| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 6.83% | 13.82% |
| CAGR﹪ | 1.12% | 2.21% |
| Sharpe | -0.12 | -0.05 |
| Prob. Sharpe Ratio | 1.21% | 1.69% |
| Smart Sharpe | -0.12 | -0.05 |
| Sortino | -0.16 | -0.07 |
| Smart Sortino | -0.15 | -0.07 |
| Sortino/√2 | -0.11 | -0.05 |
| Smart Sortino/√2 | -0.11 | -0.05 |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -49.72% | -48.86% |
| Longest DD Days | 1693 | 938 |
| Volatility (ann.) | 23.29% | 24.89% |
| R^2 | 0.79 | 0.79 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.02 | 0.05 |
| Skew | -2.73 | -2.92 |
| Kurtosis | 42.87 | 79.08 |
| Expected Daily | 0.0% | 0.01% |
| Expected Monthly | 0.09% | 0.18% |
| Expected Yearly | 0.95% | 1.87% |
| Kelly Criterion | 0.14% | 1.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.4% | -2.56% |
| Expected Shortfall (cVaR) | -2.4% | -2.56% |
| Max Consecutive Wins | 12 | 12 |
| Max Consecutive Losses | 12 | 14 |
| Gain/Pain Ratio | 0.03 | 0.05 |
| Gain/Pain (1M) | 0.15 | 0.2 |
| Payoff Ratio | 0.86 | 0.88 |
| Profit Factor | 1.03 | 1.05 |
| Common Sense Ratio | 0.88 | 0.95 |
| CPC Index | 0.48 | 0.5 |
| Tail Ratio | 0.85 | 0.9 |
| Outlier Win Ratio | 4.01 | 3.87 |
| Outlier Loss Ratio | 3.69 | 3.8 |
| MTD | -1.14% | -1.89% |
| 3M | -12.83% | -12.99% |
| 6M | -7.29% | -7.36% |
| YTD | -8.27% | -8.71% |
| 1Y | -4.27% | -4.13% |
| 3Y (ann.) | -3.6% | -3.04% |
| 5Y (ann.) | -5.57% | -4.6% |
| 10Y (ann.) | 1.12% | 2.21% |
| All-time (ann.) | 1.12% | 2.21% |
| 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% | -4.94% |
| Avg. Drawdown Days | 74 | 82 |
| Recovery Factor | 0.14 | 0.28 |
| Ulcer Index | 0.23 | 0.21 |
| Serenity Index | -0.0 | 0.01 |
| Avg. Up Month | 4.09% | 4.25% |
| Avg. Down Month | -6.05% | -6.18% |
| Win Days | 53.88% | 53.87% |
| Win Month | 61.97% | 63.89% |
| Win Quarter | 58.33% | 54.17% |
| Win Year | 42.86% | 42.86% |
| Beta | 0.83 | - |
| Alpha | -0.01 | - |
| Correlation | 89.09% | - |
| Treynor Ratio | -0.21% | - |
| 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 | -8.71 | -8.27 | 0.95 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2026-06-10 | -49.72 | 1693 |
| 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 |