| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 25.0% | 99.0% |
| Cumulative Return | 12.17% | 151.79% |
| CAGR﹪ | 2.31% | 20.12% |
| Sharpe | -0.38 | 0.6 |
| Prob. Sharpe Ratio | 3.14% | 30.49% |
| Smart Sharpe | -0.35 | 0.56 |
| Sortino | -0.51 | 0.87 |
| Smart Sortino | -0.47 | 0.8 |
| Sortino/√2 | -0.36 | 0.61 |
| Smart Sortino/√2 | -0.33 | 0.57 |
| Omega | 0.89 | 0.89 |
| Max Drawdown | -23.69% | -37.5% |
| Longest DD Days | 1434 | 714 |
| Volatility (ann.) | 10.41% | 23.76% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.1 | 0.54 |
| Skew | -1.92 | 0.25 |
| Kurtosis | 34.73 | 5.29 |
| Expected Daily | 0.01% | 0.07% |
| Expected Monthly | 0.19% | 1.5% |
| Expected Yearly | 1.93% | 16.64% |
| Kelly Criterion | 4.45% | 3.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.07% | -2.38% |
| Expected Shortfall (cVaR) | -1.07% | -2.38% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 9 | 7 |
| Gain/Pain Ratio | 0.1 | 0.17 |
| Gain/Pain (1M) | 0.51 | 1.12 |
| Payoff Ratio | 0.97 | 0.88 |
| Profit Factor | 1.1 | 1.17 |
| Common Sense Ratio | 1.32 | 1.14 |
| CPC Index | 0.56 | 0.57 |
| Tail Ratio | 1.21 | 0.98 |
| Outlier Win Ratio | 19.96 | 2.73 |
| Outlier Loss Ratio | 3.21 | 2.85 |
| MTD | 0.0% | 0.21% |
| 3M | 0.0% | 10.19% |
| 6M | 0.0% | 24.39% |
| YTD | 0.0% | 25.76% |
| 1Y | 0.0% | 26.43% |
| 3Y (ann.) | 0.0% | 40.58% |
| 5Y (ann.) | 1.0% | 18.96% |
| 10Y (ann.) | 2.31% | 20.12% |
| All-time (ann.) | 2.31% | 20.12% |
| Best Day | 4.24% | 12.7% |
| Worst Day | -9.01% | -6.1% |
| Best Month | 6.81% | 11.67% |
| Worst Month | -11.18% | -12.71% |
| Best Year | 29.99% | 57.28% |
| Worst Year | -19.22% | -33.39% |
| Avg. Drawdown | -2.54% | -2.67% |
| Avg. Drawdown Days | 53 | 20 |
| Recovery Factor | 0.51 | 4.05 |
| Ulcer Index | 0.18 | 0.14 |
| Serenity Index | 0.01 | 0.58 |
| Avg. Up Month | 4.19% | 4.05% |
| Avg. Down Month | -5.58% | -4.08% |
| Win Days | 53.0% | 54.95% |
| Win Month | 62.5% | 67.74% |
| Win Quarter | 83.33% | 76.19% |
| Win Year | 66.67% | 83.33% |
| Beta | 0.13 | - |
| Alpha | 0.0 | - |
| Correlation | 30.18% | - |
| Treynor Ratio | 39.08% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 7.28 | 6.82 | 0.94 | - |
| 2021 | 30.42 | 29.99 | 0.99 | - |
| 2022 | -33.39 | -19.22 | 0.58 | + |
| 2023 | 57.28 | 0.00 | 0.00 | - |
| 2024 | 36.59 | 0.00 | 0.00 | - |
| 2025 | 25.76 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-30 | 2025-12-03 | -23.69 | 1434 |
| 2021-02-16 | 2021-04-08 | -9.45 | 51 |
| 2021-09-08 | 2021-11-01 | -7.35 | 54 |
| 2021-04-19 | 2021-06-11 | -7.27 | 53 |
| 2021-11-22 | 2021-12-27 | -6.75 | 35 |
| 2021-01-27 | 2021-02-04 | -4.12 | 8 |
| 2021-07-15 | 2021-07-23 | -3.09 | 8 |
| 2020-12-30 | 2021-01-20 | -2.83 | 21 |
| 2021-08-09 | 2021-08-23 | -2.41 | 14 |
| 2020-12-09 | 2020-12-16 | -2.13 | 7 |