outlier Win Ratio | 2.26 | 18.22 |
| Outlier Loss Ratio | 1.77 | - |
| MTD | -0.4% | 0.11% |
| 3M | -0.99% | 3.99% |
| 6M | -0.3% | 8.75% |
| YTD | -10.4% | 16.51% |
| 1Y | -0.79% | 20.58% |
| 3Y (ann.) | -0.46% | 19.45% |
| 5Y (ann.) | -0.46% | 19.45% |
| 10Y (ann.) | -0.46% | 19.45% |
| All-time (ann.) | -0.46% | 19.45% |
| Best Day | 3.82% | 0.19% |
| Worst Day | -3.41% | 0.0% |
| Best Month | 8.07% | 1.83% |
| Worst Month | -6.81% | 0.11% |
| Best Year | 5.29% | 18.74% |
| Worst Year | -10.4% | 2.18% |
| Avg. Drawdown | -3.87% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.06 | - |
| Ulcer Index | 0.09 | 0.0 |
| Serenity Index | -0.01 | - |
| Avg. Up Month | 2.44% | 1.39% |
| Avg. Down Month | - | - |
| Win Days | 51.53% | 100.0% |
| Win Month | 52.0% | 100.0% |
| Win Quarter | 55.56% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | 0.81 | - |
| Alpha | -0.14 | - |
| Correlation | 1.51% | - |
| Treynor Ratio | -1.11% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 2.18 | 5.06 | 2.32 | + |
| 2024 | 18.74 | 5.29 | 0.28 | - |
| 2025 | 16.51 | -10.40 | -0.63 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-01-15 | 2025-11-03 | -15.24 | 292 |
| 2024-04-18 | 2025-01-03 | -14.50 | 260 |
| 2024-01-09 | 2024-02-22 | -5.38 | 44 |
| 2023-12-25 | 2024-01-03 | -2.79 | 9 |
| 2023-12-07 | 2023-12-21 | -2.62 | 14 |
| 2024-02-26 | 2024-03-15 | -1.85 | 18 |
| 2024-03-18 | 2024-03-22 | -1.10 | 4 |
| 2024-03-26 | 2024-04-09 | -1.00 | 14 |
| 2025-01-06 | 2025-01-13 | -0.98 | 7 |
| 2024-04-11 | 2024-04-16 | -0.45 | 5 |