| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 38.0% | 99.0% |
| Cumulative Return | 17.05% | 46.36% |
| CAGR﹪ | 2.61% | 6.44% |
| Sharpe | -0.25 | 0.05 |
| Prob. Sharpe Ratio | 1.91% | 5.37% |
| Smart Sharpe | -0.25 | 0.05 |
| Sortino | -0.33 | 0.07 |
| Smart Sortino | -0.32 | 0.07 |
| Sortino/√2 | -0.23 | 0.05 |
| Smart Sortino/√2 | -0.22 | 0.05 |
| Omega | 0.93 | 0.93 |
| Max Drawdown | -35.05% | -35.55% |
| Longest DD Days | 1377 | 777 |
| Volatility (ann.) | 13.15% | 16.97% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.07 | 0.18 |
| Skew | -2.04 | -1.17 |
| Kurtosis | 27.74 | 14.63 |
| Expected Daily | 0.01% | 0.02% |
| Expected Monthly | 0.21% | 0.52% |
| Expected Yearly | 2.27% | 5.59% |
| Kelly Criterion | 0.55% | -2.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.35% | -1.73% |
| Expected Shortfall (cVaR) | -1.35% | -1.73% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.08 | 0.09 |
| Gain/Pain (1M) | 0.44 | 0.48 |
| Payoff Ratio | 0.78 | 0.79 |
| Profit Factor | 1.08 | 1.09 |
| Common Sense Ratio | 1.25 | 1.06 |
| CPC Index | 0.47 | 0.47 |
| Tail Ratio | 1.15 | 0.97 |
| Outlier Win Ratio | 11.36 | 3.72 |
| Outlier Loss Ratio | 3.23 | 4.36 |
| MTD | 0.0% | 1.51% |
| 3M | 0.0% | 3.52% |
| 6M | 0.0% | 16.4% |
| YTD | 0.0% | 12.24% |
| 1Y | 0.0% | 8.55% |
| 3Y (ann.) | 0.0% | 9.73% |
| 5Y (ann.) | 3.27% | 8.17% |
| 10Y (ann.) | 2.61% | 6.44% |
| All-time (ann.) | 2.61% | 6.44% |
| Best Day | 6.33% | 8.4% |
| Worst Day | -10.22% | -11.48% |
| Best Month | 14.69% | 13.73% |
| Worst Month | -14.04% | -14.8% |
| Best Year | 22.54% | 22.1% |
| Worst Year | -8.49% | -13.06% |
| Avg. Drawdown | -3.05% | -2.87% |
| Avg. Drawdown Days | 68 | 42 |
| Recovery Factor | 0.49 | 1.3 |
| Ulcer Index | 0.1 | 0.09 |
| Serenity Index | 0.05 | 0.25 |
| Avg. Up Month | 3.86% | 3.65% |
| Avg. Down Month | -4.51% | -4.27% |
| Win Days | 56.54% | 54.79% |
| Win Month | 60.0% | 59.46% |
| Win Quarter | 72.73% | 73.08% |
| Win Year | 50.0% | 71.43% |
| Beta | 0.49 | - |
| Alpha | -0.0 | - |
| Correlation | 63.62% | - |
| Treynor Ratio | 20.38% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 7.50 | 6.67 | 0.89 | - |
| 2020 | -3.83 | -2.14 | 0.56 | + |
| 2021 | 22.10 | 22.54 | 1.02 | + |
| 2022 | -13.06 | -8.49 | 0.65 | + |
| 2023 | 12.74 | 0.00 | 0.00 | - |
| 2024 | 5.39 | 0.00 | 0.00 | - |
| 2025 | 12.24 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-20 | 2021-03-31 | -35.05 | 405 |
| 2022-01-05 | 2025-10-13 | -11.73 | 1377 |
| 2021-11-18 | 2022-01-03 | -6.61 | 46 |
| 2021-08-16 | 2021-11-01 | -5.28 | 77 |
| 2019-11-27 | 2019-12-13 | -5.03 | 16 |
| 2019-09-23 | 2019-10-24 | -4.67 | 31 |
| 2021-07-14 | 2021-07-26 | -3.56 | 12 |
| 2020-01-21 | 2020-02-06 | -3.14 | 16 |
| 2021-04-20 | 2021-05-07 | -2.32 | 17 |
| 2019-09-16 | 2019-09-20 | -2.16 | 4 |