| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 30.48% | -19.32% |
| CAGR﹪ | 3.46% | -2.71% |
| Sharpe | -0.04 | -0.23 |
| Prob. Sharpe Ratio | 1.01% | 0.14% |
| Smart Sharpe | -0.04 | -0.22 |
| Sortino | -0.05 | -0.3 |
| Smart Sortino | -0.05 | -0.29 |
| Sortino/√2 | -0.03 | -0.21 |
| Smart Sortino/√2 | -0.03 | -0.2 |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -54.18% | -55.29% |
| Longest DD Days | 1730 | 1730 |
| Volatility (ann.) | 22.27% | 25.91% |
| R^2 | 0.73 | 0.73 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.06 | -0.05 |
| Skew | -1.19 | -3.69 |
| Kurtosis | 13.37 | 103.59 |
| Expected Daily | 0.01% | -0.01% |
| Expected Monthly | 0.28% | -0.23% |
| Expected Yearly | 3.0% | -2.36% |
| Kelly Criterion | 2.54% | -1.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.28% | -2.68% |
| Expected Shortfall (cVaR) | -2.28% | -2.68% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 16 | 14 |
| Gain/Pain Ratio | 0.05 | 0.01 |
| Gain/Pain (1M) | 0.22 | 0.03 |
| Payoff Ratio | 0.89 | 0.85 |
| Profit Factor | 1.05 | 1.01 |
| Common Sense Ratio | 0.99 | 0.91 |
| CPC Index | 0.51 | 0.45 |
| Tail Ratio | 0.94 | 0.9 |
| Outlier Win Ratio | 3.74 | 3.65 |
| Outlier Loss Ratio | 3.97 | 3.88 |
| MTD | -15.53% | -16.6% |
| 3M | -26.66% | -28.55% |
| 6M | -26.54% | -28.36% |
| YTD | -26.29% | -29.21% |
| 1Y | -24.12% | -29.48% |
| 3Y (ann.) | -7.86% | -14.08% |
| 5Y (ann.) | -7.12% | -13.05% |
| 10Y (ann.) | 3.46% | -2.71% |
| All-time (ann.) | 3.46% | -2.71% |
| Best Day | 8.98% | 20.04% |
| Worst Day | -14.14% | -33.28% |
| Best Month | 15.26% | 15.5% |
| Worst Month | -26.92% | -30.02% |
| Best Year | 52.03% | 43.87% |
| Worst Year | -38.96% | -43.12% |
| Avg. Drawdown | -2.96% | -3.89% |
| Avg. Drawdown Days | 46 | 63 |
| Recovery Factor | 0.56 | -0.35 |
| Ulcer Index | 0.21 | 0.28 |
| Serenity Index | 0.04 | -0.03 |
| Avg. Up Month | 4.54% | 4.19% |
| Avg. Down Month | -5.81% | -6.45% |
| Win Days | 53.98% | 53.21% |
| Win Month | 61.05% | 60.0% |
| Win Quarter | 63.64% | 57.58% |
| Win Year | 66.67% | 44.44% |
| Beta | 0.74 | - |
| Alpha | 0.05 | - |
| Correlation | 85.68% | - |
| Treynor Ratio | 31.88% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | -2.39 | -1.17 | 0.49 | + |
| 2019 | 28.55 | 37.44 | 1.31 | + |
| 2020 | 7.98 | 13.38 | 1.68 | + |
| 2021 | 15.15 | 19.85 | 1.31 | + |
| 2022 | -43.12 | -38.96 | 0.90 | + |
| 2023 | 43.87 | 52.03 | 1.19 | + |
| 2024 | -6.97 | 1.06 | -0.15 | + |
| 2025 | -4.04 | 2.26 | -0.56 | + |
| 2026 | -29.21 | -26.29 | 0.90 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2026-07-17 | -54.18 | 1730 |
| 2020-01-21 | 2020-11-18 | -34.16 | 302 |
| 2018-10-04 | 2019-01-21 | -7.56 | 109 |
| 2021-01-15 | 2021-03-11 | -6.27 | 55 |
| 2019-07-05 | 2019-09-03 | -5.61 | 60 |
| 2019-11-08 | 2019-12-18 | -4.72 | 40 |
| 2019-09-17 | 2019-10-23 | -4.54 | 36 |
| 2021-07-08 | 2021-08-10 | -4.16 | 33 |
| 2019-02-06 | 2019-04-09 | -4.00 | 62 |
| 2021-03-16 | 2021-04-16 | -3.86 | 31 |