| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 96.0% |
| Cumulative Return | 126.04% | 137.1% |
| CAGR﹪ | 19.89% | 21.17% |
| Sharpe | 0.58 | 0.55 |
| Prob. Sharpe Ratio | 30.36% | 23.63% |
| Smart Sharpe | 0.56 | 0.53 |
| Sortino | 0.81 | 0.87 |
| Smart Sortino | 0.79 | 0.84 |
| Sortino/√2 | 0.57 | 0.61 |
| Smart Sortino/√2 | 0.56 | 0.6 |
| Omega | 1.11 | 1.11 |
| Max Drawdown | -42.54% | -62.58% |
| Longest DD Days | 379 | 935 |
| Volatility (ann.) | 22.92% | 27.94% |
| R^2 | 0.43 | 0.43 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.47 | 0.34 |
| Skew | -0.38 | 1.85 |
| Kurtosis | 6.86 | 20.56 |
| Expected Daily | 0.07% | 0.07% |
| Expected Monthly | 1.49% | 1.58% |
| Expected Yearly | 14.56% | 15.47% |
| Kelly Criterion | 7.41% | 6.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.3% | -2.81% |
| Expected Shortfall (cVaR) | -2.3% | -2.81% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 8 | 10 |
| Gain/Pain Ratio | 0.17 | 0.18 |
| Gain/Pain (1M) | 0.85 | 0.88 |
| Payoff Ratio | 0.92 | 0.99 |
| Profit Factor | 1.17 | 1.18 |
| Common Sense Ratio | 1.16 | 1.13 |
| CPC Index | 0.6 | 0.62 |
| Tail Ratio | 0.99 | 0.96 |
| Outlier Win Ratio | 4.3 | 3.81 |
| Outlier Loss Ratio | 4.14 | 3.94 |
| MTD | -1.55% | -1.7% |
| 3M | -11.54% | -11.52% |
| 6M | -8.71% | -7.8% |
| YTD | -8.49% | -7.48% |
| 1Y | 19.21% | 22.82% |
| 3Y (ann.) | 20.85% | 22.55% |
| 5Y (ann.) | 19.89% | 21.17% |
| 10Y (ann.) | 19.89% | 21.17% |
| All-time (ann.) | 19.89% | 21.17% |
| Best Day | 9.01% | 18.21% |
| Worst Day | -11.66% | -8.59% |
| Best Month | 18.49% | 34.12% |
| Worst Month | -18.31% | -16.94% |
| Best Year | 43.19% | 46.25% |
| Worst Year | -8.49% | -7.48% |
| Avg. Drawdown | -4.84% | -6.83% |
| Avg. Drawdown Days | 39 | 62 |
| Recovery Factor | 2.96 | 2.19 |
| Ulcer Index | 0.16 | 0.29 |
| Serenity Index | 0.37 | 0.15 |
| Avg. Up Month | 6.13% | 6.84% |
| Avg. Down Month | -5.49% | -5.23% |
| Win Days | 55.66% | 53.47% |
| Win Month | 61.82% | 61.82% |
| Win Quarter | 68.42% | 73.68% |
| Win Year | 50.0% | 66.67% |
| Beta | 0.54 | - |
| Alpha | 0.08 | - |
| Correlation | 65.89% | - |
| Treynor Ratio | 220.23% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.40 | -0.01 | -0.01 | - |
| 2022 | -7.21 | -4.66 | 0.65 | + |
| 2023 | 46.25 | 43.19 | 0.93 | - |
| 2024 | 44.60 | 42.93 | 0.96 | - |
| 2025 | 28.79 | 26.61 | 0.92 | - |
| 2026 | -7.48 | -8.49 | 1.13 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-03-30 | 2023-04-13 | -42.54 | 379 |
| 2026-03-02 | 2026-06-27 | -30.92 | 117 |
| 2026-01-29 | 2026-02-28 | -13.08 | 30 |
| 2024-04-15 | 2024-08-29 | -12.82 | 136 |
| 2025-10-21 | 2026-01-05 | -10.80 | 76 |
| 2024-11-29 | 2025-09-03 | -10.41 | 278 |
| 2023-09-06 | 2024-03-05 | -9.66 | 181 |
| 2023-08-14 | 2023-09-05 | -6.95 | 22 |
| 2024-10-31 | 2024-11-22 | -6.67 | 22 |
| 2022-01-25 | 2022-02-18 | -5.85 | 24 |