| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 6.64% | 6.61% |
| CAGR﹪ | 1.42% | 1.42% |
| Sharpe | -0.04 | -0.04 |
| Prob. Sharpe Ratio | 3.45% | 3.45% |
| Smart Sharpe | -0.03 | -0.03 |
| Sortino | -0.05 | -0.04 |
| Smart Sortino | -0.04 | -0.04 |
| Sortino/√2 | -0.03 | -0.03 |
| Smart Sortino/√2 | -0.03 | -0.03 |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -52.71% | -52.18% |
| Longest DD Days | 1486 | 1477 |
| Volatility (ann.) | 27.97% | 28.21% |
| R^2 | 0.86 | 0.86 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.03 | 0.03 |
| Skew | -4.73 | -4.5 |
| Kurtosis | 92.66 | 111.31 |
| Expected Daily | 0.01% | 0.01% |
| Expected Monthly | 0.12% | 0.12% |
| Expected Yearly | 1.29% | 1.29% |
| Kelly Criterion | 0.24% | -0.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.88% | -2.9% |
| Expected Shortfall (cVaR) | -2.88% | -2.9% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | 0.05 | 0.05 |
| Gain/Pain (1M) | 0.21 | 0.21 |
| Payoff Ratio | 0.87 | 0.84 |
| Profit Factor | 1.05 | 1.05 |
| Common Sense Ratio | 1.01 | 0.95 |
| CPC Index | 0.49 | 0.48 |
| Tail Ratio | 0.97 | 0.91 |
| Outlier Win Ratio | 3.57 | 3.65 |
| Outlier Loss Ratio | 3.36 | 3.59 |
| MTD | 1.8% | 1.02% |
| 3M | -5.36% | -5.43% |
| 6M | 3.07% | 3.3% |
| YTD | 4.67% | 3.97% |
| 1Y | 12.67% | 12.37% |
| 3Y (ann.) | 15.19% | 14.92% |
| 5Y (ann.) | 1.42% | 1.42% |
| 10Y (ann.) | 1.42% | 1.42% |
| All-time (ann.) | 1.42% | 1.42% |
| 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 | 100 | 84 |
| Recovery Factor | 0.13 | 0.13 |
| Ulcer Index | 0.24 | 0.24 |
| Serenity Index | -0.0 | -0.0 |
| Avg. Up Month | 4.71% | 4.71% |
| Avg. Down Month | -5.77% | -5.72% |
| Win Days | 53.62% | 54.24% |
| Win Month | 60.38% | 56.6% |
| Win Quarter | 57.89% | 57.89% |
| Win Year | 60.0% | 60.0% |
| Beta | 0.92 | - |
| Alpha | 0.0 | - |
| Correlation | 92.48% | - |
| Treynor Ratio | -0.39% | - |
| 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 | 3.97 | 4.67 | 1.18 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-12 | 2025-11-06 | -52.71 | 1486 |
| 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 |