| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -19.4% | -16.37% |
| CAGR﹪ | -5.41% | -4.5% |
| Sharpe | -0.35 | -0.21 |
| Prob. Sharpe Ratio | 0.92% | 1.56% |
| Smart Sharpe | -0.33 | -0.2 |
| Sortino | -0.47 | -0.27 |
| Smart Sortino | -0.44 | -0.25 |
| Sortino/√2 | -0.33 | -0.19 |
| Smart Sortino/√2 | -0.31 | -0.18 |
| Omega | 0.94 | 0.94 |
| Max Drawdown | -51.39% | -50.46% |
| Longest DD Days | 824 | 788 |
| Volatility (ann.) | 25.63% | 30.74% |
| R^2 | 0.62 | 0.62 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.11 | -0.09 |
| Skew | -0.7 | -2.91 |
| Kurtosis | 6.84 | 59.89 |
| Expected Daily | -0.02% | -0.02% |
| Expected Monthly | -0.45% | -0.37% |
| Expected Yearly | -4.22% | -3.51% |
| Kelly Criterion | -1.09% | -1.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.66% | -3.18% |
| Expected Shortfall (cVaR) | -2.66% | -3.18% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 14 | 14 |
| Gain/Pain Ratio | -0.02 | 0.0 |
| Gain/Pain (1M) | -0.06 | 0.01 |
| Payoff Ratio | 0.91 | 0.88 |
| Profit Factor | 0.98 | 1.0 |
| Common Sense Ratio | 0.92 | 1.02 |
| CPC Index | 0.46 | 0.46 |
| Tail Ratio | 0.94 | 1.02 |
| Outlier Win Ratio | 3.93 | 3.69 |
| Outlier Loss Ratio | 3.72 | 3.61 |
| MTD | 0.66% | 0.57% |
| 3M | -4.03% | -4.21% |
| 6M | -6.45% | -6.21% |
| YTD | -12.34% | -11.97% |
| 1Y | -6.07% | -5.38% |
| 3Y (ann.) | 9.59% | 10.34% |
| 5Y (ann.) | -5.41% | -4.5% |
| 10Y (ann.) | -5.41% | -4.5% |
| All-time (ann.) | -5.41% | -4.5% |
| Best Day | 9.26% | 17.62% |
| Worst Day | -12.25% | -29.0% |
| Best Month | 19.98% | 20.47% |
| Worst Month | -20.25% | -22.97% |
| Best Year | 51.32% | 51.24% |
| Worst Year | -39.14% | -37.11% |
| Avg. Drawdown | -8.12% | -5.49% |
| Avg. Drawdown Days | 125 | 81 |
| Recovery Factor | -0.38 | -0.32 |
| Ulcer Index | 0.26 | 0.26 |
| Serenity Index | -0.04 | -0.04 |
| Avg. Up Month | 5.63% | 5.83% |
| Avg. Down Month | -7.08% | -7.66% |
| Win Days | 51.89% | 52.23% |
| Win Month | 53.19% | 57.45% |
| Win Quarter | 41.18% | 41.18% |
| Win Year | 40.0% | 40.0% |
| Beta | 0.66 | - |
| Alpha | -0.03 | - |
| Correlation | 78.78% | - |
| Treynor Ratio | -40.21% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.98 | -0.68 | 0.69 | + |
| 2022 | -37.11 | -39.14 | 1.05 | - |
| 2023 | 51.24 | 51.32 | 1.00 | + |
| 2024 | 0.87 | 0.51 | 0.59 | - |
| 2025 | -11.97 | -12.34 | 1.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-03 | 2024-03-06 | -51.39 | 824 |
| 2024-05-20 | 2025-10-17 | -32.92 | 515 |
| 2024-04-23 | 2024-04-29 | -1.77 | 6 |
| 2024-04-05 | 2024-04-10 | -1.03 | 5 |
| 2024-03-14 | 2024-03-20 | -0.89 | 6 |
| 2024-03-22 | 2024-03-25 | -0.41 | 3 |
| 2024-04-30 | 2024-05-07 | -0.37 | 7 |
| 2024-05-15 | 2024-05-16 | -0.27 | 1 |
| 2024-03-07 | 2024-03-11 | -0.17 | 4 |
| 2024-04-11 | 2024-04-12 | -0.06 | 1 |