| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 13.84% | 50.91% |
| CAGR﹪ | 5.17% | 17.37% |
| Sharpe | 0.32 | 64.17 |
| Prob. Sharpe Ratio | 69.97% | - |
| Smart Sharpe | 0.23 | 46.22 |
| Sortino | 0.48 | - |
| Smart Sortino | 0.35 | - |
| Sortino/√2 | 0.34 | - |
| Smart Sortino/√2 | 0.25 | - |
| Omega | 1.09 | 1.09 |
| Max Drawdown | -21.55% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 26.63% | 0.25% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.24 | - |
| Skew | 2.66 | -0.41 |
| Kurtosis | 134.05 | -0.15 |
| Expected Daily | 0.02% | 0.06% |
| Expected Monthly | 0.41% | 1.29% |
| Expected Yearly | 4.42% | 14.7% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.73% | -0.04% |
| Expected Shortfall (cVaR) | -2.73% | -0.04% |
| Max Consecutive Wins | 7 | 657 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.09 | - |
| Gain/Pain (1M) | 0.66 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.09 | - |
| Common Sense Ratio | 1.07 | - |
| CPC Index | - | - |
| Tail Ratio | 0.99 | 2.7 |
| Outlier Win Ratio | 1.94 | 24.75 |
| Outlier Loss Ratio | 1.86 | - |
| MTD | 1.35% | 0.65% |
| 3M | -4.98% | 4.05% |
| 6M | 5.24% | 8.41% |
| YTD | -7.73% | 18.65% |
| 1Y | -1.6% | 20.01% |
| 3Y (ann.) | 5.17% | 17.37% |
| 5Y (ann.) | 5.17% | 17.37% |
| 10Y (ann.) | 5.17% | 17.37% |
| All-time (ann.) | 5.17% | 17.37% |
| 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% | 18.74% |
| Worst Year | -7.73% | 7.12% |
| Avg. Drawdown | -11.38% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.64 | - |
| Ulcer Index | 0.12 | 0.0 |
| Serenity Index | 0.11 | - |
| Avg. Up Month | 2.72% | 1.24% |
| Avg. Down Month | - | - |
| Win Days | 52.84% | 100.0% |
| Win Month | 56.25% | 100.0% |
| Win Quarter | 54.55% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -4.04 | - |
| Alpha | 0.72 | - |
| Correlation | -3.72% | - |
| Treynor Ratio | -3.43% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 7.12 | 12.96 | 1.82 | + |
| 2024 | 18.74 | 9.23 | 0.49 | - |
| 2025 | 18.65 | -7.73 | -0.41 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-06-06 | 2025-12-12 | -21.55 | 920 |
| 2023-05-23 | 2023-06-02 | -1.22 | 10 |