| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 94.0% |
| Cumulative Return | 3.76% | 4.99% |
| CAGR﹪ | 2.64% | 3.49% |
| Sharpe | -0.11 | -0.05 |
| Prob. Sharpe Ratio | 13.5% | 14.39% |
| Smart Sharpe | -0.1 | -0.05 |
| Sortino | -0.16 | -0.08 |
| Smart Sortino | -0.14 | -0.07 |
| Sortino/√2 | -0.11 | -0.05 |
| Smart Sortino/√2 | -0.1 | -0.05 |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -19.02% | -25.73% |
| Longest DD Days | 419 | 419 |
| Volatility (ann.) | 20.59% | 22.26% |
| R^2 | 0.7 | 0.7 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.14 | 0.14 |
| Skew | 0.79 | 0.9 |
| Kurtosis | 6.86 | 5.39 |
| Expected Daily | 0.01% | 0.01% |
| Expected Monthly | 0.21% | 0.27% |
| Expected Yearly | 1.24% | 1.64% |
| Kelly Criterion | 3.88% | 1.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.12% | -2.28% |
| Expected Shortfall (cVaR) | -2.12% | -2.28% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 6 | 14 |
| Gain/Pain Ratio | 0.04 | 0.05 |
| Gain/Pain (1M) | 0.19 | 0.25 |
| Payoff Ratio | 0.98 | 1.06 |
| Profit Factor | 1.04 | 1.05 |
| Common Sense Ratio | 1.06 | 1.04 |
| CPC Index | 0.53 | 0.55 |
| Tail Ratio | 1.02 | 0.99 |
| Outlier Win Ratio | 4.12 | 3.83 |
| Outlier Loss Ratio | 3.21 | 3.17 |
| MTD | 0.45% | -0.69% |
| 3M | -0.93% | 0.05% |
| 6M | 1.69% | 1.49% |
| YTD | 0.82% | -0.4% |
| 1Y | 5.53% | -3.42% |
| 3Y (ann.) | 2.64% | 3.49% |
| 5Y (ann.) | 2.64% | 3.49% |
| 10Y (ann.) | 2.64% | 3.49% |
| All-time (ann.) | 2.64% | 3.49% |
| Best Day | 9.3% | 9.13% |
| Worst Day | -4.08% | -4.13% |
| Best Month | 10.61% | 12.0% |
| Worst Month | -7.86% | -7.32% |
| Best Year | 2.76% | 9.37% |
| Worst Year | 0.15% | -3.63% |
| Avg. Drawdown | -4.51% | -5.09% |
| Avg. Drawdown Days | 55 | 55 |
| Recovery Factor | 0.2 | 0.19 |
| Ulcer Index | 0.11 | 0.15 |
| Serenity Index | -0.02 | -0.01 |
| Avg. Up Month | 4.39% | 4.68% |
| Avg. Down Month | -5.23% | -4.35% |
| Win Days | 52.42% | 49.3% |
| Win Month | 61.11% | 50.0% |
| Win Quarter | 71.43% | 57.14% |
| Win Year | 100.0% | 33.33% |
| Beta | 0.78 | - |
| Alpha | 0.0 | - |
| Correlation | 83.88% | - |
| Treynor Ratio | -4.17% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 9.37 | 2.76 | 0.29 | - |
| 2025 | -3.63 | 0.15 | -0.04 | + |
| 2026 | -0.40 | 0.82 | -2.07 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-26 | 2026-04-21 | -19.02 | 419 |
| 2024-11-20 | 2024-12-26 | -13.65 | 36 |
| 2025-01-23 | 2025-02-13 | -3.44 | 21 |
| 2025-01-03 | 2025-01-10 | -1.56 | 7 |
| 2025-02-18 | 2025-02-20 | -1.51 | 2 |
| 2025-01-14 | 2025-01-16 | -0.54 | 2 |
| 2025-01-20 | 2025-01-22 | -0.53 | 2 |
| 2024-12-27 | 2024-12-30 | -0.30 | 3 |
| 2025-02-24 | 2025-02-25 | -0.07 | 1 |