| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 39.0% | 98.0% |
| Cumulative Return | -7.17% | 64.89% |
| CAGR﹪ | -1.15% | 8.1% |
| Sharpe | -0.45 | 0.14 |
| Prob. Sharpe Ratio | 0.21% | 5.5% |
| Smart Sharpe | -0.44 | 0.14 |
| Sortino | -0.57 | 0.19 |
| Smart Sortino | -0.56 | 0.18 |
| Sortino/√2 | -0.4 | 0.13 |
| Smart Sortino/√2 | -0.4 | 0.13 |
| Omega | 0.87 | 0.87 |
| Max Drawdown | -38.11% | -39.29% |
| Longest DD Days | 1568 | 925 |
| Volatility (ann.) | 15.06% | 19.42% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.03 | 0.21 |
| Skew | -2.45 | -0.54 |
| Kurtosis | 37.9 | 13.83 |
| Expected Daily | -0.0% | 0.03% |
| Expected Monthly | -0.1% | 0.64% |
| Expected Yearly | -1.06% | 7.41% |
| Kelly Criterion | -2.06% | 1.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.56% | -1.97% |
| Expected Shortfall (cVaR) | -1.56% | -1.97% |
| Max Consecutive Wins | 8 | 13 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.0 | 0.1 |
| Gain/Pain (1M) | 0.0 | 0.54 |
| Payoff Ratio | 0.86 | 0.89 |
| Profit Factor | 1.0 | 1.1 |
| Common Sense Ratio | 1.01 | 0.99 |
| CPC Index | 0.45 | 0.52 |
| Tail Ratio | 1.01 | 0.91 |
| Outlier Win Ratio | 12.16 | 3.59 |
| Outlier Loss Ratio | 3.49 | 4.22 |
| MTD | 0.0% | -0.68% |
| 3M | 0.0% | -1.71% |
| 6M | 0.0% | -2.7% |
| YTD | 0.0% | 16.52% |
| 1Y | 0.0% | 17.9% |
| 3Y (ann.) | 0.0% | 17.6% |
| 5Y (ann.) | -2.66% | 9.51% |
| 10Y (ann.) | -1.15% | 8.1% |
| All-time (ann.) | -1.15% | 8.1% |
| Best Day | 8.52% | 10.66% |
| Worst Day | -12.05% | -12.65% |
| Best Month | 14.6% | 14.86% |
| Worst Month | -22.18% | -17.02% |
| Best Year | 14.54% | 17.77% |
| Worst Year | -23.54% | -16.07% |
| Avg. Drawdown | -4.15% | -3.61% |
| Avg. Drawdown Days | 87 | 44 |
| Recovery Factor | -0.19 | 1.65 |
| Ulcer Index | 0.21 | 0.1 |
| Serenity Index | -0.02 | 0.37 |
| Avg. Up Month | 4.2% | 4.34% |
| Avg. Down Month | -6.37% | -5.11% |
| Win Days | 52.93% | 53.51% |
| Win Month | 59.38% | 58.97% |
| Win Quarter | 63.64% | 61.54% |
| Win Year | 75.0% | 85.71% |
| Beta | 0.45 | - |
| Alpha | -0.04 | - |
| Correlation | 58.19% | - |
| Treynor Ratio | -31.4% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 4.97 | 4.50 | 0.90 | - |
| 2020 | 0.50 | 1.44 | 2.88 | + |
| 2021 | 16.09 | 14.54 | 0.90 | - |
| 2022 | -16.07 | -23.54 | 1.47 | - |
| 2023 | 17.77 | 0.00 | 0.00 | - |
| 2024 | 16.90 | 0.00 | 0.00 | - |
| 2025 | 16.52 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-21 | 2021-02-04 | -38.11 | 349 |
| 2021-08-16 | 2025-12-01 | -26.23 | 1568 |
| 2019-07-05 | 2019-10-16 | -9.13 | 103 |
| 2021-06-30 | 2021-08-12 | -5.29 | 43 |
| 2020-01-27 | 2020-02-12 | -4.10 | 16 |
| 2019-12-27 | 2020-01-09 | -3.74 | 13 |
| 2021-04-19 | 2021-05-24 | -3.13 | 35 |
| 2021-02-17 | 2021-03-09 | -2.89 | 20 |
| 2019-11-08 | 2019-12-13 | -2.04 | 35 |
| 2021-06-16 | 2021-06-29 | -1.81 | 13 |