| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 4.34% | 17.76% |
| CAGR﹪ | 4.78% | 19.69% |
| Sharpe | 0.32 | 33.98 |
| Prob. Sharpe Ratio | 62.23% | 100.0% |
| Smart Sharpe | 0.3 | 31.46 |
| Sortino | 0.46 | - |
| Smart Sortino | 0.43 | - |
| Sortino/√2 | 0.33 | - |
| Smart Sortino/√2 | 0.3 | - |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -14.76% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 20.68% | 0.52% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.32 | - |
| Skew | 0.02 | 5.76 |
| Kurtosis | 1.58 | 35.32 |
| Expected Daily | 0.02% | 0.07% |
| Expected Monthly | 0.35% | 1.37% |
| Expected Yearly | 2.15% | 8.52% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.12% | -0.02% |
| Expected Shortfall (cVaR) | -2.12% | -0.02% |
| Max Consecutive Wins | 6 | 234 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.06 | - |
| Gain/Pain (1M) | 0.31 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.06 | - |
| Common Sense Ratio | 0.99 | - |
| CPC Index | - | - |
| Tail Ratio | 0.93 | 1.55 |
| Outlier Win Ratio | 1.76 | 23.43 |
| Outlier Loss Ratio | 1.51 | - |
| MTD | -0.48% | 1.21% |
| 3M | 15.02% | 4.28% |
| 6M | 2.27% | 8.42% |
| YTD | 3.61% | 2.44% |
| 1Y | 4.34% | 17.76% |
| 3Y (ann.) | 4.78% | 19.69% |
| 5Y (ann.) | 4.78% | 19.69% |
| 10Y (ann.) | 4.78% | 19.69% |
| All-time (ann.) | 4.78% | 19.69% |
| Best Day | 5.47% | 0.28% |
| Worst Day | -4.47% | 0.0% |
| Best Month | 6.51% | 1.65% |
| Worst Month | -5.1% | 1.21% |
| Best Year | 3.61% | 14.96% |
| Worst Year | 0.71% | 2.44% |
| Avg. Drawdown | -3.89% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.29 | - |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 0.05 | - |
| Avg. Up Month | 4.42% | 1.33% |
| Avg. Down Month | - | - |
| Win Days | 50.68% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 60.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -3.39 | - |
| Alpha | 0.66 | - |
| Correlation | -8.47% | - |
| Treynor Ratio | -1.28% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 14.96 | 0.71 | 0.05 | - |
| 2026 | 2.44 | 3.61 | 1.48 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-15 | 2026-01-19 | -14.76 | 157 |
| 2025-03-26 | 2025-08-08 | -14.50 | 135 |
| 2026-01-29 | 2026-02-16 | -2.69 | 18 |
| 2025-08-13 | 2025-08-14 | -0.89 | 1 |
| 2026-02-19 | 2026-02-19 | -0.77 | 0 |
| 2025-08-11 | 2025-08-12 | -0.49 | 1 |
| 2026-01-26 | 2026-01-27 | -0.39 | 1 |
| 2026-02-17 | 2026-02-18 | -0.29 | 1 |
| 2026-01-20 | 2026-01-21 | -0.20 | 1 |