| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 0.08% | -6.83% |
| CAGR﹪ | 0.08% | -6.56% |
| Sharpe | -0.3 | -0.65 |
| Prob. Sharpe Ratio | 14.7% | 7.71% |
| Smart Sharpe | -0.27 | -0.59 |
| Sortino | -0.42 | -0.9 |
| Smart Sortino | -0.39 | -0.82 |
| Sortino/√2 | -0.3 | -0.64 |
| Smart Sortino/√2 | -0.27 | -0.58 |
| Omega | 0.95 | 0.95 |
| Max Drawdown | -17.98% | -17.77% |
| Longest DD Days | 297 | 297 |
| Volatility (ann.) | 17.41% | 18.19% |
| R^2 | 0.48 | 0.48 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.0 | -0.37 |
| Skew | 0.44 | 0.08 |
| Kurtosis | 3.7 | 1.94 |
| Expected Daily | 0.0% | -0.03% |
| Expected Monthly | 0.01% | -0.5% |
| Expected Yearly | 0.04% | -3.48% |
| Kelly Criterion | -0.89% | -4.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.8% | -1.91% |
| Expected Shortfall (cVaR) | -1.8% | -1.91% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 10 | 5 |
| Gain/Pain Ratio | 0.02 | -0.05 |
| Gain/Pain (1M) | 0.07 | -0.19 |
| Payoff Ratio | 1.01 | 0.97 |
| Profit Factor | 1.02 | 0.95 |
| Common Sense Ratio | 1.05 | 0.97 |
| CPC Index | 0.51 | 0.45 |
| Tail Ratio | 1.04 | 1.01 |
| Outlier Win Ratio | 3.39 | 3.22 |
| Outlier Loss Ratio | 3.44 | 3.41 |
| MTD | -2.98% | -1.96% |
| 3M | -10.85% | -11.86% |
| 6M | -5.05% | -7.55% |
| YTD | -6.55% | -9.08% |
| 1Y | -2.45% | -7.61% |
| 3Y (ann.) | 0.08% | -6.56% |
| 5Y (ann.) | 0.08% | -6.56% |
| 10Y (ann.) | 0.08% | -6.56% |
| All-time (ann.) | 0.08% | -6.56% |
| Best Day | 6.26% | 4.35% |
| Worst Day | -3.8% | -4.1% |
| Best Month | 6.07% | 6.12% |
| Worst Month | -9.03% | -7.41% |
| Best Year | 7.1% | 2.47% |
| Worst Year | -6.55% | -9.08% |
| Avg. Drawdown | -4.88% | -8.47% |
| Avg. Drawdown Days | 59 | 120 |
| Recovery Factor | 0.0 | -0.38 |
| Ulcer Index | 0.09 | 0.09 |
| Serenity Index | -0.06 | -0.11 |
| Avg. Up Month | 3.44% | 3.16% |
| Avg. Down Month | -4.07% | -3.98% |
| Win Days | 49.22% | 48.5% |
| Win Month | 57.14% | 50.0% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.66 | - |
| Alpha | 0.05 | - |
| Correlation | 69.14% | - |
| Treynor Ratio | -10.46% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.47 | 7.10 | 2.87 | + |
| 2026 | -9.08 | -6.55 | 0.72 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-18 | 2026-06-11 | -17.98 | 297 |
| 2025-07-02 | 2025-07-18 | -4.85 | 16 |
| 2025-06-06 | 2025-07-01 | -4.21 | 25 |
| 2025-07-25 | 2025-08-06 | -2.10 | 12 |
| 2025-07-23 | 2025-07-24 | -0.09 | 1 |
| 2025-08-12 | 2025-08-13 | -0.05 | 1 |