| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 18.48% | 16.19% |
| CAGR﹪ | 5.89% | 5.2% |
| Sharpe | 0.28 | 0.09 |
| Prob. Sharpe Ratio | 9.79% | 12.24% |
| Smart Sharpe | 0.19 | 0.06 |
| Sortino | 0.51 | 0.11 |
| Smart Sortino | 0.34 | 0.08 |
| Sortino/√2 | 0.36 | 0.08 |
| Smart Sortino/√2 | 0.24 | 0.05 |
| Omega | 1.09 | 1.09 |
| Max Drawdown | -52.3% | -32.51% |
| Longest DD Days | 850 | 843 |
| Volatility (ann.) | 63.9% | 26.08% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.11 | 0.16 |
| Skew | 6.38 | -6.89 |
| Kurtosis | 125.18 | 120.04 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.46% | 0.41% |
| Expected Yearly | 4.33% | 3.82% |
| Kelly Criterion | -9.79% | 9.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.52% | -2.67% |
| Expected Shortfall (cVaR) | -6.52% | -2.67% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.13 | 0.08 |
| Gain/Pain (1M) | 0.85 | 0.31 |
| Payoff Ratio | 0.84 | 0.99 |
| Profit Factor | 1.13 | 1.08 |
| Common Sense Ratio | 1.05 | 1.09 |
| CPC Index | 0.47 | 0.59 |
| Tail Ratio | 0.93 | 1.01 |
| Outlier Win Ratio | 3.51 | 6.48 |
| Outlier Loss Ratio | 3.16 | 5.11 |
| MTD | -0.06% | -0.3% |
| 3M | -7.51% | -6.83% |
| 6M | -2.2% | -2.73% |
| YTD | -5.25% | -4.95% |
| 1Y | 5.45% | 4.85% |
| 3Y (ann.) | 3.73% | 2.83% |
| 5Y (ann.) | 5.89% | 5.2% |
| 10Y (ann.) | 5.89% | 5.2% |
| All-time (ann.) | 5.89% | 5.2% |
| 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 | -5.25% | -4.95% |
| Avg. Drawdown | -7.06% | -4.54% |
| Avg. Drawdown Days | 73 | 72 |
| Recovery Factor | 0.35 | 0.5 |
| Ulcer Index | 0.21 | 0.2 |
| Serenity Index | 0.06 | 0.02 |
| Avg. Up Month | 5.65% | 5.79% |
| Avg. Down Month | -4.22% | -3.88% |
| Win Days | 49.92% | 55.09% |
| Win Month | 54.05% | 56.76% |
| Win Quarter | 61.54% | 61.54% |
| Win Year | 75.0% | 75.0% |
| Beta | -0.17 | - |
| Alpha | 0.26 | - |
| Correlation | -7.09% | - |
| Treynor Ratio | -66.07% | - |
| 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 | -4.95 | -5.25 | 1.06 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-07 | 2025-12-04 | -52.30 | 850 |
| 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 |