| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 17.8% | 18.14% |
| CAGR﹪ | 5.72% | 5.82% |
| Sharpe | -0.01 | -0.0 |
| Prob. Sharpe Ratio | 12.29% | 12.56% |
| Smart Sharpe | -0.01 | -0.0 |
| Sortino | -0.01 | -0.0 |
| Smart Sortino | -0.01 | -0.0 |
| Sortino/√2 | -0.01 | -0.0 |
| Smart Sortino/√2 | -0.01 | -0.0 |
| Omega | 1.0 | 1.0 |
| Max Drawdown | -27.72% | -27.94% |
| Longest DD Days | 396 | 396 |
| Volatility (ann.) | 15.05% | 15.02% |
| R^2 | 0.81 | 0.81 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.21 | 0.21 |
| Skew | 0.24 | 0.16 |
| Kurtosis | 3.76 | 4.79 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.46% | 0.46% |
| Expected Yearly | 5.61% | 5.71% |
| Kelly Criterion | 3.34% | 3.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.53% | -1.53% |
| Expected Shortfall (cVaR) | -1.53% | -1.53% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 8 | 9 |
| Gain/Pain Ratio | 0.08 | 0.08 |
| Gain/Pain (1M) | 0.4 | 0.4 |
| Payoff Ratio | 0.97 | 0.94 |
| Profit Factor | 1.08 | 1.08 |
| Common Sense Ratio | 1.09 | 1.08 |
| CPC Index | 0.55 | 0.54 |
| Tail Ratio | 1.0 | 0.99 |
| Outlier Win Ratio | 3.73 | 3.74 |
| Outlier Loss Ratio | 3.76 | 3.72 |
| MTD | 1.56% | 2.73% |
| 3M | -2.56% | -2.85% |
| 6M | 2.0% | 2.26% |
| YTD | -18.9% | -18.53% |
| 1Y | -18.27% | -18.66% |
| 3Y (ann.) | 5.16% | 5.33% |
| 5Y (ann.) | 5.72% | 5.82% |
| 10Y (ann.) | 5.72% | 5.82% |
| All-time (ann.) | 5.72% | 5.82% |
| Best Day | 5.06% | 6.46% |
| Worst Day | -4.13% | -4.02% |
| Best Month | 13.51% | 12.86% |
| Worst Month | -9.03% | -9.28% |
| Best Year | 24.53% | 24.58% |
| Worst Year | -18.9% | -18.53% |
| Avg. Drawdown | -3.66% | -2.73% |
| Avg. Drawdown Days | 45 | 35 |
| Recovery Factor | 0.64 | 0.65 |
| Ulcer Index | 0.14 | 0.14 |
| Serenity Index | 0.03 | 0.03 |
| Avg. Up Month | 3.31% | 3.33% |
| Avg. Down Month | -3.55% | -3.59% |
| Win Days | 52.49% | 53.33% |
| Win Month | 58.33% | 61.11% |
| Win Quarter | 58.33% | 58.33% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.9 | - |
| Alpha | 0.01 | - |
| Correlation | 89.79% | - |
| Treynor Ratio | 12.01% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 24.58 | 24.53 | 1.00 | - |
| 2024 | 16.40 | 16.64 | 1.01 | + |
| 2025 | -18.53 | -18.90 | 1.02 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-29 | 2025-12-30 | -27.72 | 396 |
| 2023-10-09 | 2024-09-20 | -17.44 | 347 |
| 2023-04-12 | 2023-06-29 | -7.67 | 78 |
| 2023-08-14 | 2023-10-05 | -6.46 | 52 |
| 2024-10-07 | 2024-11-22 | -6.18 | 46 |
| 2023-02-27 | 2023-03-16 | -2.51 | 17 |
| 2024-10-03 | 2024-10-04 | -2.01 | 1 |
| 2024-11-27 | 2024-11-28 | -1.97 | 1 |
| 2023-02-17 | 2023-02-22 | -1.16 | 5 |
| 2023-07-03 | 2023-07-04 | -1.16 | 1 |