| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 14.72% | 41.32% |
| CAGR﹪ | 2.77% | 7.13% |
| Sharpe | 0.24 | 21.5 |
| Prob. Sharpe Ratio | 69.88% | 100.0% |
| Smart Sharpe | 0.24 | 21.34 |
| Sortino | 0.31 | 97.85 |
| Smart Sortino | 0.31 | 97.12 |
| Sortino/√2 | 0.22 | 69.19 |
| Smart Sortino/√2 | 0.22 | 68.68 |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -49.72% | -1.25% |
| Longest DD Days | 1355 | 209 |
| Volatility (ann.) | 23.77% | 0.32% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.06 | 5.68 |
| Skew | -2.97 | 0.01 |
| Kurtosis | 46.41 | 0.78 |
| Expected Daily | 0.01% | 0.03% |
| Expected Monthly | 0.23% | 0.57% |
| Expected Yearly | 2.31% | 5.93% |
| Kelly Criterion | 10.46% | 88.08% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.44% | -0.01% |
| Expected Shortfall (cVaR) | -2.44% | -0.01% |
| Max Consecutive Wins | 12 | 723 |
| Max Consecutive Losses | 12 | 65 |
| Gain/Pain Ratio | 0.05 | 25.2 |
| Gain/Pain (1M) | 0.22 | 25.2 |
| Payoff Ratio | 1.05 | 2.66 |
| Profit Factor | 1.05 | 26.2 |
| Common Sense Ratio | 0.86 | 95.96 |
| CPC Index | 0.6 | 63.6 |
| Tail Ratio | 0.82 | 3.66 |
| Outlier Win Ratio | 1.92 | 54.09 |
| Outlier Loss Ratio | 1.92 | 156.21 |
| MTD | -3.15% | 0.11% |
| 3M | -3.43% | 1.3% |
| 6M | -3.87% | 4.0% |
| YTD | -5.68% | 4.12% |
| 1Y | -13.46% | 9.51% |
| 3Y (ann.) | 9.87% | 7.56% |
| 5Y (ann.) | 1.01% | 7.19% |
| 10Y (ann.) | 2.77% | 7.13% |
| All-time (ann.) | 2.77% | 7.13% |
| Best Day | 8.74% | 0.11% |
| Worst Day | -22.7% | -0.02% |
| Best Month | 17.92% | 1.56% |
| Worst Month | -23.84% | -0.52% |
| Best Year | 36.13% | 9.51% |
| Worst Year | -31.18% | 2.34% |
| Avg. Drawdown | -3.19% | -0.68% |
| Avg. Drawdown Days | 60 | 138 |
| Recovery Factor | 0.3 | 32.93 |
| Ulcer Index | 0.22 | 0.0 |
| Serenity Index | 0.02 | 5.19 |
| Avg. Up Month | 4.04% | 0.66% |
| Avg. Down Month | -2.22% | -0.37% |
| Win Days | 54.16% | 91.34% |
| Win Month | 65.57% | 91.8% |
| Win Quarter | 54.55% | 95.45% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.43 | - |
| Alpha | 0.09 | - |
| Correlation | -0.59% | - |
| Treynor Ratio | -33.89% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 2.34 | 27.65 | 11.82 | + |
| 2021 | 8.39 | 8.47 | 1.01 | + |
| 2022 | 4.01 | -31.18 | -7.78 | - |
| 2023 | 7.42 | 36.13 | 4.87 | + |
| 2024 | 9.51 | -6.24 | -0.66 | - |
| 2025 | 4.12 | -5.68 | -1.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-07-07 | -49.72 | 1355 |
| 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 |
| 2020-07-08 | 2020-07-20 | -2.09 | 12 |
| 2020-11-30 | 2020-12-02 | -1.55 | 2 |