| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 14.53% | 15.23% |
| CAGR﹪ | 2.76% | 2.89% |
| Sharpe | -0.04 | -0.02 |
| Prob. Sharpe Ratio | 2.95% | 3.12% |
| Smart Sharpe | -0.04 | -0.02 |
| Sortino | -0.06 | -0.02 |
| Smart Sortino | -0.06 | -0.02 |
| Sortino/√2 | -0.04 | -0.02 |
| Smart Sortino/√2 | -0.04 | -0.02 |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -49.72% | -49.34% |
| Longest DD Days | 1356 | 1356 |
| Volatility (ann.) | 23.85% | 25.6% |
| R^2 | 0.88 | 0.88 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.06 | 0.06 |
| Skew | -2.96 | -3.24 |
| Kurtosis | 46.12 | 87.12 |
| Expected Daily | 0.01% | 0.01% |
| Expected Monthly | 0.23% | 0.24% |
| Expected Yearly | 2.29% | 2.39% |
| Kelly Criterion | 0.89% | 2.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.45% | -2.63% |
| Expected Shortfall (cVaR) | -2.45% | -2.63% |
| Max Consecutive Wins | 12 | 12 |
| Max Consecutive Losses | 12 | 14 |
| Gain/Pain Ratio | 0.05 | 0.05 |
| Gain/Pain (1M) | 0.22 | 0.25 |
| Payoff Ratio | 0.86 | 0.86 |
| Profit Factor | 1.05 | 1.05 |
| Common Sense Ratio | 0.86 | 0.92 |
| CPC Index | 0.49 | 0.5 |
| Tail Ratio | 0.82 | 0.87 |
| Outlier Win Ratio | 3.85 | 3.9 |
| Outlier Loss Ratio | 3.77 | 3.85 |
| MTD | -3.4% | -2.96% |
| 3M | -0.65% | -0.0% |
| 6M | -4.12% | -4.1% |
| YTD | -5.92% | -5.93% |
| 1Y | -13.68% | -13.58% |
| 3Y (ann.) | 9.76% | 10.04% |
| 5Y (ann.) | 1.12% | 1.24% |
| 10Y (ann.) | 2.76% | 2.89% |
| All-time (ann.) | 2.76% | 2.89% |
| 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 | 64 | 75 |
| Recovery Factor | 0.29 | 0.31 |
| Ulcer Index | 0.22 | 0.22 |
| Serenity Index | 0.01 | 0.02 |
| Avg. Up Month | 4.1% | 4.17% |
| Avg. Down Month | -6.44% | -6.48% |
| Win Days | 54.11% | 54.81% |
| Win Month | 66.67% | 63.33% |
| Win Quarter | 57.14% | 57.14% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.87 | - |
| Alpha | 0.0 | - |
| Correlation | 93.58% | - |
| Treynor Ratio | 8.64% | - |
| 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 | -5.93 | -5.92 | 1.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-07-08 | -49.72 | 1356 |
| 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 |