| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 5.19% | 5.13% |
| CAGR﹪ | 1.92% | 1.9% |
| Sharpe | -0.21 | -0.21 |
| Prob. Sharpe Ratio | 6.71% | 6.67% |
| Smart Sharpe | -0.19 | -0.2 |
| Sortino | -0.29 | -0.29 |
| Smart Sortino | -0.28 | -0.28 |
| Sortino/√2 | -0.21 | -0.21 |
| Smart Sortino/√2 | -0.19 | -0.19 |
| Omega | 0.96 | 0.96 |
| Max Drawdown | -18.59% | -18.63% |
| Longest DD Days | 489 | 489 |
| Volatility (ann.) | 16.83% | 16.83% |
| R^2 | 0.78 | 0.78 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.1 | 0.1 |
| Skew | 0.19 | 0.27 |
| Kurtosis | 3.04 | 4.86 |
| Expected Daily | 0.01% | 0.01% |
| Expected Monthly | 0.16% | 0.16% |
| Expected Yearly | 1.27% | 1.26% |
| Kelly Criterion | 0.87% | 2.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.73% |
| Expected Shortfall (cVaR) | -1.73% | -1.73% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.04 | 0.04 |
| Gain/Pain (1M) | 0.25 | 0.22 |
| Payoff Ratio | 1.05 | 0.97 |
| Profit Factor | 1.04 | 1.04 |
| Common Sense Ratio | 1.0 | 0.95 |
| CPC Index | 0.53 | 0.53 |
| Tail Ratio | 0.97 | 0.92 |
| Outlier Win Ratio | 3.44 | 3.64 |
| Outlier Loss Ratio | 4.05 | 3.93 |
| MTD | 4.01% | 4.95% |
| 3M | 5.55% | 4.43% |
| 6M | 3.32% | 3.18% |
| YTD | 5.55% | 4.43% |
| 1Y | 6.41% | 6.24% |
| 3Y (ann.) | 1.92% | 1.9% |
| 5Y (ann.) | 1.92% | 1.9% |
| 10Y (ann.) | 1.92% | 1.9% |
| All-time (ann.) | 1.92% | 1.9% |
| Best Day | 6.08% | 7.13% |
| Worst Day | -3.69% | -4.22% |
| Best Month | 10.99% | 9.98% |
| Worst Month | -6.68% | -6.87% |
| Best Year | 17.66% | 15.56% |
| Worst Year | -11.94% | -9.69% |
| Avg. Drawdown | -6.02% | -7.52% |
| Avg. Drawdown Days | 119 | 158 |
| Recovery Factor | 0.28 | 0.28 |
| Ulcer Index | 0.11 | 0.11 |
| Serenity Index | -0.01 | -0.01 |
| Avg. Up Month | 2.57% | 2.8% |
| Avg. Down Month | -2.44% | -2.71% |
| Win Days | 49.33% | 52.08% |
| Win Month | 53.12% | 53.12% |
| Win Quarter | 54.55% | 54.55% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.88 | - |
| Alpha | 0.0 | - |
| Correlation | 88.38% | - |
| Treynor Ratio | -2.04% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | -3.54 | -3.81 | 1.08 | - |
| 2024 | 15.56 | 17.66 | 1.14 | + |
| 2025 | -9.69 | -11.94 | 1.23 | - |
| 2026 | 4.43 | 5.55 | 1.25 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-27 | 2026-03-31 | -18.59 | 489 |
| 2023-10-06 | 2024-10-02 | -18.00 | 362 |
| 2023-08-14 | 2023-10-03 | -6.52 | 50 |
| 2024-10-03 | 2024-11-13 | -2.87 | 41 |
| 2024-11-15 | 2024-11-20 | -1.16 | 5 |
| 2023-08-07 | 2023-08-08 | -0.67 | 1 |
| 2024-11-21 | 2024-11-22 | -0.25 | 1 |
| 2023-08-09 | 2023-08-10 | -0.06 | 1 |