| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 43.0% | 99.0% |
| Cumulative Return | 72.56% | 300.51% |
| CAGR﹪ | 8.87% | 24.13% |
| Sharpe | 0.18 | 0.69 |
| Prob. Sharpe Ratio | 9.07% | 33.46% |
| Smart Sharpe | 0.16 | 0.6 |
| Sortino | 0.24 | 0.98 |
| Smart Sortino | 0.21 | 0.86 |
| Sortino/√2 | 0.17 | 0.69 |
| Smart Sortino/√2 | 0.15 | 0.6 |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -31.71% | -37.5% |
| Longest DD Days | 1385 | 714 |
| Volatility (ann.) | 17.85% | 26.35% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.28 | 0.64 |
| Skew | -2.4 | -0.06 |
| Kurtosis | 42.64 | 8.37 |
| Expected Daily | 0.03% | 0.08% |
| Expected Monthly | 0.7% | 1.79% |
| Expected Yearly | 8.11% | 21.92% |
| Kelly Criterion | 8.09% | 4.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.81% | -2.63% |
| Expected Shortfall (cVaR) | -1.81% | -2.63% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | 0.18 | 0.19 |
| Gain/Pain (1M) | 1.04 | 1.34 |
| Payoff Ratio | 0.94 | 0.86 |
| Profit Factor | 1.18 | 1.19 |
| Common Sense Ratio | 1.3 | 1.12 |
| CPC Index | 0.61 | 0.57 |
| Tail Ratio | 1.1 | 0.94 |
| Outlier Win Ratio | 10.96 | 3.24 |
| Outlier Loss Ratio | 3.13 | 3.06 |
| MTD | 0.0% | 0.27% |
| 3M | 0.0% | 12.03% |
| 6M | 0.0% | 41.65% |
| YTD | 0.0% | 22.94% |
| 1Y | 0.0% | 29.21% |
| 3Y (ann.) | 0.0% | 36.34% |
| 5Y (ann.) | 1.08% | 20.13% |
| 10Y (ann.) | 8.87% | 24.13% |
| All-time (ann.) | 8.87% | 24.13% |
| Best Day | 8.75% | 12.7% |
| Worst Day | -16.87% | -13.47% |
| Best Month | 12.58% | 14.65% |
| Worst Month | -17.27% | -12.71% |
| Best Year | 46.42% | 57.28% |
| Worst Year | -25.09% | -33.39% |
| Avg. Drawdown | -2.79% | -2.78% |
| Avg. Drawdown Days | 32 | 18 |
| Recovery Factor | 2.29 | 8.01 |
| Ulcer Index | 0.2 | 0.13 |
| Serenity Index | 0.1 | 1.52 |
| Avg. Up Month | 5.54% | 5.53% |
| Avg. Down Month | -6.5% | -5.17% |
| Win Days | 55.44% | 55.89% |
| Win Month | 70.59% | 67.95% |
| Win Quarter | 83.33% | 77.78% |
| Win Year | 75.0% | 85.71% |
| Beta | 0.24 | - |
| Alpha | 0.04 | - |
| Correlation | 35.55% | - |
| Treynor Ratio | 272.26% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 19.06 | 20.51 | 1.08 | + |
| 2020 | 46.62 | 46.42 | 1.00 | - |
| 2021 | 30.42 | 30.54 | 1.00 | + |
| 2022 | -33.39 | -25.09 | 0.75 | + |
| 2023 | 57.28 | 0.00 | 0.00 | - |
| 2024 | 36.59 | 0.00 | 0.00 | - |
| 2025 | 22.94 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-20 | 2020-06-09 | -31.71 | 110 |
| 2021-12-28 | 2025-10-13 | -30.71 | 1385 |
| 2020-09-02 | 2020-12-01 | -12.67 | 90 |
| 2021-02-16 | 2021-04-08 | -9.56 | 51 |
| 2021-09-07 | 2021-11-03 | -8.01 | 57 |
| 2019-08-01 | 2019-10-28 | -7.64 | 88 |
| 2021-04-27 | 2021-06-14 | -7.51 | 48 |
| 2019-05-17 | 2019-06-10 | -6.96 | 24 |
| 2021-11-22 | 2021-12-27 | -6.24 | 35 |
| 2020-06-11 | 2020-06-19 | -4.31 | 8 |