| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | 1.36% | 5.7% |
| CAGR﹪ | 0.35% | 1.43% |
| Sharpe | -0.15 | -0.05 |
| Prob. Sharpe Ratio | 2.75% | 3.91% |
| Smart Sharpe | -0.14 | -0.05 |
| Sortino | -0.2 | -0.06 |
| Smart Sortino | -0.19 | -0.06 |
| Sortino/√2 | -0.14 | -0.04 |
| Smart Sortino/√2 | -0.13 | -0.04 |
| Omega | 0.97 | 0.97 |
| Max Drawdown | -48.48% | -48.8% |
| Longest DD Days | 681 | 677 |
| Volatility (ann.) | 23.65% | 27.54% |
| R^2 | 0.49 | 0.49 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.01 | 0.03 |
| Skew | -0.91 | -3.5 |
| Kurtosis | 7.67 | 84.62 |
| Expected Daily | 0.0% | 0.01% |
| Expected Monthly | 0.03% | 0.12% |
| Expected Yearly | 0.27% | 1.12% |
| Kelly Criterion | -2.09% | 0.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.44% | -2.83% |
| Expected Shortfall (cVaR) | -2.44% | -2.83% |
| 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 | 0.83 | 0.82 |
| Profit Factor | 1.02 | 1.04 |
| Common Sense Ratio | 0.91 | 0.98 |
| CPC Index | 0.46 | 0.47 |
| Tail Ratio | 0.89 | 0.94 |
| Outlier Win Ratio | 4.02 | 4.21 |
| Outlier Loss Ratio | 3.74 | 3.81 |
| MTD | 2.0% | 2.47% |
| 3M | -11.34% | -9.67% |
| 6M | 11.02% | 12.24% |
| YTD | -2.93% | -2.6% |
| 1Y | -6.7% | -7.28% |
| 3Y (ann.) | 13.61% | 16.09% |
| 5Y (ann.) | 0.35% | 1.43% |
| 10Y (ann.) | 0.35% | 1.43% |
| All-time (ann.) | 0.35% | 1.43% |
| 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 | 55 | 50 |
| Recovery Factor | 0.03 | 0.12 |
| Ulcer Index | 0.22 | 0.22 |
| Serenity Index | -0.01 | -0.0 |
| Avg. Up Month | 5.14% | 5.17% |
| Avg. Down Month | -6.87% | -6.59% |
| Win Days | 53.63% | 55.06% |
| Win Month | 60.42% | 58.33% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 40.0% | 40.0% |
| Beta | 0.6 | - |
| Alpha | -0.0 | - |
| Correlation | 69.82% | - |
| Treynor Ratio | -9.4% | - |
| 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 | -2.60 | -2.93 | 1.13 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2023-09-01 | -48.48 | 681 |
| 2024-05-17 | 2025-06-03 | -28.78 | 382 |
| 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 |