| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -4.37% | -0.35% |
| CAGR﹪ | -0.91% | -0.07% |
| Sharpe | -0.2 | -0.12 |
| Prob. Sharpe Ratio | 1.2% | 1.66% |
| Smart Sharpe | -0.2 | -0.12 |
| Sortino | -0.26 | -0.16 |
| Smart Sortino | -0.26 | -0.16 |
| Sortino/√2 | -0.18 | -0.11 |
| Smart Sortino/√2 | -0.18 | -0.11 |
| Omega | 0.96 | 0.96 |
| Max Drawdown | -46.65% | -46.09% |
| Longest DD Days | 908 | 895 |
| Volatility (ann.) | 24.09% | 26.54% |
| R^2 | 0.73 | 0.73 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.02 | -0.0 |
| Skew | -1.58 | -2.46 |
| Kurtosis | 20.63 | 69.71 |
| Expected Daily | -0.0% | -0.0% |
| Expected Monthly | -0.08% | -0.01% |
| Expected Yearly | -0.74% | -0.06% |
| Kelly Criterion | -0.87% | 1.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.49% | -2.74% |
| Expected Shortfall (cVaR) | -2.49% | -2.74% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 14 | 14 |
| Gain/Pain Ratio | 0.02 | 0.03 |
| Gain/Pain (1M) | 0.07 | 0.13 |
| Payoff Ratio | 0.9 | 0.91 |
| Profit Factor | 1.02 | 1.03 |
| Common Sense Ratio | 0.89 | 0.92 |
| CPC Index | 0.48 | 0.5 |
| Tail Ratio | 0.87 | 0.9 |
| Outlier Win Ratio | 3.95 | 3.91 |
| Outlier Loss Ratio | 3.82 | 3.78 |
| MTD | -1.22% | 0.48% |
| 3M | 10.04% | 9.04% |
| 6M | -1.96% | -2.8% |
| YTD | 5.24% | 4.56% |
| 1Y | -8.99% | -9.18% |
| 3Y (ann.) | 6.04% | 6.69% |
| 5Y (ann.) | -0.91% | -0.07% |
| 10Y (ann.) | -0.91% | -0.07% |
| All-time (ann.) | -0.91% | -0.07% |
| 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 | -6.18% | -5.87% |
| Avg. Drawdown Days | 109 | 102 |
| Recovery Factor | -0.09 | -0.01 |
| Ulcer Index | 0.22 | 0.22 |
| Serenity Index | -0.02 | -0.02 |
| Avg. Up Month | 4.37% | 4.32% |
| Avg. Down Month | -5.92% | -6.35% |
| Win Days | 52.35% | 53.18% |
| Win Month | 57.63% | 62.71% |
| Win Quarter | 55.0% | 55.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.77 | - |
| Alpha | -0.01 | - |
| Correlation | 85.35% | - |
| Treynor Ratio | -14.68% | - |
| 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 | 4.56 | 5.24 | 1.15 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2024-04-15 | -46.65 | 908 |
| 2024-05-20 | 2026-02-28 | -34.56 | 649 |
| 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 |