| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 96.0% |
| Cumulative Return | -26.43% | -23.51% |
| CAGR﹪ | -6.05% | -5.3% |
| Sharpe | -0.39 | -0.27 |
| Prob. Sharpe Ratio | 0.27% | 0.48% |
| Smart Sharpe | -0.37 | -0.25 |
| Sortino | -0.52 | -0.35 |
| Smart Sortino | -0.49 | -0.33 |
| Sortino/√2 | -0.37 | -0.25 |
| Smart Sortino/√2 | -0.34 | -0.23 |
| Omega | 0.93 | 0.93 |
| Max Drawdown | -52.17% | -51.83% |
| Longest DD Days | 894 | 890 |
| Volatility (ann.) | 24.66% | 28.75% |
| R^2 | 0.65 | 0.65 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.12 | -0.1 |
| Skew | -0.64 | -2.66 |
| Kurtosis | 6.28 | 59.22 |
| Expected Daily | -0.02% | -0.02% |
| Expected Monthly | -0.51% | -0.45% |
| Expected Yearly | -4.99% | -4.37% |
| Kelly Criterion | -0.66% | -1.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.57% | -2.98% |
| Expected Shortfall (cVaR) | -2.57% | -2.98% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 14 | 14 |
| Gain/Pain Ratio | -0.02 | -0.01 |
| Gain/Pain (1M) | -0.08 | -0.03 |
| Payoff Ratio | 0.92 | 0.9 |
| Profit Factor | 0.98 | 0.99 |
| Common Sense Ratio | 0.91 | 0.97 |
| CPC Index | 0.47 | 0.46 |
| Tail Ratio | 0.93 | 0.98 |
| Outlier Win Ratio | 3.97 | 3.93 |
| Outlier Loss Ratio | 3.74 | 3.6 |
| MTD | 9.29% | 9.16% |
| 3M | 12.57% | 12.47% |
| 6M | -1.34% | -1.66% |
| YTD | -9.52% | -9.33% |
| 1Y | -3.25% | -3.1% |
| 3Y (ann.) | -7.05% | -6.56% |
| 5Y (ann.) | -6.05% | -5.3% |
| 10Y (ann.) | -6.05% | -5.3% |
| All-time (ann.) | -6.05% | -5.3% |
| 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 | 159 | 103 |
| Recovery Factor | -0.51 | -0.45 |
| Ulcer Index | 0.29 | 0.28 |
| Serenity Index | -0.04 | -0.04 |
| Avg. Up Month | 5.36% | 5.49% |
| Avg. Down Month | -6.7% | -7.1% |
| Win Days | 51.87% | 51.79% |
| Win Month | 52.54% | 55.93% |
| Win Quarter | 42.86% | 42.86% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.69 | - |
| Alpha | -0.02 | - |
| Correlation | 80.53% | - |
| Treynor Ratio | -48.38% | - |
| 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 | -9.33 | -9.52 | 1.02 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-20 | 2026-10-31 | -52.17 | 894 |
| 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 |