| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 9.04% | 16.82% |
| CAGR﹪ | 1.66% | 2.99% |
| Sharpe | -0.09 | -0.01 |
| Prob. Sharpe Ratio | 1.94% | 2.73% |
| Smart Sharpe | -0.09 | -0.01 |
| Sortino | -0.12 | -0.02 |
| Smart Sortino | -0.12 | -0.02 |
| Sortino/√2 | -0.09 | -0.01 |
| Smart Sortino/√2 | -0.08 | -0.01 |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -49.72% | -48.86% |
| Longest DD Days | 1453 | 938 |
| Volatility (ann.) | 23.62% | 25.68% |
| R^2 | 0.82 | 0.82 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.03 | 0.06 |
| Skew | -2.85 | -3.02 |
| Kurtosis | 44.92 | 78.45 |
| Expected Daily | 0.01% | 0.01% |
| Expected Monthly | 0.14% | 0.24% |
| Expected Yearly | 1.45% | 2.62% |
| Kelly Criterion | 0.02% | 2.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.43% | -2.64% |
| Expected Shortfall (cVaR) | -2.43% | -2.64% |
| Max Consecutive Wins | 12 | 12 |
| Max Consecutive Losses | 12 | 14 |
| Gain/Pain Ratio | 0.04 | 0.05 |
| Gain/Pain (1M) | 0.17 | 0.24 |
| Payoff Ratio | 0.85 | 0.86 |
| Profit Factor | 1.04 | 1.05 |
| Common Sense Ratio | 0.87 | 0.93 |
| CPC Index | 0.48 | 0.5 |
| Tail Ratio | 0.84 | 0.88 |
| Outlier Win Ratio | 3.94 | 3.85 |
| Outlier Loss Ratio | 3.68 | 3.69 |
| MTD | -4.15% | -3.62% |
| 3M | 0.86% | 0.37% |
| 6M | -6.88% | -6.15% |
| YTD | -9.31% | -8.35% |
| 1Y | -3.56% | -2.11% |
| 3Y (ann.) | 5.85% | 7.14% |
| 5Y (ann.) | -0.97% | 0.35% |
| 10Y (ann.) | 1.66% | 2.99% |
| All-time (ann.) | 1.66% | 2.99% |
| 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 | 65 | 73 |
| Recovery Factor | 0.18 | 0.34 |
| Ulcer Index | 0.22 | 0.21 |
| Serenity Index | 0.0 | 0.02 |
| Avg. Up Month | 4.03% | 4.25% |
| Avg. Down Month | -6.53% | -6.63% |
| Win Days | 54.09% | 54.97% |
| Win Month | 65.08% | 65.62% |
| Win Quarter | 54.55% | 54.55% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.84 | - |
| Alpha | -0.01 | - |
| Correlation | 90.79% | - |
| Treynor Ratio | 2.44% | - |
| 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 | -8.35 | -9.31 | 1.12 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-10-13 | -49.72 | 1453 |
| 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 |