| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 44.0% | 100.0% |
| Cumulative Return | 3.2% | 38.49% |
| CAGR﹪ | 0.5% | 5.32% |
| Sharpe | -0.15 | 0.15 |
| Prob. Sharpe Ratio | 0.84% | 3.06% |
| Smart Sharpe | -0.13 | 0.13 |
| Sortino | -0.19 | 0.2 |
| Smart Sortino | -0.16 | 0.17 |
| Sortino/√2 | -0.13 | 0.14 |
| Smart Sortino/√2 | -0.12 | 0.12 |
| Omega | 0.96 | 0.96 |
| Max Drawdown | -48.35% | -60.79% |
| Longest DD Days | 1403 | 1403 |
| Volatility (ann.) | 23.38% | 36.15% |
| R^2 | 0.45 | 0.45 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.01 | 0.09 |
| Skew | -2.81 | -2.78 |
| Kurtosis | 35.11 | 71.1 |
| Expected Daily | 0.0% | 0.02% |
| Expected Monthly | 0.04% | 0.43% |
| Expected Yearly | 0.45% | 4.76% |
| Kelly Criterion | 0.91% | -5.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.41% | -3.7% |
| Expected Shortfall (cVaR) | -2.41% | -3.7% |
| Max Consecutive Wins | 9 | 11 |
| Max Consecutive Losses | 6 | 11 |
| Gain/Pain Ratio | 0.04 | 0.07 |
| Gain/Pain (1M) | 0.21 | 0.35 |
| Payoff Ratio | 0.79 | 0.75 |
| Profit Factor | 1.04 | 1.07 |
| Common Sense Ratio | 1.18 | 1.08 |
| CPC Index | 0.46 | 0.44 |
| Tail Ratio | 1.13 | 1.01 |
| Outlier Win Ratio | 12.29 | 3.75 |
| Outlier Loss Ratio | 3.35 | 3.69 |
| MTD | 0.0% | 6.13% |
| 3M | 0.0% | 7.81% |
| 6M | 0.0% | 2.74% |
| YTD | 0.0% | 34.1% |
| 1Y | 0.0% | 32.04% |
| 3Y (ann.) | 0.0% | 11.11% |
| 5Y (ann.) | 0.47% | 6.46% |
| 10Y (ann.) | 0.5% | 5.32% |
| All-time (ann.) | 0.5% | 5.32% |
| Best Day | 9.36% | 26.12% |
| Worst Day | -17.58% | -39.44% |
| Best Month | 19.76% | 20.37% |
| Worst Month | -23.17% | -34.72% |
| Best Year | 31.06% | 34.1% |
| Worst Year | -29.92% | -33.88% |
| Avg. Drawdown | -4.7% | -5.46% |
| Avg. Drawdown Days | 66 | 72 |
| Recovery Factor | 0.07 | 0.63 |
| Ulcer Index | 0.33 | 0.3 |
| Serenity Index | -0.0 | 0.05 |
| Avg. Up Month | 5.76% | 5.83% |
| Avg. Down Month | -8.68% | -9.7% |
| Win Days | 56.3% | 54.9% |
| Win Month | 64.71% | 64.47% |
| Win Quarter | 58.33% | 65.38% |
| Win Year | 50.0% | 57.14% |
| Beta | 0.43 | - |
| Alpha | -0.02 | - |
| Correlation | 66.91% | - |
| Treynor Ratio | -8.79% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 30.61 | 31.06 | 1.01 | + |
| 2020 | -5.62 | -6.94 | 1.24 | - |
| 2021 | 20.63 | 20.74 | 1.01 | + |
| 2022 | -33.88 | -29.92 | 0.88 | + |
| 2023 | 18.18 | 0.00 | 0.00 | - |
| 2024 | -11.12 | 0.00 | -0.00 | + |
| 2025 | 34.10 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-21 | 2021-05-07 | -48.35 | 472 |
| 2021-10-26 | 2025-08-29 | -46.17 | 1403 |
| 2019-07-11 | 2019-09-16 | -10.85 | 67 |
| 2021-09-16 | 2021-09-27 | -7.18 | 11 |
| 2021-06-15 | 2021-08-11 | -6.50 | 57 |
| 2019-09-18 | 2019-10-23 | -5.80 | 35 |
| 2019-11-08 | 2019-12-12 | -4.74 | 34 |
| 2021-08-18 | 2021-09-01 | -3.53 | 14 |
| 2019-05-23 | 2019-06-03 | -2.31 | 11 |
| 2021-10-21 | 2021-10-25 | -2.06 | 4 |