| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -10.94% | -11.34% |
| CAGR﹪ | -3.41% | -3.54% |
| Sharpe | -0.27 | -0.17 |
| Prob. Sharpe Ratio | 2.15% | 2.75% |
| Smart Sharpe | -0.25 | -0.16 |
| Sortino | -0.35 | -0.22 |
| Smart Sortino | -0.33 | -0.21 |
| Sortino/√2 | -0.25 | -0.16 |
| Smart Sortino/√2 | -0.24 | -0.15 |
| Omega | 0.95 | 0.95 |
| Max Drawdown | -51.39% | -51.16% |
| Longest DD Days | 824 | 822 |
| Volatility (ann.) | 25.7% | 30.97% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.07 | -0.07 |
| Skew | -0.88 | -3.34 |
| Kurtosis | 7.81 | 65.87 |
| Expected Daily | -0.01% | -0.01% |
| Expected Monthly | -0.28% | -0.29% |
| Expected Yearly | -2.29% | -2.38% |
| Kelly Criterion | 0.25% | -2.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.66% | -3.2% |
| Expected Shortfall (cVaR) | -2.66% | -3.2% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 9 | 9 |
| Gain/Pain Ratio | -0.0 | 0.01 |
| Gain/Pain (1M) | -0.01 | 0.03 |
| Payoff Ratio | 0.9 | 0.87 |
| Profit Factor | 1.0 | 1.01 |
| Common Sense Ratio | 0.92 | 0.94 |
| CPC Index | 0.47 | 0.46 |
| Tail Ratio | 0.92 | 0.94 |
| Outlier Win Ratio | 3.69 | 3.48 |
| Outlier Loss Ratio | 3.99 | 3.99 |
| MTD | -1.78% | -1.78% |
| 3M | -3.12% | -3.41% |
| 6M | 2.22% | 1.7% |
| YTD | -3.12% | -3.41% |
| 1Y | -16.43% | -16.64% |
| 3Y (ann.) | 10.69% | 10.71% |
| 5Y (ann.) | -3.41% | -3.54% |
| 10Y (ann.) | -3.41% | -3.54% |
| All-time (ann.) | -3.41% | -3.54% |
| 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 | -8.08% | -5.97% |
| Avg. Drawdown Days | 107 | 78 |
| Recovery Factor | -0.21 | -0.22 |
| Ulcer Index | 0.26 | 0.26 |
| Serenity Index | -0.02 | -0.03 |
| Avg. Up Month | 5.97% | 6.06% |
| Avg. Down Month | -7.24% | -7.93% |
| Win Days | 52.83% | 52.18% |
| Win Month | 53.66% | 58.54% |
| Win Quarter | 40.0% | 40.0% |
| Win Year | 40.0% | 40.0% |
| Beta | 0.64 | - |
| Alpha | -0.01 | - |
| Correlation | 76.57% | - |
| Treynor Ratio | -28.22% | - |
| 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 | -3.41 | -3.12 | 0.92 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-03 | 2024-03-06 | -51.39 | 824 |
| 2024-05-20 | 2025-04-02 | -32.47 | 317 |
| 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 |