| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 34.05% | 74.91% |
| CAGR﹪ | 4.27% | 8.3% |
| Sharpe | 0.36 | 28.03 |
| Prob. Sharpe Ratio | 80.11% | - |
| Smart Sharpe | 0.35 | 26.81 |
| Sortino | 0.57 | - |
| Smart Sortino | 0.55 | - |
| Sortino/√2 | 0.41 | - |
| Smart Sortino/√2 | 0.39 | - |
| Omega | 1.09 | 1.09 |
| Max Drawdown | -26.1% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 22.3% | 0.38% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.16 | - |
| Skew | 2.61 | 0.55 |
| Kurtosis | 101.61 | -1.17 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.46% | 0.88% |
| Expected Yearly | 3.73% | 7.24% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.28% | -0.0% |
| Expected Shortfall (cVaR) | -2.28% | -0.0% |
| Max Consecutive Wins | 8 | 1314 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.09 | - |
| Gain/Pain (1M) | 0.55 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.09 | - |
| Common Sense Ratio | 1.1 | - |
| CPC Index | - | - |
| Tail Ratio | 1.01 | 5.08 |
| Outlier Win Ratio | 2.14 | 39.28 |
| Outlier Loss Ratio | 1.93 | - |
| MTD | 1.74% | 0.43% |
| 3M | -2.04% | 3.95% |
| 6M | -3.03% | 7.98% |
| YTD | -2.22% | 1.65% |
| 1Y | -9.16% | 18.7% |
| 3Y (ann.) | 11.89% | 19.11% |
| 5Y (ann.) | 1.04% | 9.33% |
| 10Y (ann.) | 4.27% | 8.3% |
| All-time (ann.) | 4.27% | 8.3% |
| Best Day | 24.17% | 0.1% |
| Worst Day | -19.56% | 0.0% |
| Best Month | 23.84% | 1.83% |
| Worst Month | -17.25% | 0.37% |
| Best Year | 25.78% | 19.38% |
| Worst Year | -17.42% | 1.23% |
| Avg. Drawdown | -4.6% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.3 | - |
| Ulcer Index | 0.09 | 0.0 |
| Serenity Index | 0.3 | - |
| Avg. Up Month | 3.7% | 0.8% |
| Avg. Down Month | - | - |
| Win Days | 49.23% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 43.48% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 1.67 | - |
| Alpha | -0.1 | - |
| Correlation | 2.86% | - |
| Treynor Ratio | 20.4% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 6.50 | 2.65 | 0.41 | - |
| 2020 | 4.97 | 25.78 | 5.19 | + |
| 2021 | 5.82 | -1.34 | -0.23 | - |
| 2022 | 1.36 | -17.42 | -12.77 | - |
| 2023 | 1.23 | 23.84 | 19.39 | + |
| 2024 | 18.74 | 19.40 | 1.04 | + |
| 2025 | 19.38 | -11.86 | -0.61 | - |
| 2026 | 1.65 | -2.22 | -1.35 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-11-03 | 2024-04-10 | -26.10 | 1254 |
| 2025-01-06 | 2026-02-09 | -21.44 | 399 |
| 2024-11-26 | 2025-01-03 | -15.63 | 38 |
| 2024-04-17 | 2024-11-12 | -14.07 | 209 |
| 2020-03-19 | 2020-08-25 | -9.70 | 159 |
| 2019-09-04 | 2020-02-25 | -6.60 | 174 |
| 2020-09-30 | 2020-10-30 | -3.12 | 30 |
| 2020-03-13 | 2020-03-18 | -3.07 | 5 |
| 2019-02-15 | 2019-05-02 | -2.97 | 76 |
| 2019-06-07 | 2019-08-02 | -2.64 | 56 |