| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 98.0% |
| Cumulative Return | -25.77% | -21.53% |
| CAGR﹪ | -5.52% | -4.51% |
| Sharpe | -0.41 | -0.3 |
| Prob. Sharpe Ratio | 0.22% | 0.38% |
| Smart Sharpe | -0.4 | -0.3 |
| Sortino | -0.52 | -0.4 |
| Smart Sortino | -0.52 | -0.4 |
| Sortino/√2 | -0.37 | -0.28 |
| Smart Sortino/√2 | -0.37 | -0.28 |
| Omega | 0.92 | 0.92 |
| Max Drawdown | -46.65% | -46.09% |
| Longest DD Days | 908 | 895 |
| Volatility (ann.) | 23.55% | 25.79% |
| R^2 | 0.73 | 0.73 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.12 | -0.1 |
| Skew | -1.56 | -2.45 |
| Kurtosis | 20.75 | 71.52 |
| Expected Daily | -0.02% | -0.02% |
| Expected Monthly | -0.46% | -0.38% |
| Expected Yearly | -4.85% | -3.96% |
| Kelly Criterion | -2.54% | 0.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.45% | -2.68% |
| Expected Shortfall (cVaR) | -2.45% | -2.68% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 14 | 14 |
| Gain/Pain Ratio | -0.02 | -0.01 |
| Gain/Pain (1M) | -0.09 | -0.04 |
| Payoff Ratio | 0.89 | 0.92 |
| Profit Factor | 0.98 | 0.99 |
| Common Sense Ratio | 0.84 | 0.89 |
| CPC Index | 0.45 | 0.47 |
| Tail Ratio | 0.86 | 0.9 |
| Outlier Win Ratio | 4.0 | 4.05 |
| Outlier Loss Ratio | 3.94 | 3.88 |
| MTD | -4.23% | -3.66% |
| 3M | -17.95% | -17.66% |
| 6M | -18.32% | -17.66% |
| YTD | -18.32% | -17.66% |
| 1Y | -17.98% | -17.18% |
| 3Y (ann.) | -10.66% | -9.63% |
| 5Y (ann.) | -6.77% | -5.7% |
| 10Y (ann.) | -5.52% | -4.51% |
| All-time (ann.) | -5.52% | -4.51% |
| Best Day | 9.46% | 18.75% |
| Worst Day | -17.25% | -27.0% |
| Best Month | 17.87% | 17.01% |
| Worst Month | -20.75% | -21.99% |
| Best Year | 34.84% | 36.84% |
| Worst Year | -28.61% | -27.5% |
| Avg. Drawdown | -6.28% | -5.89% |
| Avg. Drawdown Days | 117 | 109 |
| Recovery Factor | -0.55 | -0.47 |
| Ulcer Index | 0.23 | 0.22 |
| Serenity Index | -0.06 | -0.06 |
| Avg. Up Month | 4.37% | 4.32% |
| Avg. Down Month | -5.73% | -6.03% |
| Win Days | 51.62% | 52.17% |
| Win Month | 53.12% | 57.81% |
| Win Quarter | 45.45% | 45.45% |
| Win Year | 33.33% | 33.33% |
| Beta | 0.78 | - |
| Alpha | -0.02 | - |
| Correlation | 85.64% | - |
| Treynor Ratio | -41.92% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.61 | 2.88 | 0.80 | - |
| 2022 | -27.50 | -28.61 | 1.04 | - |
| 2023 | 36.84 | 34.84 | 0.95 | - |
| 2024 | -5.21 | -5.84 | 1.12 | - |
| 2025 | -2.18 | -2.55 | 1.17 | - |
| 2026 | -17.66 | -18.32 | 1.04 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2024-04-15 | -46.65 | 908 |
| 2024-05-20 | 2026-07-02 | -36.30 | 773 |
| 2021-06-15 | 2021-08-30 | -5.07 | 76 |
| 2021-09-09 | 2021-10-05 | -3.44 | 26 |
| 2021-04-27 | 2021-06-01 | -2.94 | 35 |
| 2024-04-16 | 2024-05-14 | -1.73 | 28 |
| 2021-04-19 | 2021-04-22 | -1.46 | 3 |
| 2021-04-05 | 2021-04-13 | -1.31 | 8 |
| 2021-10-12 | 2021-10-14 | -0.85 | 2 |
| 2021-08-31 | 2021-09-01 | -0.41 | 1 |