| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 12.76% | 51.89% |
| CAGR﹪ | 4.73% | 17.44% |
| Sharpe | 0.3 | 64.22 |
| Prob. Sharpe Ratio | 69.17% | - |
| Smart Sharpe | 0.22 | 46.29 |
| Sortino | 0.46 | - |
| Smart Sortino | 0.33 | - |
| Sortino/√2 | 0.32 | - |
| Smart Sortino/√2 | 0.23 | - |
| Omega | 1.08 | 1.08 |
| Max Drawdown | -21.55% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 26.53% | 0.25% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.22 | - |
| Skew | 2.66 | -0.45 |
| Kurtosis | 134.67 | -0.18 |
| Expected Daily | 0.02% | 0.06% |
| Expected Monthly | 0.38% | 1.31% |
| Expected Yearly | 4.08% | 14.95% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.72% | -0.04% |
| Expected Shortfall (cVaR) | -2.72% | -0.04% |
| Max Consecutive Wins | 7 | 664 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.08 | - |
| Gain/Pain (1M) | 0.64 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.08 | - |
| Common Sense Ratio | 1.06 | - |
| CPC Index | - | - |
| Tail Ratio | 0.98 | 2.7 |
| Outlier Win Ratio | 1.93 | 24.49 |
| Outlier Loss Ratio | 1.86 | - |
| MTD | 0.38% | 1.3% |
| 3M | -3.82% | 4.3% |
| 6M | 4.35% | 8.62% |
| YTD | -8.61% | 19.42% |
| 1Y | -2.95% | 20.1% |
| 3Y (ann.) | 4.73% | 17.44% |
| 5Y (ann.) | 4.73% | 17.44% |
| 10Y (ann.) | 4.73% | 17.44% |
| All-time (ann.) | 4.73% | 17.44% |
| Best Day | 26.44% | 0.09% |
| Worst Day | -21.55% | 0.0% |
| Best Month | 8.66% | 1.83% |
| Worst Month | -5.89% | 0.57% |
| Best Year | 12.96% | 19.42% |
| Worst Year | -8.61% | 7.12% |
| Avg. Drawdown | -11.38% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.59 | - |
| Ulcer Index | 0.12 | 0.0 |
| Serenity Index | 0.1 | - |
| Avg. Up Month | 2.67% | 1.28% |
| Avg. Down Month | - | - |
| Win Days | 52.74% | 100.0% |
| Win Month | 56.25% | 100.0% |
| Win Quarter | 54.55% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -3.98 | - |
| Alpha | 0.71 | - |
| Correlation | -3.7% | - |
| Treynor Ratio | -3.2% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 7.12 | 12.96 | 1.82 | + |
| 2024 | 18.74 | 9.23 | 0.49 | - |
| 2025 | 19.42 | -8.61 | -0.44 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-06-06 | 2025-12-23 | -21.55 | 931 |
| 2023-05-23 | 2023-06-02 | -1.22 | 10 |