| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -15.94% | -12.65% |
| CAGR﹪ | -3.98% | -3.11% |
| Sharpe | -0.31 | -0.18 |
| Prob. Sharpe Ratio | 0.9% | 1.48% |
| Smart Sharpe | -0.29 | -0.17 |
| Sortino | -0.41 | -0.23 |
| Smart Sortino | -0.39 | -0.22 |
| Sortino/√2 | -0.29 | -0.16 |
| Smart Sortino/√2 | -0.27 | -0.16 |
| Omega | 0.95 | 0.95 |
| Max Drawdown | -51.39% | -50.46% |
| Longest DD Days | 824 | 788 |
| Volatility (ann.) | 24.98% | 29.69% |
| R^2 | 0.63 | 0.63 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.08 | -0.06 |
| Skew | -0.7 | -2.94 |
| Kurtosis | 6.97 | 62.57 |
| Expected Daily | -0.02% | -0.01% |
| Expected Monthly | -0.33% | -0.25% |
| Expected Yearly | -2.85% | -2.23% |
| Kelly Criterion | -0.43% | -1.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.59% | -3.07% |
| Expected Shortfall (cVaR) | -2.59% | -3.07% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 14 | 14 |
| Gain/Pain Ratio | -0.01 | 0.01 |
| Gain/Pain (1M) | -0.03 | 0.04 |
| Payoff Ratio | 0.92 | 0.89 |
| Profit Factor | 0.99 | 1.01 |
| Common Sense Ratio | 0.92 | 0.99 |
| CPC Index | 0.47 | 0.47 |
| Tail Ratio | 0.93 | 0.98 |
| Outlier Win Ratio | 3.84 | 3.63 |
| Outlier Loss Ratio | 3.74 | 3.66 |
| MTD | -0.85% | -0.02% |
| 3M | 4.97% | 5.1% |
| 6M | -5.64% | -5.39% |
| YTD | 3.38% | 3.54% |
| 1Y | -14.18% | -13.49% |
| 3Y (ann.) | 6.8% | 7.32% |
| 5Y (ann.) | -3.98% | -3.11% |
| 10Y (ann.) | -3.98% | -3.11% |
| All-time (ann.) | -3.98% | -3.11% |
| 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 | -8.23% | -5.55% |
| Avg. Drawdown Days | 138 | 89 |
| Recovery Factor | -0.31 | -0.25 |
| Ulcer Index | 0.26 | 0.26 |
| Serenity Index | -0.03 | -0.03 |
| Avg. Up Month | 5.45% | 5.61% |
| Avg. Down Month | -6.76% | -7.26% |
| Win Days | 51.82% | 52.21% |
| Win Month | 53.85% | 57.69% |
| Win Quarter | 44.44% | 44.44% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.67 | - |
| Alpha | -0.02 | - |
| Correlation | 79.13% | - |
| Treynor Ratio | -34.44% | - |
| 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 | -11.20 | -11.55 | 1.03 | - |
| 2026 | 3.54 | 3.38 | 0.95 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-03 | 2024-03-06 | -51.39 | 824 |
| 2024-05-20 | 2026-03-11 | -34.08 | 660 |
| 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 |