| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -0.5% | 0.54% |
| CAGR﹪ | -0.12% | 0.13% |
| Sharpe | -0.09 | -0.06 |
| Prob. Sharpe Ratio | 2.61% | 3.13% |
| Smart Sharpe | -0.07 | -0.05 |
| Sortino | -0.12 | -0.08 |
| Smart Sortino | -0.09 | -0.06 |
| Sortino/√2 | -0.08 | -0.05 |
| Smart Sortino/√2 | -0.06 | -0.04 |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -51.95% | -51.37% |
| Longest DD Days | 1218 | 1215 |
| Volatility (ann.) | 29.1% | 29.92% |
| R^2 | 0.76 | 0.76 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.0 | 0.0 |
| Skew | -1.11 | -4.48 |
| Kurtosis | 39.7 | 104.63 |
| Expected Daily | -0.0% | 0.0% |
| Expected Monthly | -0.01% | 0.01% |
| Expected Yearly | -0.1% | 0.11% |
| Kelly Criterion | 0.37% | 2.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.0% | -3.08% |
| Expected Shortfall (cVaR) | -3.0% | -3.08% |
| Max Consecutive Wins | 9 | 12 |
| Max Consecutive Losses | 9 | 8 |
| Gain/Pain Ratio | 0.03 | 0.04 |
| Gain/Pain (1M) | 0.14 | 0.16 |
| Payoff Ratio | 0.91 | 0.9 |
| Profit Factor | 1.03 | 1.04 |
| Common Sense Ratio | 1.03 | 1.02 |
| CPC Index | 0.49 | 0.5 |
| Tail Ratio | 1.0 | 0.98 |
| Outlier Win Ratio | 3.57 | 3.8 |
| Outlier Loss Ratio | 3.87 | 3.97 |
| MTD | 0.23% | 0.82% |
| 3M | -7.73% | -7.36% |
| 6M | 4.39% | 5.83% |
| YTD | 7.82% | 8.28% |
| 1Y | 17.93% | 18.41% |
| 3Y (ann.) | 19.09% | 19.27% |
| 5Y (ann.) | -0.12% | 0.13% |
| 10Y (ann.) | -0.12% | 0.13% |
| All-time (ann.) | -0.12% | 0.13% |
| Best Day | 20.38% | 19.55% |
| Worst Day | -21.92% | -33.06% |
| Best Month | 13.61% | 15.23% |
| Worst Month | -18.68% | -29.7% |
| Best Year | 57.86% | 59.1% |
| Worst Year | -37.05% | -37.05% |
| Avg. Drawdown | -9.05% | -8.53% |
| Avg. Drawdown Days | 165 | 148 |
| Recovery Factor | -0.01 | 0.01 |
| Ulcer Index | 0.24 | 0.24 |
| Serenity Index | -0.01 | -0.01 |
| Avg. Up Month | 4.67% | 4.72% |
| Avg. Down Month | -5.7% | -6.31% |
| Win Days | 52.51% | 53.73% |
| Win Month | 56.86% | 58.82% |
| Win Quarter | 55.56% | 55.56% |
| Win Year | 40.0% | 40.0% |
| Beta | 0.85 | - |
| Alpha | -0.0 | - |
| Correlation | 87.1% | - |
| Treynor Ratio | -8.85% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -3.00 | -3.48 | 1.16 | - |
| 2022 | -37.05 | -37.05 | 1.00 | - |
| 2023 | 59.10 | 57.86 | 0.98 | - |
| 2024 | -4.43 | -3.78 | 0.85 | + |
| 2025 | 8.28 | 7.82 | 0.94 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-02-20 | -51.95 | 1218 |
| 2025-08-12 | 2025-11-06 | -13.29 | 86 |
| 2025-02-25 | 2025-08-05 | -12.79 | 161 |
| 2021-10-06 | 2021-10-08 | -1.00 | 2 |
| 2021-09-28 | 2021-10-05 | -0.92 | 7 |
| 2021-10-15 | 2021-10-19 | -0.64 | 4 |
| 2021-09-24 | 2021-09-27 | -0.57 | 3 |
| 2021-10-12 | 2021-10-14 | -0.27 | 2 |
| 2025-02-21 | 2025-02-24 | -0.02 | 3 |