| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -0.54% | -1.5% |
| CAGR﹪ | -0.09% | -0.25% |
| Sharpe | -0.17 | -0.15 |
| Prob. Sharpe Ratio | 0.87% | 0.88% |
| Smart Sharpe | -0.17 | -0.15 |
| Sortino | -0.22 | -0.2 |
| Smart Sortino | -0.22 | -0.2 |
| Sortino/√2 | -0.15 | -0.14 |
| Smart Sortino/√2 | -0.15 | -0.14 |
| Omega | 0.97 | 0.97 |
| Max Drawdown | -49.72% | -49.34% |
| Longest DD Days | 1707 | 1707 |
| Volatility (ann.) | 23.5% | 24.83% |
| R^2 | 0.84 | 0.84 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.0 | -0.01 |
| Skew | -2.69 | -2.97 |
| Kurtosis | 41.63 | 82.76 |
| Expected Daily | -0.0% | -0.0% |
| Expected Monthly | -0.01% | -0.02% |
| Expected Yearly | -0.08% | -0.22% |
| Kelly Criterion | 0.02% | 0.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.42% | -2.56% |
| Expected Shortfall (cVaR) | -2.42% | -2.56% |
| Max Consecutive Wins | 12 | 12 |
| Max Consecutive Losses | 12 | 14 |
| Gain/Pain Ratio | 0.02 | 0.03 |
| Gain/Pain (1M) | 0.1 | 0.11 |
| Payoff Ratio | 0.86 | 0.87 |
| Profit Factor | 1.02 | 1.03 |
| Common Sense Ratio | 0.87 | 0.92 |
| CPC Index | 0.47 | 0.48 |
| Tail Ratio | 0.85 | 0.9 |
| Outlier Win Ratio | 3.95 | 3.92 |
| Outlier Loss Ratio | 3.76 | 3.92 |
| MTD | -9.09% | -10.81% |
| 3M | -18.17% | -19.3% |
| 6M | -15.0% | -16.39% |
| YTD | -15.65% | -16.82% |
| 1Y | -12.32% | -13.22% |
| 3Y (ann.) | -8.18% | -8.52% |
| 5Y (ann.) | -6.81% | -6.98% |
| 10Y (ann.) | -0.09% | -0.25% |
| All-time (ann.) | -0.09% | -0.25% |
| Best Day | 8.74% | 18.55% |
| Worst Day | -22.7% | -27.81% |
| Best Month | 17.92% | 17.55% |
| Worst Month | -23.84% | -22.31% |
| Best Year | 36.13% | 37.26% |
| Worst Year | -31.18% | -31.28% |
| Avg. Drawdown | -3.34% | -3.89% |
| Avg. Drawdown Days | 77 | 90 |
| Recovery Factor | -0.01 | -0.03 |
| Ulcer Index | 0.23 | 0.22 |
| Serenity Index | -0.01 | -0.02 |
| Avg. Up Month | 4.21% | 4.26% |
| Avg. Down Month | -6.17% | -6.3% |
| Win Days | 53.81% | 53.6% |
| Win Month | 61.97% | 60.56% |
| Win Quarter | 58.33% | 58.33% |
| Win Year | 42.86% | 42.86% |
| Beta | 0.87 | - |
| Alpha | 0.0 | - |
| Correlation | 91.57% | - |
| Treynor Ratio | -8.7% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 27.37 | 27.78 | 1.02 | + |
| 2021 | 9.03 | 8.47 | 0.94 | - |
| 2022 | -31.28 | -31.18 | 1.00 | + |
| 2023 | 37.26 | 36.13 | 0.97 | - |
| 2024 | -6.48 | -6.24 | 0.96 | + |
| 2025 | -3.32 | -3.15 | 0.95 | + |
| 2026 | -16.82 | -15.65 | 0.93 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2026-06-24 | -49.72 | 1707 |
| 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 |
| 2020-11-30 | 2020-12-02 | -1.55 | 2 |
| 2020-07-30 | 2020-08-03 | -1.51 | 4 |