| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | 1.97% | 7.35% |
| CAGR﹪ | 0.43% | 1.57% |
| Sharpe | -0.16 | -0.06 |
| Prob. Sharpe Ratio | 1.94% | 2.89% |
| Smart Sharpe | -0.15 | -0.05 |
| Sortino | -0.21 | -0.07 |
| Smart Sortino | -0.2 | -0.07 |
| Sortino/√2 | -0.15 | -0.05 |
| Smart Sortino/√2 | -0.14 | -0.05 |
| Omega | 0.97 | 0.97 |
| Max Drawdown | -48.48% | -48.8% |
| Longest DD Days | 681 | 677 |
| Volatility (ann.) | 23.06% | 26.49% |
| R^2 | 0.49 | 0.49 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.01 | 0.03 |
| Skew | -0.83 | -3.38 |
| Kurtosis | 7.38 | 85.04 |
| Expected Daily | 0.0% | 0.01% |
| Expected Monthly | 0.04% | 0.13% |
| Expected Yearly | 0.33% | 1.19% |
| Kelly Criterion | -2.26% | 1.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.38% | -2.72% |
| Expected Shortfall (cVaR) | -2.38% | -2.72% |
| Max Consecutive Wins | 9 | 11 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | 0.02 | 0.04 |
| Gain/Pain (1M) | 0.1 | 0.18 |
| Payoff Ratio | 0.85 | 0.84 |
| Profit Factor | 1.02 | 1.04 |
| Common Sense Ratio | 0.94 | 0.94 |
| CPC Index | 0.46 | 0.48 |
| Tail Ratio | 0.92 | 0.9 |
| Outlier Win Ratio | 3.93 | 4.16 |
| Outlier Loss Ratio | 3.6 | 3.62 |
| MTD | 1.09% | 1.78% |
| 3M | 2.02% | 2.15% |
| 6M | 0.3% | 0.64% |
| YTD | 1.09% | 1.78% |
| 1Y | -4.24% | -3.12% |
| 3Y (ann.) | 14.43% | 16.11% |
| 5Y (ann.) | 0.43% | 1.57% |
| 10Y (ann.) | 0.43% | 1.57% |
| All-time (ann.) | 0.43% | 1.57% |
| Best Day | 7.71% | 17.88% |
| Worst Day | -10.29% | -28.25% |
| Best Month | 15.57% | 17.02% |
| Worst Month | -24.16% | -22.53% |
| Best Year | 55.98% | 59.94% |
| Worst Year | -32.19% | -32.71% |
| Avg. Drawdown | -4.85% | -4.37% |
| Avg. Drawdown Days | 64 | 58 |
| Recovery Factor | 0.04 | 0.15 |
| Ulcer Index | 0.21 | 0.21 |
| Serenity Index | -0.01 | 0.0 |
| Avg. Up Month | 4.99% | 4.99% |
| Avg. Down Month | -6.57% | -6.27% |
| Win Days | 52.9% | 54.8% |
| Win Month | 60.0% | 58.18% |
| Win Quarter | 52.63% | 52.63% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.61 | - |
| Alpha | -0.0 | - |
| Correlation | 70.12% | - |
| Treynor Ratio | -8.25% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.55 | 0.83 | 0.54 | - |
| 2022 | -32.71 | -32.19 | 0.98 | + |
| 2023 | 59.94 | 55.98 | 0.93 | - |
| 2024 | -0.69 | -2.09 | 3.01 | - |
| 2025 | -2.82 | -3.41 | 1.21 | - |
| 2026 | 1.78 | 1.09 | 0.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2023-09-01 | -48.48 | 681 |
| 2024-05-17 | 2026-01-19 | -28.78 | 612 |
| 2023-10-26 | 2024-01-31 | -9.85 | 97 |
| 2023-09-07 | 2023-10-17 | -7.57 | 40 |
| 2024-02-16 | 2024-03-07 | -4.02 | 20 |
| 2021-07-14 | 2021-07-29 | -3.75 | 15 |
| 2021-09-14 | 2021-10-07 | -3.38 | 23 |
| 2024-03-12 | 2024-04-01 | -2.70 | 20 |
| 2021-08-18 | 2021-08-30 | -1.71 | 12 |
| 2024-04-23 | 2024-05-10 | -1.59 | 17 |