| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 19.45% | 19.86% |
| CAGR﹪ | 3.13% | 3.19% |
| Sharpe | -0.03 | -0.01 |
| Prob. Sharpe Ratio | 2.29% | 2.38% |
| Smart Sharpe | -0.03 | -0.01 |
| Sortino | -0.04 | -0.02 |
| Smart Sortino | -0.04 | -0.02 |
| Sortino/√2 | -0.03 | -0.01 |
| Smart Sortino/√2 | -0.03 | -0.01 |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -49.72% | -49.34% |
| Longest DD Days | 1645 | 1645 |
| Volatility (ann.) | 23.59% | 24.92% |
| R^2 | 0.84 | 0.84 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.06 | 0.06 |
| Skew | -2.73 | -3.03 |
| Kurtosis | 42.23 | 83.93 |
| Expected Daily | 0.01% | 0.01% |
| Expected Monthly | 0.26% | 0.26% |
| Expected Yearly | 2.57% | 2.62% |
| Kelly Criterion | 1.17% | 2.05% |
| 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 | 0.05 | 0.06 |
| Gain/Pain (1M) | 0.24 | 0.26 |
| Payoff Ratio | 0.87 | 0.88 |
| Profit Factor | 1.05 | 1.06 |
| Common Sense Ratio | 0.89 | 0.96 |
| CPC Index | 0.49 | 0.5 |
| Tail Ratio | 0.84 | 0.91 |
| Outlier Win Ratio | 3.97 | 3.97 |
| Outlier Loss Ratio | 3.74 | 3.88 |
| MTD | 1.26% | 1.02% |
| 3M | -1.64% | -1.8% |
| 6M | 3.4% | 3.96% |
| YTD | 1.31% | 1.22% |
| 1Y | -2.95% | -2.91% |
| 3Y (ann.) | 2.14% | 2.23% |
| 5Y (ann.) | -3.35% | -3.28% |
| 10Y (ann.) | 3.13% | 3.19% |
| All-time (ann.) | 3.13% | 3.19% |
| 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 | 75 | 87 |
| Recovery Factor | 0.39 | 0.4 |
| Ulcer Index | 0.22 | 0.22 |
| Serenity Index | 0.02 | 0.02 |
| Avg. Up Month | 4.14% | 4.19% |
| Avg. Down Month | -6.26% | -6.35% |
| Win Days | 54.13% | 54.26% |
| Win Month | 65.22% | 63.77% |
| Win Quarter | 62.5% | 62.5% |
| Win Year | 57.14% | 57.14% |
| Beta | 0.87 | - |
| Alpha | 0.0 | - |
| Correlation | 91.56% | - |
| Treynor Ratio | 14.37% | - |
| 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 | 1.22 | 1.31 | 1.08 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2026-04-23 | -49.72 | 1645 |
| 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 |