| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -29.77% | -29.98% |
| CAGR﹪ | -7.5% | -7.56% |
| Sharpe | -0.47 | -0.36 |
| Prob. Sharpe Ratio | 0.27% | 0.4% |
| Smart Sharpe | -0.45 | -0.34 |
| Sortino | -0.62 | -0.47 |
| Smart Sortino | -0.59 | -0.44 |
| Sortino/√2 | -0.44 | -0.33 |
| Smart Sortino/√2 | -0.42 | -0.31 |
| Omega | 0.92 | 0.92 |
| Max Drawdown | -51.39% | -51.16% |
| Longest DD Days | 824 | 822 |
| Volatility (ann.) | 24.59% | 28.67% |
| R^2 | 0.64 | 0.64 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.15 | -0.15 |
| Skew | -0.68 | -3.05 |
| Kurtosis | 7.07 | 65.81 |
| Expected Daily | -0.03% | -0.03% |
| Expected Monthly | -0.63% | -0.63% |
| Expected Yearly | -5.72% | -5.77% |
| Kelly Criterion | -1.67% | -3.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.57% | -2.99% |
| Expected Shortfall (cVaR) | -2.57% | -2.99% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 14 | 14 |
| Gain/Pain Ratio | -0.04 | -0.03 |
| Gain/Pain (1M) | -0.13 | -0.09 |
| Payoff Ratio | 0.93 | 0.91 |
| Profit Factor | 0.96 | 0.97 |
| Common Sense Ratio | 0.9 | 0.91 |
| CPC Index | 0.46 | 0.45 |
| Tail Ratio | 0.93 | 0.93 |
| Outlier Win Ratio | 3.73 | 3.58 |
| Outlier Loss Ratio | 3.78 | 3.77 |
| MTD | -4.07% | -3.96% |
| 3M | -16.54% | -16.41% |
| 6M | -12.3% | -12.31% |
| YTD | -13.63% | -13.59% |
| 1Y | -12.63% | -12.77% |
| 3Y (ann.) | -4.95% | -4.96% |
| 5Y (ann.) | -7.5% | -7.56% |
| 10Y (ann.) | -7.5% | -7.56% |
| All-time (ann.) | -7.5% | -7.56% |
| Best Day | 9.26% | 17.29% |
| Worst Day | -12.25% | -28.79% |
| Best Month | 19.98% | 19.94% |
| Worst Month | -20.25% | -23.03% |
| Best Year | 51.32% | 50.81% |
| Worst Year | -39.14% | -38.85% |
| Avg. Drawdown | -8.52% | -6.29% |
| Avg. Drawdown Days | 146 | 107 |
| Recovery Factor | -0.58 | -0.59 |
| Ulcer Index | 0.27 | 0.27 |
| Serenity Index | -0.05 | -0.06 |
| Avg. Up Month | 5.65% | 5.67% |
| Avg. Down Month | -6.63% | -7.09% |
| Win Days | 50.9% | 50.89% |
| Win Month | 49.09% | 54.55% |
| Win Quarter | 36.84% | 36.84% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.68 | - |
| Alpha | -0.02 | - |
| Correlation | 79.81% | - |
| Treynor Ratio | -53.7% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.94 | -0.68 | 0.72 | + |
| 2022 | -38.85 | -39.14 | 1.01 | - |
| 2023 | 50.81 | 51.32 | 1.01 | + |
| 2024 | 0.49 | 0.51 | 1.05 | + |
| 2025 | -11.72 | -11.55 | 0.99 | + |
| 2026 | -13.59 | -13.63 | 1.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-03 | 2024-03-06 | -51.39 | 824 |
| 2024-05-20 | 2026-06-11 | -37.29 | 752 |
| 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 |