| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 99.0% |
| Cumulative Return | 22.16% | 21.87% |
| CAGR﹪ | 5.67% | 5.6% |
| Sharpe | -0.01 | -0.05 |
| Prob. Sharpe Ratio | 9.85% | 10.91% |
| Smart Sharpe | -0.01 | -0.05 |
| Sortino | -0.02 | -0.09 |
| Smart Sortino | -0.02 | -0.09 |
| Sortino/√2 | -0.02 | -0.06 |
| Smart Sortino/√2 | -0.02 | -0.06 |
| Omega | 1.0 | 1.0 |
| Max Drawdown | -26.1% | -26.28% |
| Longest DD Days | 731 | 731 |
| Volatility (ann.) | 13.78% | 11.33% |
| R^2 | 0.77 | 0.77 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.22 | 0.21 |
| Skew | 6.19 | 9.89 |
| Kurtosis | 161.16 | 262.26 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.46% | 0.45% |
| Expected Yearly | 4.08% | 4.04% |
| Kelly Criterion | 4.5% | 10.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.4% | -1.15% |
| Expected Shortfall (cVaR) | -1.4% | -1.15% |
| Max Consecutive Wins | 8 | 20 |
| Max Consecutive Losses | 10 | 10 |
| Gain/Pain Ratio | 0.14 | 0.19 |
| Gain/Pain (1M) | 0.62 | 0.6 |
| Payoff Ratio | 0.95 | 0.97 |
| Profit Factor | 1.14 | 1.19 |
| Common Sense Ratio | 1.06 | 1.11 |
| CPC Index | 0.58 | 0.65 |
| Tail Ratio | 0.93 | 0.93 |
| Outlier Win Ratio | 4.41 | 6.35 |
| Outlier Loss Ratio | 3.61 | 5.06 |
| MTD | 1.88% | 1.19% |
| 3M | 8.49% | 8.95% |
| 6M | 11.99% | 12.81% |
| YTD | 16.83% | 16.07% |
| 1Y | 15.97% | 15.44% |
| 3Y (ann.) | 2.57% | 2.51% |
| 5Y (ann.) | 5.67% | 5.6% |
| 10Y (ann.) | 5.67% | 5.6% |
| All-time (ann.) | 5.67% | 5.6% |
| Best Day | 16.44% | 15.47% |
| Worst Day | -9.67% | -7.64% |
| Best Month | 19.35% | 18.6% |
| Worst Month | -7.89% | -6.67% |
| Best Year | 17.01% | 16.81% |
| Worst Year | -11.97% | -11.37% |
| Avg. Drawdown | -1.03% | -1.18% |
| Avg. Drawdown Days | 23 | 30 |
| Recovery Factor | 0.85 | 0.83 |
| Ulcer Index | 0.09 | 0.09 |
| Serenity Index | 0.09 | 0.07 |
| Avg. Up Month | 2.41% | 2.38% |
| Avg. Down Month | -2.37% | -2.21% |
| Win Days | 53.48% | 56.0% |
| Win Month | 62.79% | 58.14% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 75.0% | 75.0% |
| Beta | 1.07 | - |
| Alpha | -0.0 | - |
| Correlation | 88.03% | - |
| Treynor Ratio | 14.16% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.00 | 0.00 | nan | + |
| 2022 | 16.81 | 17.01 | 1.01 | + |
| 2023 | 1.42 | 1.51 | 1.07 | + |
| 2024 | -11.37 | -11.97 | 1.05 | - |
| 2025 | 16.07 | 16.83 | 1.05 | + |
| 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 |