| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 99.0% |
| Cumulative Return | 1.27% | -2.91% |
| CAGR﹪ | 2.5% | -5.62% |
| Sharpe | -0.12 | -0.44 |
| Prob. Sharpe Ratio | 25.71% | 18.22% |
| Smart Sharpe | -0.1 | -0.39 |
| Sortino | -0.17 | -0.61 |
| Smart Sortino | -0.15 | -0.55 |
| Sortino/√2 | -0.12 | -0.43 |
| Smart Sortino/√2 | -0.11 | -0.39 |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -17.98% | -17.77% |
| Longest DD Days | 102 | 102 |
| Volatility (ann.) | 20.25% | 22.33% |
| R^2 | 0.44 | 0.44 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.14 | -0.32 |
| Skew | 0.61 | 0.02 |
| Kurtosis | 3.72 | 1.05 |
| Expected Daily | 0.01% | -0.02% |
| Expected Monthly | 0.18% | -0.42% |
| Expected Yearly | 1.27% | -2.91% |
| Kelly Criterion | -2.48% | -2.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.08% | -2.33% |
| Expected Shortfall (cVaR) | -2.08% | -2.33% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 10 | 5 |
| Gain/Pain Ratio | 0.04 | -0.02 |
| Gain/Pain (1M) | 0.17 | -0.1 |
| Payoff Ratio | 0.94 | 0.85 |
| Profit Factor | 1.04 | 0.98 |
| Common Sense Ratio | 1.06 | 0.93 |
| CPC Index | 0.49 | 0.44 |
| Tail Ratio | 1.03 | 0.95 |
| Outlier Win Ratio | 3.31 | 3.22 |
| Outlier Loss Ratio | 3.42 | 2.86 |
| MTD | 4.53% | 3.81% |
| 3M | -10.29% | -9.96% |
| 6M | 0.14% | -4.22% |
| YTD | 1.27% | -2.91% |
| 1Y | 1.27% | -2.91% |
| 3Y (ann.) | 2.5% | -5.62% |
| 5Y (ann.) | 2.5% | -5.62% |
| 10Y (ann.) | 2.5% | -5.62% |
| All-time (ann.) | 2.5% | -5.62% |
| Best Day | 6.26% | 4.35% |
| Worst Day | -3.8% | -4.1% |
| Best Month | 4.53% | 6.12% |
| Worst Month | -9.03% | -7.41% |
| Best Year | 1.27% | -2.91% |
| Worst Year | 1.27% | -2.91% |
| Avg. Drawdown | -4.88% | -8.47% |
| Avg. Drawdown Days | 26 | 55 |
| Recovery Factor | 0.07 | -0.16 |
| Ulcer Index | 0.09 | 0.09 |
| Serenity Index | -0.05 | -0.1 |
| Avg. Up Month | 3.56% | 3.84% |
| Avg. Down Month | -6.89% | -6.67% |
| Win Days | 50.38% | 53.03% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 100.0% | 0.0% |
| Beta | 0.6 | - |
| Alpha | 0.06 | - |
| Correlation | 66.43% | - |
| Treynor Ratio | -9.52% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | -2.91 | 1.27 | -0.44 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-18 | 2025-11-28 | -17.98 | 102 |
| 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 |