| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -1.72% | 2.35% |
| CAGR﹪ | -0.29% | 0.38% |
| Sharpe | -0.17 | -0.12 |
| Prob. Sharpe Ratio | 0.75% | 0.97% |
| Smart Sharpe | -0.17 | -0.12 |
| Sortino | -0.22 | -0.16 |
| Smart Sortino | -0.22 | -0.16 |
| Sortino/√2 | -0.16 | -0.11 |
| Smart Sortino/√2 | -0.16 | -0.11 |
| Omega | 0.97 | 0.97 |
| Max Drawdown | -49.72% | -48.86% |
| Longest DD Days | 1740 | 938 |
| Volatility (ann.) | 23.78% | 25.19% |
| R^2 | 0.78 | 0.78 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.01 | 0.01 |
| Skew | -2.52 | -2.73 |
| Kurtosis | 38.8 | 73.93 |
| Expected Daily | -0.0% | 0.0% |
| Expected Monthly | -0.02% | 0.03% |
| Expected Yearly | -0.25% | 0.33% |
| Kelly Criterion | -0.59% | 0.96% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.45% | -2.59% |
| Expected Shortfall (cVaR) | -2.45% | -2.59% |
| Max Consecutive Wins | 12 | 12 |
| Max Consecutive Losses | 12 | 14 |
| Gain/Pain Ratio | 0.02 | 0.03 |
| Gain/Pain (1M) | 0.1 | 0.13 |
| Payoff Ratio | 0.85 | 0.88 |
| Profit Factor | 1.02 | 1.03 |
| Common Sense Ratio | 0.87 | 0.92 |
| CPC Index | 0.47 | 0.49 |
| Tail Ratio | 0.85 | 0.9 |
| Outlier Win Ratio | 4.19 | 4.06 |
| Outlier Loss Ratio | 3.7 | 3.84 |
| MTD | -2.2% | -3.94% |
| 3M | -15.71% | -16.99% |
| 6M | -18.19% | -20.48% |
| YTD | -15.61% | -17.91% |
| 1Y | -16.59% | -18.03% |
| 3Y (ann.) | -9.89% | -10.12% |
| 5Y (ann.) | -7.01% | -6.48% |
| 10Y (ann.) | -0.29% | 0.38% |
| All-time (ann.) | -0.29% | 0.38% |
| Best Day | 8.74% | 17.88% |
| Worst Day | -22.7% | -27.71% |
| Best Month | 17.92% | 17.77% |
| Worst Month | -23.84% | -22.33% |
| Best Year | 36.13% | 38.37% |
| Worst Year | -31.18% | -30.06% |
| Avg. Drawdown | -3.28% | -5.31% |
| Avg. Drawdown Days | 76 | 84 |
| Recovery Factor | -0.03 | 0.05 |
| Ulcer Index | 0.23 | 0.21 |
| Serenity Index | -0.01 | -0.01 |
| Avg. Up Month | 4.09% | 4.25% |
| Avg. Down Month | -6.13% | -6.34% |
| Win Days | 53.7% | 53.56% |
| Win Month | 61.11% | 63.01% |
| Win Quarter | 56.0% | 52.0% |
| Win Year | 42.86% | 42.86% |
| Beta | 0.84 | - |
| Alpha | -0.0 | - |
| Correlation | 88.52% | - |
| Treynor Ratio | -10.43% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 26.78 | 26.20 | 0.98 | - |
| 2021 | 9.99 | 8.47 | 0.85 | - |
| 2022 | -30.06 | -31.18 | 1.04 | - |
| 2023 | 38.37 | 36.13 | 0.94 | - |
| 2024 | -5.55 | -6.24 | 1.12 | - |
| 2025 | -2.18 | -3.15 | 1.44 | - |
| 2026 | -17.91 | -15.61 | 0.87 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2026-07-27 | -49.72 | 1740 |
| 2020-08-14 | 2020-11-09 | -6.79 | 87 |
| 2021-06-15 | 2021-09-06 | -6.01 | 83 |
| 2021-01-15 | 2021-03-12 | -4.70 | 56 |
| 2021-04-27 | 2021-06-02 | -3.59 | 36 |
| 2021-09-07 | 2021-10-07 | -3.46 | 30 |
| 2021-03-16 | 2021-04-08 | -3.05 | 23 |
| 2020-12-18 | 2020-12-23 | -2.20 | 5 |
| 2020-07-09 | 2020-07-20 | -1.85 | 11 |
| 2020-11-30 | 2020-12-02 | -1.55 | 2 |