| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 98.0% |
| Cumulative Return | -29.49% | -26.85% |
| CAGR﹪ | -7.43% | -6.67% |
| Sharpe | -0.47 | -0.32 |
| Prob. Sharpe Ratio | 0.26% | 0.49% |
| Smart Sharpe | -0.44 | -0.3 |
| Sortino | -0.62 | -0.41 |
| Smart Sortino | -0.59 | -0.39 |
| Sortino/√2 | -0.44 | -0.29 |
| Smart Sortino/√2 | -0.41 | -0.28 |
| Omega | 0.92 | 0.92 |
| Max Drawdown | -51.39% | -50.46% |
| Longest DD Days | 824 | 788 |
| Volatility (ann.) | 24.34% | 28.79% |
| R^2 | 0.63 | 0.63 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.14 | -0.13 |
| Skew | -0.69 | -2.96 |
| Kurtosis | 7.25 | 65.49 |
| Expected Daily | -0.03% | -0.03% |
| Expected Monthly | -0.62% | -0.56% |
| Expected Yearly | -5.66% | -5.08% |
| Kelly Criterion | -1.29% | -2.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.54% | -2.99% |
| Expected Shortfall (cVaR) | -2.54% | -2.99% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 14 | 14 |
| Gain/Pain Ratio | -0.03 | -0.02 |
| Gain/Pain (1M) | -0.12 | -0.07 |
| Payoff Ratio | 0.93 | 0.9 |
| Profit Factor | 0.97 | 0.98 |
| Common Sense Ratio | 0.9 | 0.94 |
| CPC Index | 0.46 | 0.46 |
| Tail Ratio | 0.93 | 0.96 |
| Outlier Win Ratio | 3.8 | 3.66 |
| Outlier Loss Ratio | 3.79 | 3.68 |
| MTD | -3.83% | -3.63% |
| 3M | -16.38% | -16.64% |
| 6M | -11.67% | -11.59% |
| YTD | -13.29% | -13.29% |
| 1Y | -12.84% | -12.94% |
| 3Y (ann.) | -4.28% | -3.93% |
| 5Y (ann.) | -7.43% | -6.67% |
| 10Y (ann.) | -7.43% | -6.67% |
| All-time (ann.) | -7.43% | -6.67% |
| 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 | -8.51% | -5.72% |
| Avg. Drawdown Days | 146 | 94 |
| Recovery Factor | -0.57 | -0.53 |
| Ulcer Index | 0.27 | 0.26 |
| Serenity Index | -0.05 | -0.05 |
| Avg. Up Month | 5.45% | 5.61% |
| Avg. Down Month | -6.64% | -7.08% |
| Win Days | 51.28% | 51.38% |
| Win Month | 50.91% | 54.55% |
| Win Quarter | 36.84% | 36.84% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.67 | - |
| Alpha | -0.03 | - |
| Correlation | 79.34% | - |
| Treynor Ratio | -54.4% | - |
| 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 | -13.29 | -13.29 | 1.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-03 | 2024-03-06 | -51.39 | 824 |
| 2024-05-20 | 2026-06-10 | -37.22 | 751 |
| 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 |