| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 78.0% | 100.0% |
| Cumulative Return | 24.53% | 36.74% |
| CAGR﹪ | 4.09% | 5.89% |
| Sharpe | -0.02 | 0.12 |
| Prob. Sharpe Ratio | 3.09% | 4.65% |
| Smart Sharpe | -0.02 | 0.11 |
| Sortino | -0.03 | 0.15 |
| Smart Sortino | -0.03 | 0.14 |
| Sortino/√2 | -0.02 | 0.1 |
| Smart Sortino/√2 | -0.02 | 0.1 |
| Omega | 1.0 | 1.0 |
| Max Drawdown | -52.41% | -53.27% |
| Longest DD Days | 1484 | 1215 |
| Volatility (ann.) | 21.19% | 28.26% |
| R^2 | 0.49 | 0.49 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.08 | 0.11 |
| Skew | -1.48 | -3.98 |
| Kurtosis | 22.54 | 102.15 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.33% | 0.47% |
| Expected Yearly | 3.72% | 5.35% |
| Kelly Criterion | 0.03% | -0.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.17% | -2.89% |
| Expected Shortfall (cVaR) | -2.17% | -2.89% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | 0.07 | 0.08 |
| Gain/Pain (1M) | 0.27 | 0.35 |
| Payoff Ratio | 0.86 | 0.81 |
| Profit Factor | 1.07 | 1.08 |
| Common Sense Ratio | 1.02 | 1.04 |
| CPC Index | 0.49 | 0.48 |
| Tail Ratio | 0.96 | 0.96 |
| Outlier Win Ratio | 5.4 | 3.47 |
| Outlier Loss Ratio | 3.7 | 3.51 |
| MTD | 0.0% | 1.58% |
| 3M | 0.0% | -11.29% |
| 6M | 0.0% | -5.0% |
| YTD | 0.0% | -1.3% |
| 1Y | 0.0% | 6.08% |
| 3Y (ann.) | 12.92% | 16.12% |
| 5Y (ann.) | 0.35% | 1.97% |
| 10Y (ann.) | 4.09% | 5.89% |
| All-time (ann.) | 4.09% | 5.89% |
| Best Day | 11.38% | 20.14% |
| Worst Day | -15.34% | -33.2% |
| Best Month | 15.01% | 15.76% |
| Worst Month | -29.84% | -29.79% |
| Best Year | 47.81% | 51.86% |
| Worst Year | -38.05% | -37.8% |
| Avg. Drawdown | -3.25% | -4.13% |
| Avg. Drawdown Days | 54 | 57 |
| Recovery Factor | 0.47 | 0.69 |
| Ulcer Index | 0.24 | 0.23 |
| Serenity Index | 0.02 | 0.05 |
| Avg. Up Month | 5.1% | 5.36% |
| Avg. Down Month | -5.99% | -6.5% |
| Win Days | 53.8% | 54.86% |
| Win Month | 61.11% | 58.21% |
| Win Quarter | 63.16% | 56.52% |
| Win Year | 60.0% | 66.67% |
| Beta | 0.53 | - |
| Alpha | 0.01 | - |
| Correlation | 70.27% | - |
| Treynor Ratio | 33.26% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 25.33 | 23.88 | 0.94 | - |
| 2021 | 15.83 | 14.51 | 0.92 | - |
| 2022 | -37.80 | -38.05 | 1.01 | - |
| 2023 | 51.86 | 47.81 | 0.92 | - |
| 2024 | 1.04 | -4.14 | -3.98 | - |
| 2025 | -1.30 | 0.00 | -0.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-11-13 | -52.41 | 1484 |
| 2020-08-14 | 2020-11-16 | -11.45 | 94 |
| 2021-01-15 | 2021-03-15 | -7.04 | 59 |
| 2021-03-16 | 2021-05-07 | -4.55 | 52 |
| 2021-07-08 | 2021-08-17 | -3.97 | 40 |
| 2020-06-08 | 2020-07-06 | -3.65 | 28 |
| 2020-07-07 | 2020-07-17 | -2.80 | 10 |
| 2020-12-18 | 2020-12-29 | -2.50 | 11 |
| 2021-08-18 | 2021-09-01 | -2.33 | 14 |
| 2020-06-04 | 2020-06-05 | -2.13 | 1 |