| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 99.0% |
| Cumulative Return | 50.97% | 54.87% |
| CAGR﹪ | 5.97% | 6.36% |
| Sharpe | -0.02 | -0.02 |
| Prob. Sharpe Ratio | 6.11% | 19.62% |
| Smart Sharpe | -0.02 | -0.02 |
| Sortino | -0.03 | -0.03 |
| Smart Sortino | -0.02 | -0.02 |
| Sortino/√2 | -0.02 | -0.02 |
| Smart Sortino/√2 | -0.02 | -0.02 |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -27.13% | -26.91% |
| Longest DD Days | 1546 | 837 |
| Volatility (ann.) | 12.19% | 9.03% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.22 | 0.24 |
| Skew | 2.31 | -7.3 |
| Kurtosis | 236.96 | 206.45 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.48% | 0.51% |
| Expected Yearly | 5.28% | 5.62% |
| Kelly Criterion | 6.41% | 11.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.24% | -0.91% |
| Expected Shortfall (cVaR) | -1.24% | -0.91% |
| Max Consecutive Wins | 9 | 16 |
| Max Consecutive Losses | 10 | 15 |
| Gain/Pain Ratio | 0.17 | 0.22 |
| Gain/Pain (1M) | 0.8 | 0.73 |
| Payoff Ratio | 1.06 | 1.03 |
| Profit Factor | 1.17 | 1.22 |
| Common Sense Ratio | 1.35 | 1.49 |
| CPC Index | 0.64 | 0.69 |
| Tail Ratio | 1.15 | 1.22 |
| Outlier Win Ratio | 3.82 | 4.95 |
| Outlier Loss Ratio | 3.61 | 4.43 |
| MTD | 0.22% | 0.39% |
| 3M | 2.63% | 2.82% |
| 6M | 4.22% | 3.66% |
| YTD | 2.08% | 2.21% |
| 1Y | 17.3% | 18.05% |
| 3Y (ann.) | 7.49% | 7.34% |
| 5Y (ann.) | 4.97% | 5.12% |
| 10Y (ann.) | 5.97% | 6.36% |
| All-time (ann.) | 5.97% | 6.36% |
| Best Day | 17.61% | 4.82% |
| Worst Day | -14.34% | -13.8% |
| Best Month | 12.23% | 8.98% |
| Worst Month | -5.81% | -15.17% |
| Best Year | 21.68% | 23.09% |
| Worst Year | -5.45% | -4.94% |
| Avg. Drawdown | -1.29% | -1.09% |
| Avg. Drawdown Days | 38 | 30 |
| Recovery Factor | 1.88 | 2.04 |
| Ulcer Index | 0.05 | 0.05 |
| Serenity Index | 0.65 | 0.61 |
| Avg. Up Month | 2.24% | 2.19% |
| Avg. Down Month | -1.66% | -1.87% |
| Win Days | 51.83% | 54.94% |
| Win Month | 55.81% | 59.3% |
| Win Quarter | 65.52% | 65.52% |
| Win Year | 75.0% | 75.0% |
| Beta | 1.01 | - |
| Alpha | -0.0 | - |
| Correlation | 74.71% | - |
| Treynor Ratio | 43.62% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.62 | 15.78 | 0.95 | - |
| 2020 | 8.54 | 7.29 | 0.85 | - |
| 2021 | -4.94 | -5.45 | 1.10 | - |
| 2022 | 3.72 | 3.31 | 0.89 | - |
| 2023 | 0.76 | -0.15 | -0.19 | - |
| 2024 | -2.11 | 0.32 | -0.15 | + |
| 2025 | 23.09 | 21.68 | 0.94 | - |
| 2026 | 2.21 | 2.08 | 0.94 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-12-09 | 2025-03-04 | -27.13 | 1546 |
| 2020-02-25 | 2020-04-23 | -10.79 | 58 |
| 2025-03-21 | 2025-06-03 | -5.56 | 74 |
| 2025-09-09 | 2025-11-21 | -5.03 | 73 |
| 2019-05-06 | 2019-06-19 | -3.34 | 44 |
| 2020-06-22 | 2020-11-12 | -2.42 | 143 |
| 2025-08-20 | 2025-09-08 | -1.88 | 19 |
| 2026-01-08 | 2026-02-16 | -1.72 | 39 |
| 2025-12-19 | 2026-01-06 | -1.63 | 18 |
| 2019-02-07 | 2019-03-11 | -1.33 | 32 |