| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 4.86% | 15.19% |
| CAGR﹪ | 0.75% | 2.26% |
| Sharpe | -0.13 | -0.05 |
| Prob. Sharpe Ratio | 0.88% | 1.41% |
| Smart Sharpe | -0.13 | -0.05 |
| Sortino | -0.17 | -0.06 |
| Smart Sortino | -0.17 | -0.06 |
| Sortino/√2 | -0.12 | -0.04 |
| Smart Sortino/√2 | -0.12 | -0.04 |
| Omega | 0.97 | 0.97 |
| Max Drawdown | -49.72% | -48.86% |
| Longest DD Days | 1838 | 938 |
| Volatility (ann.) | 23.71% | 25.3% |
| R^2 | 0.79 | 0.79 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.02 | 0.05 |
| Skew | -2.43 | -2.57 |
| Kurtosis | 37.5 | 69.41 |
| Expected Daily | 0.0% | 0.01% |
| Expected Monthly | 0.06% | 0.18% |
| Expected Yearly | 0.68% | 2.04% |
| Kelly Criterion | 0.07% | 1.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.44% | -2.6% |
| Expected Shortfall (cVaR) | -2.44% | -2.6% |
| Max Consecutive Wins | 12 | 12 |
| Max Consecutive Losses | 12 | 14 |
| Gain/Pain Ratio | 0.03 | 0.05 |
| Gain/Pain (1M) | 0.14 | 0.21 |
| Payoff Ratio | 0.86 | 0.89 |
| Profit Factor | 1.03 | 1.05 |
| Common Sense Ratio | 0.89 | 0.94 |
| CPC Index | 0.48 | 0.5 |
| Tail Ratio | 0.86 | 0.9 |
| Outlier Win Ratio | 4.12 | 3.93 |
| Outlier Loss Ratio | 3.69 | 3.79 |
| MTD | -1.25% | 0.0% |
| 3M | 5.28% | 7.02% |
| 6M | -5.99% | -2.88% |
| YTD | -9.95% | -7.61% |
| 1Y | -2.33% | 0.33% |
| 3Y (ann.) | -6.52% | -5.04% |
| 5Y (ann.) | -5.32% | -3.9% |
| 10Y (ann.) | 0.75% | 2.26% |
| All-time (ann.) | 0.75% | 2.26% |
| 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 | 79 | 88 |
| Recovery Factor | 0.1 | 0.31 |
| Ulcer Index | 0.24 | 0.22 |
| Serenity Index | -0.0 | 0.02 |
| Avg. Up Month | 4.22% | 4.42% |
| Avg. Down Month | -5.92% | -6.11% |
| Win Days | 53.68% | 53.66% |
| Win Month | 59.21% | 63.16% |
| Win Quarter | 57.69% | 53.85% |
| Win Year | 42.86% | 42.86% |
| Beta | 0.83 | - |
| Alpha | -0.01 | - |
| Correlation | 88.84% | - |
| Treynor Ratio | -2.57% | - |
| 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 | -7.61 | -9.95 | 1.31 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2026-11-02 | -49.72 | 1838 |
| 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 |