| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -9.9% | -7.73% |
| CAGR﹪ | -3.42% | -2.65% |
| Sharpe | -0.35 | -0.31 |
| Prob. Sharpe Ratio | 2.2% | 2.52% |
| Smart Sharpe | -0.34 | -0.3 |
| Sortino | -0.51 | -0.45 |
| Smart Sortino | -0.49 | -0.44 |
| Sortino/√2 | -0.36 | -0.32 |
| Smart Sortino/√2 | -0.35 | -0.31 |
| Omega | 0.94 | 0.94 |
| Max Drawdown | -35.34% | -34.73% |
| Longest DD Days | 528 | 521 |
| Volatility (ann.) | 22.23% | 22.19% |
| R^2 | 0.97 | 0.97 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.1 | -0.08 |
| Skew | 0.76 | 0.62 |
| Kurtosis | 5.21 | 4.55 |
| Expected Daily | -0.01% | -0.01% |
| Expected Monthly | -0.29% | -0.22% |
| Expected Yearly | -2.57% | -1.99% |
| Kelly Criterion | -1.53% | 1.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.31% | -2.3% |
| Expected Shortfall (cVaR) | -2.31% | -2.3% |
| Max Consecutive Wins | 9 | 8 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | -0.01 | -0.0 |
| Gain/Pain (1M) | -0.04 | -0.01 |
| Payoff Ratio | 0.98 | 0.98 |
| Profit Factor | 0.99 | 1.0 |
| Common Sense Ratio | 0.97 | 1.03 |
| CPC Index | 0.48 | 0.5 |
| Tail Ratio | 0.98 | 1.03 |
| Outlier Win Ratio | 3.73 | 3.79 |
| Outlier Loss Ratio | 3.4 | 3.32 |
| MTD | -1.21% | -1.08% |
| 3M | -11.79% | -11.51% |
| 6M | -15.77% | -14.94% |
| YTD | -13.72% | -13.17% |
| 1Y | -11.44% | -10.87% |
| 3Y (ann.) | -4.57% | -3.79% |
| 5Y (ann.) | -3.42% | -2.65% |
| 10Y (ann.) | -3.42% | -2.65% |
| All-time (ann.) | -3.42% | -2.65% |
| Best Day | 8.58% | 8.81% |
| Worst Day | -4.96% | -5.2% |
| Best Month | 13.54% | 14.35% |
| Worst Month | -9.99% | -10.95% |
| Best Year | 2.2% | 2.68% |
| Worst Year | -13.72% | -13.17% |
| Avg. Drawdown | -4.91% | -5.32% |
| Avg. Drawdown Days | 51 | 54 |
| Recovery Factor | -0.28 | -0.22 |
| Ulcer Index | 0.13 | 0.13 |
| Serenity Index | -0.08 | -0.07 |
| Avg. Up Month | 4.5% | 4.6% |
| Avg. Down Month | -4.07% | -4.07% |
| Win Days | 49.74% | 51.38% |
| Win Month | 44.44% | 47.22% |
| Win Quarter | 53.85% | 53.85% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.99 | - |
| Alpha | -0.01 | - |
| Correlation | 98.46% | - |
| Treynor Ratio | -17.14% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 1.37 | 1.77 | 1.29 | + |
| 2024 | 2.08 | 0.40 | 0.19 | - |
| 2025 | 2.68 | 2.20 | 0.82 | - |
| 2026 | -13.17 | -13.72 | 1.04 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-18 | 2026-07-31 | -35.34 | 528 |
| 2024-05-20 | 2025-02-17 | -27.32 | 273 |
| 2023-09-06 | 2023-10-20 | -8.19 | 44 |
| 2023-10-26 | 2024-01-31 | -7.64 | 97 |
| 2023-08-14 | 2023-08-22 | -3.97 | 8 |
| 2024-02-16 | 2024-03-01 | -3.46 | 14 |
| 2024-03-13 | 2024-03-29 | -2.56 | 16 |
| 2023-08-04 | 2023-08-10 | -2.32 | 6 |
| 2023-08-23 | 2023-08-28 | -2.27 | 5 |
| 2024-04-30 | 2024-05-10 | -1.38 | 10 |