| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 97.0% |
| Cumulative Return | -37.02% | -35.17% |
| CAGR﹪ | -9.46% | -8.89% |
| Sharpe | -0.54 | -0.4 |
| Prob. Sharpe Ratio | 0.12% | 0.24% |
| Smart Sharpe | -0.5 | -0.37 |
| Sortino | -0.71 | -0.51 |
| Smart Sortino | -0.66 | -0.47 |
| Sortino/√2 | -0.5 | -0.36 |
| Smart Sortino/√2 | -0.47 | -0.34 |
| Omega | 0.91 | 0.91 |
| Max Drawdown | -52.17% | -51.83% |
| Longest DD Days | 824 | 793 |
| Volatility (ann.) | 24.72% | 29.0% |
| R^2 | 0.64 | 0.64 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.18 | -0.17 |
| Skew | -0.66 | -2.78 |
| Kurtosis | 6.65 | 61.31 |
| Expected Daily | -0.04% | -0.04% |
| Expected Monthly | -0.81% | -0.76% |
| Expected Yearly | -7.42% | -6.97% |
| Kelly Criterion | -2.18% | -3.34% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.59% | -3.02% |
| Expected Shortfall (cVaR) | -2.59% | -3.02% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 14 | 14 |
| Gain/Pain Ratio | -0.05 | -0.03 |
| Gain/Pain (1M) | -0.17 | -0.12 |
| Payoff Ratio | 0.91 | 0.89 |
| Profit Factor | 0.95 | 0.97 |
| Common Sense Ratio | 0.87 | 0.92 |
| CPC Index | 0.44 | 0.44 |
| Tail Ratio | 0.91 | 0.95 |
| Outlier Win Ratio | 4.07 | 3.96 |
| Outlier Loss Ratio | 3.78 | 3.68 |
| MTD | -2.98% | -4.0% |
| 3M | -19.37% | -20.01% |
| 6M | -23.36% | -23.89% |
| YTD | -22.55% | -23.15% |
| 1Y | -25.31% | -25.66% |
| 3Y (ann.) | -12.98% | -13.02% |
| 5Y (ann.) | -9.46% | -8.89% |
| 10Y (ann.) | -9.46% | -8.89% |
| All-time (ann.) | -9.46% | -8.89% |
| 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 | -9.87% | -6.61% |
| Avg. Drawdown Days | 151 | 97 |
| Recovery Factor | -0.71 | -0.68 |
| Ulcer Index | 0.28 | 0.27 |
| Serenity Index | -0.05 | -0.06 |
| Avg. Up Month | 5.45% | 5.61% |
| Avg. Down Month | -6.79% | -7.25% |
| Win Days | 51.41% | 51.3% |
| Win Month | 50.0% | 53.57% |
| Win Quarter | 35.0% | 35.0% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.68 | - |
| Alpha | -0.03 | - |
| Correlation | 80.22% | - |
| Treynor Ratio | -64.38% | - |
| 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 | -23.15 | -22.55 | 0.97 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-20 | 2026-07-26 | -52.17 | 797 |
| 2021-12-03 | 2024-03-06 | -51.39 | 824 |
| 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 |