| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 55.33% | 54.87% |
| CAGR﹪ | 6.29% | 6.25% |
| Sharpe | 0.01 | -0.03 |
| Prob. Sharpe Ratio | 7.18% | 20.57% |
| Smart Sharpe | 0.01 | -0.02 |
| Sortino | 0.02 | -0.04 |
| Smart Sortino | 0.01 | -0.03 |
| Sortino/√2 | 0.01 | -0.03 |
| Smart Sortino/√2 | 0.01 | -0.02 |
| Omega | 1.0 | 1.0 |
| Max Drawdown | -27.13% | -26.55% |
| Longest DD Days | 1546 | 1546 |
| Volatility (ann.) | 12.18% | 8.81% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.23 | 0.24 |
| Skew | 2.3 | -7.24 |
| Kurtosis | 236.41 | 227.29 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.51% | 0.5% |
| Expected Yearly | 5.66% | 5.62% |
| Kelly Criterion | 7.09% | 11.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.89% |
| Expected Shortfall (cVaR) | -1.23% | -0.89% |
| Max Consecutive Wins | 9 | 16 |
| Max Consecutive Losses | 10 | 15 |
| Gain/Pain Ratio | 0.18 | 0.23 |
| Gain/Pain (1M) | 0.85 | 0.71 |
| Payoff Ratio | 1.06 | 1.04 |
| Profit Factor | 1.18 | 1.23 |
| Common Sense Ratio | 1.39 | 1.49 |
| CPC Index | 0.66 | 0.7 |
| Tail Ratio | 1.18 | 1.22 |
| Outlier Win Ratio | 3.75 | 4.98 |
| Outlier Loss Ratio | 3.57 | 4.53 |
| MTD | 1.41% | 1.28% |
| 3M | 5.64% | 5.32% |
| 6M | 10.69% | 10.51% |
| YTD | 5.02% | 4.85% |
| 1Y | 22.37% | 21.74% |
| 3Y (ann.) | 7.98% | 7.95% |
| 5Y (ann.) | 5.19% | 5.15% |
| 10Y (ann.) | 6.29% | 6.25% |
| All-time (ann.) | 6.29% | 6.25% |
| Best Day | 17.61% | 5.86% |
| Worst Day | -14.34% | -13.79% |
| Best Month | 12.23% | 11.94% |
| Worst Month | -5.81% | -15.22% |
| Best Year | 21.68% | 21.92% |
| Worst Year | -5.45% | -5.68% |
| Avg. Drawdown | -1.25% | -0.95% |
| Avg. Drawdown Days | 37 | 33 |
| Recovery Factor | 2.04 | 2.07 |
| Ulcer Index | 0.05 | 0.05 |
| Serenity Index | 0.74 | 0.54 |
| Avg. Up Month | 2.25% | 2.19% |
| Avg. Down Month | -1.62% | -1.87% |
| Win Days | 52.09% | 54.79% |
| Win Month | 56.32% | 58.62% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 75.0% | 87.5% |
| Beta | 1.08 | - |
| Alpha | -0.0 | - |
| Correlation | 78.19% | - |
| Treynor Ratio | 44.68% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 15.77 | 15.78 | 1.00 | + |
| 2020 | 7.39 | 7.29 | 0.99 | - |
| 2021 | -5.68 | -5.45 | 0.96 | + |
| 2022 | 3.14 | 3.31 | 1.06 | + |
| 2023 | 0.09 | -0.15 | -1.66 | - |
| 2024 | 0.08 | 0.32 | 3.82 | + |
| 2025 | 21.92 | 21.68 | 0.99 | - |
| 2026 | 4.85 | 5.02 | 1.03 | + |
| 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 |