| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 22.2% | 21.83% |
| CAGR﹪ | 4.18% | 4.12% |
| Sharpe | 0.06 | 0.06 |
| Prob. Sharpe Ratio | 4.97% | 4.9% |
| 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 | 1.01 | 1.01 |
| Max Drawdown | -52.71% | -52.18% |
| Longest DD Days | 1613 | 1604 |
| Volatility (ann.) | 27.22% | 27.42% |
| R^2 | 0.86 | 0.86 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.08 | 0.08 |
| Skew | -4.77 | -4.56 |
| Kurtosis | 96.05 | 115.83 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.35% | 0.35% |
| Expected Yearly | 3.4% | 3.35% |
| Kelly Criterion | 1.9% | 0.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.79% | -2.81% |
| Expected Shortfall (cVaR) | -2.79% | -2.81% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | 0.07 | 0.07 |
| Gain/Pain (1M) | 0.33 | 0.33 |
| Payoff Ratio | 0.88 | 0.85 |
| Profit Factor | 1.07 | 1.07 |
| Common Sense Ratio | 1.04 | 1.0 |
| CPC Index | 0.51 | 0.5 |
| Tail Ratio | 0.97 | 0.94 |
| Outlier Win Ratio | 3.54 | 3.6 |
| Outlier Loss Ratio | 3.4 | 3.69 |
| MTD | 1.4% | 1.36% |
| 3M | 8.54% | 8.4% |
| 6M | 6.48% | 6.05% |
| YTD | 5.38% | 5.1% |
| 1Y | 5.84% | 5.41% |
| 3Y (ann.) | 15.2% | 14.95% |
| 5Y (ann.) | 4.18% | 4.12% |
| 10Y (ann.) | 4.18% | 4.12% |
| All-time (ann.) | 4.18% | 4.12% |
| 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 | 108 | 91 |
| Recovery Factor | 0.42 | 0.42 |
| Ulcer Index | 0.23 | 0.23 |
| Serenity Index | 0.03 | 0.03 |
| Avg. Up Month | 4.57% | 4.55% |
| Avg. Down Month | -5.77% | -5.72% |
| Win Days | 54.07% | 54.11% |
| Win Month | 63.16% | 59.65% |
| Win Quarter | 65.0% | 65.0% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.92 | - |
| Alpha | 0.01 | - |
| Correlation | 92.52% | - |
| Treynor Ratio | 16.55% | - |
| 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 | 5.10 | 5.38 | 1.06 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-12 | 2026-03-13 | -52.71 | 1613 |
| 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 |