| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 21.41% | 29.72% |
| CAGR﹪ | 3.49% | 4.71% |
| Sharpe | -0.02 | 0.05 |
| Prob. Sharpe Ratio | 2.54% | 3.37% |
| Smart Sharpe | -0.02 | 0.05 |
| Sortino | -0.02 | 0.06 |
| Smart Sortino | -0.02 | 0.06 |
| Sortino/√2 | -0.02 | 0.04 |
| Smart Sortino/√2 | -0.02 | 0.04 |
| Omega | 1.0 | 1.0 |
| Max Drawdown | -49.72% | -48.86% |
| Longest DD Days | 1596 | 938 |
| Volatility (ann.) | 23.66% | 25.29% |
| R^2 | 0.8 | 0.8 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.07 | 0.1 |
| Skew | -2.74 | -2.93 |
| Kurtosis | 42.17 | 77.72 |
| Expected Daily | 0.01% | 0.02% |
| Expected Monthly | 0.28% | 0.38% |
| Expected Yearly | 2.81% | 3.79% |
| Kelly Criterion | 0.96% | 2.99% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.43% | -2.59% |
| Expected Shortfall (cVaR) | -2.43% | -2.59% |
| Max Consecutive Wins | 12 | 12 |
| Max Consecutive Losses | 12 | 14 |
| Gain/Pain Ratio | 0.05 | 0.07 |
| Gain/Pain (1M) | 0.25 | 0.31 |
| Payoff Ratio | 0.86 | 0.88 |
| Profit Factor | 1.05 | 1.07 |
| Common Sense Ratio | 0.89 | 0.96 |
| CPC Index | 0.49 | 0.51 |
| Tail Ratio | 0.85 | 0.9 |
| Outlier Win Ratio | 4.04 | 3.93 |
| Outlier Loss Ratio | 3.74 | 3.82 |
| MTD | -0.48% | -0.49% |
| 3M | 7.06% | 7.07% |
| 6M | -1.16% | -1.18% |
| YTD | 4.26% | 4.04% |
| 1Y | -10.79% | -10.33% |
| 3Y (ann.) | 4.65% | 5.72% |
| 5Y (ann.) | -2.16% | -1.04% |
| 10Y (ann.) | 3.49% | 4.71% |
| All-time (ann.) | 3.49% | 4.71% |
| 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 | 71 | 78 |
| Recovery Factor | 0.43 | 0.61 |
| Ulcer Index | 0.22 | 0.21 |
| Serenity Index | 0.02 | 0.05 |
| Avg. Up Month | 4.09% | 4.25% |
| Avg. Down Month | -6.3% | -6.44% |
| Win Days | 54.24% | 54.62% |
| Win Month | 64.71% | 66.67% |
| Win Quarter | 60.87% | 60.87% |
| Win Year | 57.14% | 57.14% |
| Beta | 0.83 | - |
| Alpha | -0.0 | - |
| Correlation | 89.18% | - |
| Treynor Ratio | 17.28% | - |
| 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 | 4.04 | 4.26 | 1.05 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2026-03-05 | -49.72 | 1596 |
| 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 |