| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 97.0% |
| Cumulative Return | 28.45% | 28.6% |
| CAGR﹪ | 7.1% | 7.13% |
| Sharpe | 0.07 | 0.09 |
| Prob. Sharpe Ratio | 31.66% | 87.11% |
| Smart Sharpe | 0.06 | 0.07 |
| Sortino | 0.1 | 0.12 |
| Smart Sortino | 0.07 | 0.09 |
| Sortino/√2 | 0.07 | 0.09 |
| Smart Sortino/√2 | 0.05 | 0.07 |
| Omega | 1.02 | 1.02 |
| Max Drawdown | -13.53% | -6.95% |
| Longest DD Days | 170 | 153 |
| Volatility (ann.) | 9.09% | 3.78% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.52 | 1.03 |
| Skew | -4.65 | -3.78 |
| Kurtosis | 150.41 | 63.45 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.57% | 0.57% |
| Expected Yearly | 5.14% | 5.16% |
| Kelly Criterion | 9.79% | 16.38% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.91% | -0.36% |
| Expected Shortfall (cVaR) | -0.91% | -0.36% |
| Max Consecutive Wins | 14 | 13 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.25 | 0.55 |
| Gain/Pain (1M) | 1.72 | 1.81 |
| Payoff Ratio | 0.98 | 0.99 |
| Profit Factor | 1.25 | 1.55 |
| Common Sense Ratio | 1.3 | 2.11 |
| CPC Index | 0.68 | 0.9 |
| Tail Ratio | 1.04 | 1.36 |
| Outlier Win Ratio | 4.55 | 8.54 |
| Outlier Loss Ratio | 2.77 | 6.05 |
| MTD | -0.27% | -0.36% |
| 3M | 5.16% | 5.28% |
| 6M | 9.25% | 9.11% |
| YTD | 5.51% | 5.58% |
| 1Y | 10.09% | 10.42% |
| 3Y (ann.) | 9.59% | 9.44% |
| 5Y (ann.) | 7.1% | 7.13% |
| 10Y (ann.) | 7.1% | 7.13% |
| All-time (ann.) | 7.1% | 7.13% |
| Best Day | 7.09% | 1.58% |
| Worst Day | -10.42% | -3.51% |
| Best Month | 5.42% | 5.26% |
| Worst Month | -5.9% | -4.98% |
| Best Year | 9.9% | 9.55% |
| Worst Year | 0.79% | 0.81% |
| Avg. Drawdown | -0.68% | -0.33% |
| Avg. Drawdown Days | 13 | 12 |
| Recovery Factor | 2.1 | 4.11 |
| Ulcer Index | 0.01 | 0.01 |
| Serenity Index | 3.49 | 2.09 |
| Avg. Up Month | 1.44% | 1.36% |
| Avg. Down Month | -1.34% | -1.16% |
| Win Days | 55.4% | 58.37% |
| Win Month | 68.18% | 70.45% |
| Win Quarter | 75.0% | 81.25% |
| Win Year | 100.0% | 100.0% |
| Beta | 1.54 | - |
| Alpha | -0.04 | - |
| Correlation | 63.94% | - |
| Treynor Ratio | 13.94% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.81 | 0.79 | 0.97 | - |
| 2022 | 9.55 | 9.90 | 1.04 | + |
| 2023 | 3.96 | 3.85 | 0.97 | - |
| 2024 | 6.08 | 5.83 | 0.96 | - |
| 2025 | 5.58 | 5.51 | 0.99 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-10 | 2022-05-26 | -13.53 | 136 |
| 2022-09-19 | 2022-10-19 | -4.13 | 30 |
| 2023-07-17 | 2024-01-03 | -3.19 | 170 |
| 2024-08-20 | 2024-12-24 | -3.14 | 126 |
| 2023-01-09 | 2023-03-31 | -2.07 | 81 |
| 2024-05-14 | 2024-08-13 | -1.98 | 91 |
| 2022-06-09 | 2022-06-10 | -1.71 | 1 |
| 2021-09-10 | 2021-12-30 | -1.69 | 111 |
| 2022-05-27 | 2022-06-02 | -1.45 | 6 |
| 2022-07-14 | 2022-07-15 | -1.28 | 1 |