| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 13.95% | 55.55% |
| CAGR﹪ | 4.84% | 17.35% |
| Sharpe | 0.31 | 65.42 |
| Prob. Sharpe Ratio | 70.01% | - |
| Smart Sharpe | 0.22 | 47.49 |
| Sortino | 0.47 | - |
| Smart Sortino | 0.34 | - |
| Sortino/√2 | 0.33 | - |
| Smart Sortino/√2 | 0.24 | - |
| Omega | 1.08 | 1.08 |
| Max Drawdown | -21.55% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 26.06% | 0.24% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.22 | - |
| Skew | 2.66 | -0.45 |
| Kurtosis | 137.07 | -0.1 |
| Expected Daily | 0.02% | 0.06% |
| Expected Monthly | 0.38% | 1.31% |
| Expected Yearly | 3.32% | 11.68% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.67% | -0.04% |
| Expected Shortfall (cVaR) | -2.67% | -0.04% |
| Max Consecutive Wins | 7 | 701 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.08 | - |
| Gain/Pain (1M) | 0.61 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.08 | - |
| Common Sense Ratio | 1.11 | - |
| CPC Index | - | - |
| Tail Ratio | 1.03 | 2.7 |
| Outlier Win Ratio | 1.88 | 23.71 |
| Outlier Loss Ratio | 1.88 | - |
| MTD | 1.51% | 1.21% |
| 3M | -0.59% | 4.21% |
| 6M | 1.68% | 8.35% |
| YTD | -1.73% | 2.44% |
| 1Y | -0.99% | 18.81% |
| 3Y (ann.) | 4.84% | 17.35% |
| 5Y (ann.) | 4.84% | 17.35% |
| 10Y (ann.) | 4.84% | 17.35% |
| All-time (ann.) | 4.84% | 17.35% |
| 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% | 19.38% |
| Worst Year | -6.02% | 2.44% |
| Avg. Drawdown | -11.38% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.65 | - |
| Ulcer Index | 0.12 | 0.0 |
| Serenity Index | 0.11 | - |
| Avg. Up Month | 2.76% | 1.28% |
| Avg. Down Month | - | - |
| Win Days | 52.45% | 100.0% |
| Win Month | 55.88% | 100.0% |
| Win Quarter | 58.33% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -4.06 | - |
| Alpha | 0.73 | - |
| Correlation | -3.78% | - |
| Treynor Ratio | -3.43% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 7.12 | 12.96 | 1.82 | + |
| 2024 | 18.74 | 9.23 | 0.49 | - |
| 2025 | 19.38 | -6.02 | -0.31 | - |
| 2026 | 2.44 | -1.73 | -0.71 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-06-06 | 2026-02-20 | -21.55 | 990 |
| 2023-05-23 | 2023-06-02 | -1.22 | 10 |