| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | -0.99% | 44.86% |
| CAGR﹪ | -0.48% | 19.37% |
| Sharpe | 0.03 | 69.62 |
| Prob. Sharpe Ratio | 51.96% | 100.0% |
| Smart Sharpe | 0.03 | 61.88 |
| Sortino | 0.05 | - |
| Smart Sortino | 0.04 | - |
| Sortino/√2 | 0.03 | - |
| Smart Sortino/√2 | 0.03 | - |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -15.24% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 13.66% | 0.25% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | -0.03 | - |
| Skew | 0.1 | 3.94 |
| Kurtosis | 2.36 | 28.7 |
| Expected Daily | -0.0% | 0.07% |
| Expected Monthly | -0.04% | 1.44% |
| Expected Yearly | -0.33% | 13.15% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.41% | -0.04% |
| Expected Shortfall (cVaR) | -1.41% | -0.04% |
| Max Consecutive Wins | 7 | 534 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.01 | - |
| Gain/Pain (1M) | 0.03 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.01 | - |
| Common Sense Ratio | 1.05 | - |
| CPC Index | - | - |
| Tail Ratio | 1.04 | 1.56 |
| Outlier Win Ratio | 2.2 | 17.81 |
| Outlier Loss Ratio | 1.79 | - |
| MTD | 1.32% | 1.28% |
| 3M | -5.4% | 4.1% |
| 6M | 3.21% | 8.36% |
| YTD | -10.49% | 19.39% |
| 1Y | -6.55% | 19.78% |
| 3Y (ann.) | -0.48% | 19.37% |
| 5Y (ann.) | -0.48% | 19.37% |
| 10Y (ann.) | -0.48% | 19.37% |
| All-time (ann.) | -0.48% | 19.37% |
| Best Day | 3.82% | 0.19% |
| Worst Day | -3.41% | 0.0% |
| Best Month | 8.07% | 1.83% |
| Worst Month | -6.81% | 0.95% |
| Best Year | 5.29% | 19.39% |
| Worst Year | -10.49% | 2.18% |
| Avg. Drawdown | -3.87% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.07 | - |
| Ulcer Index | 0.09 | 0.0 |
| Serenity Index | -0.01 | - |
| Avg. Up Month | 2.36% | 1.38% |
| Avg. Down Month | - | - |
| Win Days | 50.91% | 100.0% |
| Win Month | 53.85% | 100.0% |
| Win Quarter | 55.56% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | 0.76 | - |
| Alpha | -0.13 | - |
| Correlation | 1.4% | - |
| Treynor Ratio | -1.3% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 2.18 | 5.06 | 2.32 | + |
| 2024 | 18.74 | 5.29 | 0.28 | - |
| 2025 | 19.39 | -10.49 | -0.54 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-01-15 | 2025-12-26 | -15.24 | 345 |
| 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 |