| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 24.93% | 24.65% |
| CAGR﹪ | 4.83% | 4.78% |
| Sharpe | 0.04 | 0.05 |
| Prob. Sharpe Ratio | 5.07% | 5.02% |
| Smart Sharpe | 0.04 | 0.05 |
| Sortino | 0.05 | 0.07 |
| Smart Sortino | 0.05 | 0.07 |
| Sortino/√2 | 0.04 | 0.05 |
| Smart Sortino/√2 | 0.03 | 0.05 |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -49.72% | -49.34% |
| Longest DD Days | 1259 | 1259 |
| Volatility (ann.) | 23.69% | 25.57% |
| R^2 | 0.87 | 0.87 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.1 | 0.1 |
| Skew | -3.18 | -3.43 |
| Kurtosis | 49.99 | 92.58 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.39% | 0.39% |
| Expected Yearly | 3.78% | 3.74% |
| Kelly Criterion | 1.98% | 2.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.42% | -2.62% |
| Expected Shortfall (cVaR) | -2.42% | -2.62% |
| Max Consecutive Wins | 12 | 12 |
| Max Consecutive Losses | 12 | 11 |
| Gain/Pain Ratio | 0.07 | 0.07 |
| Gain/Pain (1M) | 0.3 | 0.33 |
| Payoff Ratio | 0.87 | 0.86 |
| Profit Factor | 1.07 | 1.07 |
| Common Sense Ratio | 0.94 | 0.96 |
| CPC Index | 0.5 | 0.51 |
| Tail Ratio | 0.88 | 0.89 |
| Outlier Win Ratio | 3.9 | 3.94 |
| Outlier Loss Ratio | 3.77 | 3.89 |
| MTD | -1.8% | -2.02% |
| 3M | 2.61% | 1.76% |
| 6M | 6.26% | 5.16% |
| YTD | 2.61% | 1.76% |
| 1Y | -12.6% | -12.67% |
| 3Y (ann.) | 7.67% | 7.37% |
| 5Y (ann.) | 4.83% | 4.78% |
| 10Y (ann.) | 4.83% | 4.78% |
| All-time (ann.) | 4.83% | 4.78% |
| 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 | 60 | 70 |
| Recovery Factor | 0.5 | 0.5 |
| Ulcer Index | 0.22 | 0.22 |
| Serenity Index | 0.03 | 0.03 |
| Avg. Up Month | 4.12% | 4.2% |
| Avg. Down Month | -6.52% | -6.6% |
| Win Days | 54.47% | 54.91% |
| Win Month | 68.42% | 64.91% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.87 | - |
| Alpha | 0.01 | - |
| Correlation | 93.4% | - |
| Treynor Ratio | 20.71% | - |
| 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 | 1.76 | 2.61 | 1.49 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-04-02 | -49.72 | 1259 |
| 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 |