| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 0.18% | 5.71% |
| CAGR﹪ | 0.18% | 5.5% |
| Sharpe | 0.1 | 13.84 |
| Prob. Sharpe Ratio | 53.94% | 100.0% |
| Smart Sharpe | 0.09 | 12.36 |
| Sortino | 0.14 | 61.98 |
| Smart Sortino | 0.13 | 55.34 |
| Sortino/√2 | 0.1 | 43.83 |
| Smart Sortino/√2 | 0.09 | 39.13 |
| Omega | 1.02 | 1.02 |
| Max Drawdown | -17.98% | -0.4% |
| Longest DD Days | 291 | 63 |
| Volatility (ann.) | 17.43% | 0.38% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.01 | 13.74 |
| Skew | 0.46 | 1.5 |
| Kurtosis | 3.67 | 3.45 |
| Expected Daily | 0.0% | 0.02% |
| Expected Monthly | 0.01% | 0.4% |
| Expected Yearly | 0.09% | 2.82% |
| Kelly Criterion | 18.56% | 86.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.8% | -0.02% |
| Expected Shortfall (cVaR) | -1.8% | -0.02% |
| Max Consecutive Wins | 8 | 192 |
| Max Consecutive Losses | 10 | 21 |
| Gain/Pain Ratio | 0.02 | 13.87 |
| Gain/Pain (1M) | 0.08 | 13.87 |
| Payoff Ratio | 1.66 | 1.41 |
| Profit Factor | 1.02 | 14.87 |
| Common Sense Ratio | 1.05 | 73.69 |
| CPC Index | 0.83 | 19.27 |
| Tail Ratio | 1.04 | 4.96 |
| Outlier Win Ratio | 1.55 | 51.44 |
| Outlier Loss Ratio | 1.52 | 67.06 |
| MTD | -0.39% | 0.03% |
| 3M | -8.0% | 0.82% |
| 6M | -0.15% | 3.55% |
| YTD | -4.05% | 3.28% |
| 1Y | -3.32% | 5.28% |
| 3Y (ann.) | 0.18% | 5.5% |
| 5Y (ann.) | 0.18% | 5.5% |
| 10Y (ann.) | 0.18% | 5.5% |
| All-time (ann.) | 0.18% | 5.5% |
| Best Day | 6.26% | 0.09% |
| Worst Day | -3.8% | -0.02% |
| Best Month | 6.07% | 1.62% |
| Worst Month | -9.03% | -0.4% |
| Best Year | 4.41% | 3.28% |
| Worst Year | -4.05% | 2.35% |
| Avg. Drawdown | -4.54% | -0.4% |
| Avg. Drawdown Days | 50 | 63 |
| Recovery Factor | 0.01 | 14.29 |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 0.0 | 7.63 |
| Avg. Up Month | 2.9% | 0.61% |
| Avg. Down Month | - | - |
| Win Days | 49.21% | 92.05% |
| Win Month | 57.14% | 92.86% |
| Win Quarter | 60.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 1.86 | - |
| Alpha | -0.08 | - |
| Correlation | 4.07% | - |
| Treynor Ratio | 0.1% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 2.35 | 4.41 | 1.87 | + |
| 2026 | 3.28 | -4.05 | -1.23 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-08-18 | 2026-06-05 | -17.98 | 291 |
| 2025-07-02 | 2025-07-18 | -4.85 | 16 |
| 2025-06-06 | 2025-07-01 | -4.21 | 25 |
| 2025-05-23 | 2025-05-28 | -2.51 | 5 |
| 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 |