| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 46.5% | 50.15% |
| CAGR﹪ | 5.74% | 6.13% |
| Sharpe | -0.03 | -0.04 |
| Prob. Sharpe Ratio | 5.78% | 18.08% |
| Smart Sharpe | -0.03 | -0.03 |
| Sortino | -0.05 | -0.05 |
| Smart Sortino | -0.04 | -0.04 |
| Sortino/√2 | -0.03 | -0.04 |
| Smart Sortino/√2 | -0.03 | -0.03 |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -27.13% | -26.91% |
| Longest DD Days | 1546 | 837 |
| Volatility (ann.) | 12.41% | 9.19% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.21 | 0.23 |
| Skew | 2.28 | -7.24 |
| Kurtosis | 230.12 | 201.19 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.46% | 0.49% |
| Expected Yearly | 5.61% | 5.98% |
| Kelly Criterion | 5.88% | 10.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -0.93% |
| Expected Shortfall (cVaR) | -1.26% | -0.93% |
| Max Consecutive Wins | 9 | 16 |
| Max Consecutive Losses | 10 | 15 |
| Gain/Pain Ratio | 0.16 | 0.21 |
| Gain/Pain (1M) | 0.75 | 0.68 |
| Payoff Ratio | 1.05 | 1.02 |
| Profit Factor | 1.16 | 1.21 |
| Common Sense Ratio | 1.36 | 1.48 |
| CPC Index | 0.63 | 0.68 |
| Tail Ratio | 1.17 | 1.22 |
| Outlier Win Ratio | 3.96 | 5.12 |
| Outlier Loss Ratio | 3.62 | 4.44 |
| MTD | 1.2% | 1.03% |
| 3M | 0.79% | 0.2% |
| 6M | 10.24% | 10.69% |
| YTD | 20.53% | 21.97% |
| 1Y | 34.88% | 32.38% |
| 3Y (ann.) | 6.45% | 6.31% |
| 5Y (ann.) | 3.36% | 3.49% |
| 10Y (ann.) | 5.74% | 6.13% |
| All-time (ann.) | 5.74% | 6.13% |
| 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 | 20.53% | 21.97% |
| Worst Year | -5.45% | -4.94% |
| Avg. Drawdown | -1.33% | -1.13% |
| Avg. Drawdown Days | 40 | 32 |
| Recovery Factor | 1.71 | 1.86 |
| Ulcer Index | 0.05 | 0.05 |
| Serenity Index | 0.57 | 0.54 |
| Avg. Up Month | 2.27% | 2.22% |
| Avg. Down Month | -1.7% | -1.92% |
| Win Days | 51.82% | 55.09% |
| Win Month | 55.42% | 59.04% |
| Win Quarter | 64.29% | 64.29% |
| Win Year | 71.43% | 71.43% |
| Beta | 1.01 | - |
| Alpha | -0.0 | - |
| Correlation | 74.64% | - |
| Treynor Ratio | 39.19% | - |
| 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 | 21.97 | 20.53 | 0.93 | - |
| 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 |
| 2019-02-07 | 2019-03-11 | -1.33 | 32 |
| 2025-06-05 | 2025-06-11 | -1.21 | 6 |
| 2019-03-22 | 2019-04-15 | -1.15 | 24 |