| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 7.73% | 7.75% |
| CAGR﹪ | 1.35% | 1.36% |
| Sharpe | -0.05 | -0.05 |
| Prob. Sharpe Ratio | 2.05% | 2.06% |
| Smart Sharpe | -0.05 | -0.05 |
| Sortino | -0.07 | -0.07 |
| Smart Sortino | -0.06 | -0.06 |
| Sortino/√2 | -0.05 | -0.05 |
| Smart Sortino/√2 | -0.04 | -0.04 |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -52.71% | -52.18% |
| Longest DD Days | 1848 | 1839 |
| Volatility (ann.) | 27.02% | 27.15% |
| R^2 | 0.87 | 0.87 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.03 | 0.03 |
| Skew | -4.26 | -4.1 |
| Kurtosis | 86.69 | 105.65 |
| Expected Daily | 0.01% | 0.01% |
| Expected Monthly | 0.11% | 0.11% |
| Expected Yearly | 1.25% | 1.25% |
| Kelly Criterion | 1.17% | -0.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.78% | -2.79% |
| Expected Shortfall (cVaR) | -2.78% | -2.79% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | 0.04 | 0.04 |
| Gain/Pain (1M) | 0.19 | 0.2 |
| Payoff Ratio | 0.9 | 0.88 |
| Profit Factor | 1.04 | 1.04 |
| Common Sense Ratio | 1.01 | 0.96 |
| CPC Index | 0.5 | 0.49 |
| Tail Ratio | 0.97 | 0.92 |
| Outlier Win Ratio | 3.41 | 3.43 |
| Outlier Loss Ratio | 3.45 | 3.75 |
| MTD | -2.34% | -2.2% |
| 3M | 9.14% | 9.3% |
| 6M | -5.15% | -4.92% |
| YTD | -7.09% | -7.05% |
| 1Y | 2.07% | 1.71% |
| 3Y (ann.) | 0.83% | 0.74% |
| 5Y (ann.) | -1.12% | -1.14% |
| 10Y (ann.) | 1.35% | 1.36% |
| All-time (ann.) | 1.35% | 1.36% |
| Best Day | 15.24% | 19.44% |
| Worst Day | -30.58% | -31.89% |
| Best Month | 15.94% | 16.32% |
| Worst Month | -29.54% | -27.51% |
| Best Year | 48.13% | 49.17% |
| Worst Year | -35.9% | -36.0% |
| Avg. Drawdown | -4.78% | -4.08% |
| Avg. Drawdown Days | 123 | 103 |
| Recovery Factor | 0.15 | 0.15 |
| Ulcer Index | 0.23 | 0.22 |
| Serenity Index | 0.0 | 0.0 |
| Avg. Up Month | 4.88% | 4.84% |
| Avg. Down Month | -5.27% | -5.21% |
| Win Days | 53.29% | 53.03% |
| Win Month | 56.92% | 53.85% |
| Win Quarter | 60.87% | 60.87% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.93 | - |
| Alpha | 0.0 | - |
| Correlation | 93.07% | - |
| Treynor Ratio | 0.79% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 11.91 | 11.79 | 0.99 | - |
| 2022 | -36.00 | -35.90 | 1.00 | + |
| 2023 | 49.17 | 48.13 | 0.98 | - |
| 2024 | -4.02 | -4.01 | 1.00 | + |
| 2025 | 13.04 | 13.81 | 1.06 | + |
| 2026 | -7.05 | -7.09 | 1.01 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-12 | 2026-11-03 | -52.71 | 1848 |
| 2021-07-06 | 2021-08-10 | -5.38 | 35 |
| 2021-09-16 | 2021-09-27 | -3.01 | 11 |
| 2021-04-27 | 2021-05-06 | -2.73 | 9 |
| 2021-08-18 | 2021-08-31 | -2.54 | 13 |
| 2021-06-15 | 2021-07-02 | -1.91 | 17 |
| 2021-05-19 | 2021-05-27 | -1.82 | 8 |
| 2021-05-11 | 2021-05-18 | -1.72 | 7 |
| 2021-09-28 | 2021-10-05 | -1.49 | 7 |
| 2021-06-03 | 2021-06-04 | -0.74 | 1 |