Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 94.0% | 100.0% |
Cumulative Return | -1.11% | 9.24% |
CAGR﹪ | -2.55% | 22.64% |
Sharpe | -0.0 | 26.9 |
Prob. Sharpe Ratio | 49.94% | 100.0% |
Smart Sharpe | -0.0 | 25.67 |
Sortino | -0.0 | - |
Smart Sortino | -0.0 | - |
Sortino/√2 | -0.0 | - |
Smart Sortino/√2 | -0.0 | - |
Omega | 1.0 | 1.0 |
Max Drawdown | -14.5% | - |
Longest DD Days | - | - |
Volatility (ann.) | 21.69% | 0.7% |
R^2 | 0.02 | 0.02 |
Information Ratio | -0.05 | -0.05 |
Calmar | -0.18 | - |
Skew | -0.18 | 4.26 |
Kurtosis | 0.94 | 17.73 |
Expected Daily | -0.01% | 0.07% |
Expected Monthly | -0.19% | 1.48% |
Expected Yearly | -1.11% | 9.24% |
Kelly Criterion | - | - |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.25% | -0.0% |
Expected Shortfall (cVaR) | -2.25% | -0.0% |
Max Consecutive Wins | 6 | 117 |
Max Consecutive Losses | 6 | 0 |
Gain/Pain Ratio | -0.0 | - |
Gain/Pain (1M) | -0.0 | - |
Payoff Ratio | - | - |
Profit Factor | 1.0 | - |
Common Sense Ratio | 1.02 | - |
CPC Index | - | - |
Tail Ratio | 1.02 | 1.28 |
Outlier Win Ratio | 1.7 | 22.0 |
Outlier Loss Ratio | 1.48 | - |
MTD | 4.26% | 1.32% |
3M | 10.24% | 4.42% |
6M | -1.11% | 9.24% |
YTD | -1.11% | 9.24% |
1Y | -1.11% | 9.24% |
3Y (ann.) | -2.55% | 22.64% |
5Y (ann.) | -2.55% | 22.64% |
10Y (ann.) | -2.55% | 22.64% |
All-time (ann.) | -2.55% | 22.64% |
Best Day | 3.86% | 0.28% |
Worst Day | -4.47% | 0.0% |
Best Month | 4.26% | 1.65% |
Worst Month | -4.1% | 1.32% |
Best Year | -1.11% | 9.24% |
Worst Year | -1.11% | 9.24% |
Avg. Drawdown | -4.86% | - |
Avg. Drawdown Days | - | - |
Recovery Factor | -0.08 | - |
Ulcer Index | 0.09 | 0.0 |
Serenity Index | -0.01 | - |
Avg. Up Month | 3.27% | 1.41% |
Avg. Down Month | - | - |
Win Days | 48.18% | 100.0% |
Win Month | 50.0% | 100.0% |
Win Quarter | 33.33% | 100.0% |
Win Year | 0.0% | 100.0% |
Beta | -3.8 | - |
Alpha | 0.72 | - |
Correlation | -12.29% | - |
Treynor Ratio | 0.29% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2025 | 9.24 | -1.11 | -0.12 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2025-03-26 | 2025-08-08 | -14.50 | 135 |
2025-08-15 | 2025-08-29 | -3.54 | 14 |
2025-08-13 | 2025-08-14 | -0.89 | 1 |
2025-08-11 | 2025-08-12 | -0.49 | 1 |