| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 13.2% | 12.89% |
| CAGR﹪ | 3.73% | 3.64% |
| Sharpe | -0.13 | -0.14 |
| Prob. Sharpe Ratio | 7.05% | 6.97% |
| Smart Sharpe | -0.12 | -0.13 |
| Sortino | -0.18 | -0.19 |
| Smart Sortino | -0.18 | -0.19 |
| Sortino/√2 | -0.13 | -0.13 |
| Smart Sortino/√2 | -0.12 | -0.13 |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -29.12% | -29.33% |
| Longest DD Days | 557 | 557 |
| Volatility (ann.) | 15.34% | 15.14% |
| R^2 | 0.82 | 0.82 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.13 | 0.12 |
| Skew | 0.16 | 0.12 |
| Kurtosis | 3.39 | 4.19 |
| Expected Daily | 0.01% | 0.01% |
| Expected Monthly | 0.3% | 0.29% |
| Expected Yearly | 3.15% | 3.08% |
| Kelly Criterion | 2.04% | 2.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.57% | -1.55% |
| Expected Shortfall (cVaR) | -1.57% | -1.55% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 8 | 9 |
| Gain/Pain Ratio | 0.06 | 0.06 |
| Gain/Pain (1M) | 0.26 | 0.25 |
| Payoff Ratio | 0.99 | 0.96 |
| Profit Factor | 1.06 | 1.06 |
| Common Sense Ratio | 1.08 | 1.07 |
| CPC Index | 0.54 | 0.53 |
| Tail Ratio | 1.02 | 1.01 |
| Outlier Win Ratio | 3.63 | 3.69 |
| Outlier Loss Ratio | 3.72 | 3.67 |
| MTD | 1.24% | 0.85% |
| 3M | -6.34% | -6.4% |
| 6M | -0.51% | -0.5% |
| YTD | -3.9% | -4.45% |
| 1Y | -2.59% | -2.96% |
| 3Y (ann.) | -3.2% | -3.26% |
| 5Y (ann.) | 3.73% | 3.64% |
| 10Y (ann.) | 3.73% | 3.64% |
| All-time (ann.) | 3.73% | 3.64% |
| Best Day | 5.06% | 6.46% |
| Worst Day | -4.23% | -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 | -3.72% | -2.78% |
| Avg. Drawdown Days | 52 | 40 |
| Recovery Factor | 0.45 | 0.44 |
| Ulcer Index | 0.16 | 0.16 |
| Serenity Index | 0.01 | 0.01 |
| Avg. Up Month | 3.34% | 3.38% |
| Avg. Down Month | -3.75% | -3.84% |
| Win Days | 51.18% | 52.39% |
| Win Month | 57.14% | 59.52% |
| Win Quarter | 57.14% | 57.14% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.92 | - |
| Alpha | 0.01 | - |
| Correlation | 90.37% | - |
| Treynor Ratio | 6.78% | - |
| 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 | - |
| 2026 | -4.45 | -3.90 | 0.88 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-11-29 | 2026-06-09 | -29.12 | 557 |
| 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 |