| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 48.0% | 100.0% |
| Cumulative Return | 2.58% | 7.34% |
| CAGR﹪ | 0.63% | 1.76% |
| Sharpe | -0.51 | -0.4 |
| Prob. Sharpe Ratio | 1.78% | 4.36% |
| Smart Sharpe | -0.44 | -0.35 |
| Sortino | -0.98 | -0.51 |
| Smart Sortino | -0.84 | -0.44 |
| Sortino/√2 | -0.69 | -0.36 |
| Smart Sortino/√2 | -0.6 | -0.31 |
| Omega | 0.83 | 0.83 |
| Max Drawdown | -12.01% | -25.96% |
| Longest DD Days | 731 | 630 |
| Volatility (ann.) | 10.85% | 10.94% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.05 | 0.07 |
| Skew | 12.32 | -7.1 |
| Kurtosis | 323.75 | 167.18 |
| Expected Daily | 0.0% | 0.01% |
| Expected Monthly | 0.05% | 0.14% |
| Expected Yearly | 0.51% | 1.43% |
| Kelly Criterion | 8.47% | -14.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.12% | -1.12% |
| Expected Shortfall (cVaR) | -1.12% | -1.12% |
| Max Consecutive Wins | 5 | 15 |
| Max Consecutive Losses | 6 | 15 |
| Gain/Pain Ratio | 0.04 | 0.07 |
| Gain/Pain (1M) | 0.2 | 0.18 |
| Payoff Ratio | 1.37 | 0.74 |
| Profit Factor | 1.04 | 1.07 |
| Common Sense Ratio | 1.07 | 1.31 |
| CPC Index | 0.67 | 0.4 |
| Tail Ratio | 1.02 | 1.23 |
| Outlier Win Ratio | 10.19 | 5.08 |
| Outlier Loss Ratio | 2.88 | 4.09 |
| MTD | 0.0% | 2.66% |
| 3M | 0.0% | 5.07% |
| 6M | 0.0% | 17.43% |
| YTD | 0.0% | 7.75% |
| 1Y | 0.0% | 12.85% |
| 3Y (ann.) | 5.15% | 2.25% |
| 5Y (ann.) | 0.63% | 1.76% |
| 10Y (ann.) | 0.63% | 1.76% |
| All-time (ann.) | 0.63% | 1.76% |
| Best Day | 16.22% | 4.82% |
| Worst Day | -6.87% | -13.8% |
| Best Month | 15.66% | 8.98% |
| Worst Month | -8.12% | -15.17% |
| Best Year | 6.33% | 7.75% |
| Worst Year | -1.99% | -2.62% |
| Avg. Drawdown | -1.49% | -3.32% |
| Avg. Drawdown Days | 62 | 83 |
| Recovery Factor | 0.21 | 0.28 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | -0.05 | 0.0 |
| Avg. Up Month | 2.76% | 1.64% |
| Avg. Down Month | -1.82% | -2.55% |
| Win Days | 47.11% | 51.48% |
| Win Month | 46.15% | 51.02% |
| Win Quarter | 50.0% | 52.94% |
| Win Year | 25.0% | 60.0% |
| Beta | -0.11 | - |
| Alpha | 0.01 | - |
| Correlation | -10.78% | - |
| Treynor Ratio | 41.35% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -2.62 | -1.39 | 0.53 | + |
| 2022 | 3.72 | 6.33 | 1.70 | + |
| 2023 | 0.76 | -0.19 | -0.25 | - |
| 2024 | -2.11 | -1.99 | 0.94 | + |
| 2025 | 7.75 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-17 | 2022-10-24 | -12.01 | 402 |
| 2023-05-30 | 2025-05-30 | -6.85 | 731 |
| 2023-01-09 | 2023-04-26 | -2.34 | 107 |
| 2022-10-27 | 2022-11-22 | -2.29 | 26 |
| 2022-11-29 | 2022-12-12 | -1.42 | 13 |
| 2022-12-13 | 2022-12-14 | -1.42 | 1 |
| 2021-05-10 | 2021-07-30 | -1.09 | 81 |
| 2022-12-19 | 2023-01-06 | -0.85 | 18 |
| 2022-11-23 | 2022-11-28 | -0.67 | 5 |
| 2023-05-05 | 2023-05-10 | -0.65 | 5 |