| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -26.08% | -21.69% |
| CAGR﹪ | -5.53% | -4.5% |
| Sharpe | -0.38 | -0.3 |
| Prob. Sharpe Ratio | 0.24% | 0.38% |
| Smart Sharpe | -0.38 | -0.3 |
| Sortino | -0.5 | -0.38 |
| Smart Sortino | -0.49 | -0.38 |
| Sortino/√2 | -0.35 | -0.27 |
| Smart Sortino/√2 | -0.35 | -0.27 |
| Omega | 0.93 | 0.93 |
| Max Drawdown | -54.81% | -53.79% |
| Longest DD Days | 1827 | 1827 |
| Volatility (ann.) | 24.48% | 25.8% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.1 | -0.08 |
| Skew | -1.26 | -4.31 |
| Kurtosis | 17.49 | 93.36 |
| Expected Daily | -0.02% | -0.02% |
| Expected Monthly | -0.47% | -0.38% |
| Expected Yearly | -4.91% | -3.99% |
| Kelly Criterion | -1.25% | -4.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.55% | -2.68% |
| Expected Shortfall (cVaR) | -2.55% | -2.68% |
| Max Consecutive Wins | 12 | 11 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | -0.02 | -0.01 |
| Gain/Pain (1M) | -0.08 | -0.03 |
| Payoff Ratio | 0.82 | 0.79 |
| Profit Factor | 0.98 | 0.99 |
| Common Sense Ratio | 0.89 | 0.85 |
| CPC Index | 0.44 | 0.42 |
| Tail Ratio | 0.9 | 0.86 |
| Outlier Win Ratio | 3.77 | 3.86 |
| Outlier Loss Ratio | 3.15 | 3.53 |
| MTD | 9.4% | 8.79% |
| 3M | 12.86% | 13.37% |
| 6M | -12.79% | -12.29% |
| YTD | -11.15% | -10.12% |
| 1Y | -8.26% | -7.66% |
| 3Y (ann.) | -5.7% | -5.0% |
| 5Y (ann.) | -6.99% | -5.96% |
| 10Y (ann.) | -5.53% | -4.5% |
| All-time (ann.) | -5.53% | -4.5% |
| Best Day | 10.89% | 14.95% |
| Worst Day | -16.81% | -29.96% |
| Best Month | 15.49% | 17.2% |
| Worst Month | -26.79% | -25.87% |
| Best Year | 42.49% | 45.7% |
| Worst Year | -41.49% | -40.77% |
| Avg. Drawdown | -8.48% | -6.92% |
| Avg. Drawdown Days | 240 | 192 |
| Recovery Factor | -0.48 | -0.4 |
| Ulcer Index | 0.29 | 0.27 |
| Serenity Index | -0.04 | -0.04 |
| Avg. Up Month | 5.21% | 5.25% |
| Avg. Down Month | -5.77% | -5.7% |
| Win Days | 54.42% | 53.73% |
| Win Month | 48.44% | 53.12% |
| Win Quarter | 50.0% | 45.45% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.59 | - |
| Alpha | -0.02 | - |
| Correlation | 61.77% | - |
| Treynor Ratio | -56.42% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.06 | -0.20 | 3.45 | - |
| 2022 | -40.77 | -41.49 | 1.02 | - |
| 2023 | 45.70 | 42.49 | 0.93 | - |
| 2024 | -3.15 | -2.85 | 0.90 | + |
| 2025 | 4.31 | 2.93 | 0.68 | - |
| 2026 | -10.12 | -11.15 | 1.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2026-10-21 | -54.81 | 1827 |
| 2021-09-08 | 2021-10-19 | -6.25 | 41 |
| 2021-07-13 | 2021-08-04 | -3.13 | 22 |
| 2021-08-18 | 2021-08-31 | -2.22 | 13 |
| 2021-08-11 | 2021-08-16 | -0.52 | 5 |
| 2021-07-06 | 2021-07-08 | -0.46 | 2 |
| 2021-08-06 | 2021-08-10 | -0.33 | 4 |
| 2021-07-09 | 2021-07-12 | -0.08 | 3 |