| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 98.0% |
| Cumulative Return | 22.16% | 22.91% |
| CAGR﹪ | 5.67% | 5.85% |
| Sharpe | -0.02 | -0.07 |
| Prob. Sharpe Ratio | 9.59% | 21.69% |
| Smart Sharpe | -0.02 | -0.07 |
| Sortino | -0.03 | -0.11 |
| Smart Sortino | -0.03 | -0.1 |
| Sortino/√2 | -0.02 | -0.07 |
| Smart Sortino/√2 | -0.02 | -0.07 |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -26.1% | -25.59% |
| Longest DD Days | 731 | 731 |
| Volatility (ann.) | 13.69% | 8.77% |
| R^2 | 0.23 | 0.23 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.22 | 0.23 |
| Skew | 6.23 | 1.55 |
| Kurtosis | 163.36 | 106.88 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.45% | 0.46% |
| Expected Yearly | 4.08% | 4.21% |
| Kelly Criterion | 3.69% | 4.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.39% | -0.88% |
| Expected Shortfall (cVaR) | -1.39% | -0.88% |
| Max Consecutive Wins | 8 | 20 |
| Max Consecutive Losses | 10 | 10 |
| Gain/Pain Ratio | 0.14 | 0.22 |
| Gain/Pain (1M) | 0.62 | 0.61 |
| Payoff Ratio | 0.93 | 0.81 |
| Profit Factor | 1.14 | 1.22 |
| Common Sense Ratio | 1.06 | 1.08 |
| CPC Index | 0.57 | 0.56 |
| Tail Ratio | 0.93 | 0.89 |
| Outlier Win Ratio | 4.42 | 7.07 |
| Outlier Loss Ratio | 3.16 | 4.85 |
| MTD | 1.88% | 0.68% |
| 3M | 8.49% | 8.64% |
| 6M | 11.99% | 11.62% |
| YTD | 16.83% | 15.57% |
| 1Y | 15.97% | 15.6% |
| 3Y (ann.) | 2.57% | 2.65% |
| 5Y (ann.) | 5.67% | 5.85% |
| 10Y (ann.) | 5.67% | 5.85% |
| All-time (ann.) | 5.67% | 5.85% |
| Best Day | 16.44% | 8.49% |
| Worst Day | -9.67% | -7.64% |
| Best Month | 19.35% | 14.55% |
| Worst Month | -7.89% | -6.63% |
| Best Year | 17.01% | 17.47% |
| Worst Year | -11.97% | -10.95% |
| Avg. Drawdown | -1.03% | -1.11% |
| Avg. Drawdown Days | 23 | 29 |
| Recovery Factor | 0.85 | 0.9 |
| Ulcer Index | 0.09 | 0.09 |
| Serenity Index | 0.09 | 0.06 |
| Avg. Up Month | 2.41% | 1.78% |
| Avg. Down Month | -2.37% | -2.16% |
| Win Days | 53.48% | 57.19% |
| Win Month | 62.79% | 59.09% |
| Win Quarter | 60.0% | 66.67% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.75 | - |
| Alpha | 0.02 | - |
| Correlation | 47.96% | - |
| Treynor Ratio | 20.26% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.00 | 0.00 | nan | + |
| 2022 | 17.47 | 17.01 | 0.97 | - |
| 2023 | 1.67 | 1.51 | 0.91 | - |
| 2024 | -10.95 | -11.97 | 1.09 | - |
| 2025 | 15.57 | 16.83 | 1.08 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-15 | 2025-08-15 | -26.10 | 731 |
| 2022-01-05 | 2022-04-11 | -11.03 | 96 |
| 2022-06-16 | 2022-07-08 | -1.94 | 22 |
| 2022-07-13 | 2022-10-05 | -1.77 | 84 |
| 2022-05-20 | 2022-06-06 | -1.63 | 17 |
| 2023-01-12 | 2023-02-08 | -0.98 | 27 |
| 2022-10-18 | 2022-12-08 | -0.85 | 51 |
| 2022-10-06 | 2022-10-10 | -0.63 | 4 |
| 2022-05-12 | 2022-05-13 | -0.52 | 1 |
| 2022-04-25 | 2022-04-26 | -0.48 | 1 |