| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 19.46% | 17.13% |
| CAGR﹪ | 5.46% | 4.84% |
| Sharpe | 0.25 | 0.07 |
| Prob. Sharpe Ratio | 7.83% | 10.37% |
| Smart Sharpe | 0.17 | 0.04 |
| Sortino | 0.46 | 0.08 |
| Smart Sortino | 0.31 | 0.05 |
| Sortino/√2 | 0.32 | 0.06 |
| Smart Sortino/√2 | 0.22 | 0.04 |
| Omega | 1.08 | 1.08 |
| Max Drawdown | -52.3% | -32.51% |
| Longest DD Days | 991 | 984 |
| Volatility (ann.) | 60.02% | 24.72% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.1 | 0.15 |
| Skew | 6.78 | -7.11 |
| Kurtosis | 141.75 | 130.83 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.43% | 0.39% |
| Expected Yearly | 3.62% | 3.21% |
| Kelly Criterion | -8.18% | 8.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.13% | -2.53% |
| Expected Shortfall (cVaR) | -6.13% | -2.53% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.12 | 0.08 |
| Gain/Pain (1M) | 0.81 | 0.3 |
| Payoff Ratio | 0.85 | 0.99 |
| Profit Factor | 1.12 | 1.08 |
| Common Sense Ratio | 1.13 | 1.12 |
| CPC Index | 0.48 | 0.58 |
| Tail Ratio | 1.01 | 1.04 |
| Outlier Win Ratio | 3.61 | 6.33 |
| Outlier Loss Ratio | 3.3 | 5.3 |
| MTD | -0.52% | -1.14% |
| 3M | -4.16% | -4.56% |
| 6M | 3.4% | 2.44% |
| YTD | -1.21% | -1.84% |
| 1Y | -4.67% | -4.59% |
| 3Y (ann.) | -0.92% | -1.64% |
| 5Y (ann.) | 5.46% | 4.84% |
| 10Y (ann.) | 5.46% | 4.84% |
| All-time (ann.) | 5.46% | 4.84% |
| Best Day | 65.24% | 6.19% |
| Worst Day | -37.87% | -27.85% |
| Best Month | 44.02% | 15.05% |
| Worst Month | -40.91% | -26.95% |
| Best Year | 12.76% | 12.25% |
| Worst Year | -3.29% | -2.38% |
| Avg. Drawdown | -7.06% | -4.54% |
| Avg. Drawdown Days | 83 | 82 |
| Recovery Factor | 0.37 | 0.53 |
| Ulcer Index | 0.21 | 0.2 |
| Serenity Index | 0.06 | 0.02 |
| Avg. Up Month | 5.15% | 5.26% |
| Avg. Down Month | -4.3% | -3.98% |
| Win Days | 50.41% | 54.28% |
| Win Month | 56.1% | 58.54% |
| Win Quarter | 53.33% | 60.0% |
| Win Year | 60.0% | 60.0% |
| Beta | -0.15 | - |
| Alpha | 0.23 | - |
| Correlation | -6.23% | - |
| Treynor Ratio | -82.35% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 7.10 | 6.48 | 0.91 | - |
| 2023 | 1.67 | 4.14 | 2.48 | + |
| 2024 | 12.25 | 12.76 | 1.04 | + |
| 2025 | -2.38 | -3.29 | 1.38 | - |
| 2026 | -1.84 | -1.21 | 0.66 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-07 | 2026-04-24 | -52.30 | 991 |
| 2023-04-14 | 2023-06-13 | -8.86 | 60 |
| 2023-02-15 | 2023-04-06 | -7.13 | 50 |
| 2023-07-17 | 2023-07-28 | -3.83 | 11 |
| 2022-12-22 | 2023-01-04 | -3.74 | 13 |
| 2023-01-11 | 2023-01-18 | -3.38 | 7 |
| 2023-01-19 | 2023-01-30 | -3.31 | 11 |
| 2023-07-11 | 2023-07-12 | -3.14 | 1 |
| 2023-02-06 | 2023-02-13 | -3.06 | 7 |
| 2023-07-13 | 2023-07-14 | -2.89 | 1 |