| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 16.84% | 53.82% |
| CAGR﹪ | 3.0% | 8.52% |
| Sharpe | 0.25 | 4.39 |
| Prob. Sharpe Ratio | 71.08% | 100.0% |
| Smart Sharpe | 0.23 | 4.17 |
| Sortino | 0.33 | 103.28 |
| Smart Sortino | 0.31 | 98.04 |
| Sortino/√2 | 0.23 | 73.03 |
| Smart Sortino/√2 | 0.22 | 69.32 |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -46.65% | -1.25% |
| Longest DD Days | 908 | 209 |
| Volatility (ann.) | 23.56% | 1.88% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.06 | 6.79 |
| Skew | -1.58 | 20.04 |
| Kurtosis | 21.11 | 412.08 |
| Expected Daily | 0.01% | 0.03% |
| Expected Monthly | 0.24% | 0.68% |
| Expected Yearly | 2.63% | 7.44% |
| Kelly Criterion | 6.06% | 89.77% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.42% | -0.16% |
| Expected Shortfall (cVaR) | -2.42% | -0.16% |
| Max Consecutive Wins | 11 | 742 |
| Max Consecutive Losses | 14 | 65 |
| Gain/Pain Ratio | 0.05 | 25.1 |
| Gain/Pain (1M) | 0.22 | 25.1 |
| Payoff Ratio | 0.99 | 2.01 |
| Profit Factor | 1.05 | 26.1 |
| Common Sense Ratio | 0.95 | 95.6 |
| CPC Index | 0.55 | 48.83 |
| Tail Ratio | 0.9 | 3.66 |
| Outlier Win Ratio | 1.98 | 50.5 |
| Outlier Loss Ratio | 1.91 | 102.99 |
| MTD | 4.02% | 0.46% |
| 3M | 2.08% | 1.4% |
| 6M | 1.81% | 1.91% |
| YTD | -2.55% | 5.75% |
| 1Y | 0.99% | 5.81% |
| 3Y (ann.) | 6.96% | 7.49% |
| 5Y (ann.) | -0.45% | 8.59% |
| 10Y (ann.) | 3.0% | 8.52% |
| All-time (ann.) | 3.0% | 8.52% |
| Best Day | 9.46% | 2.47% |
| Worst Day | -17.25% | -0.02% |
| Best Month | 17.87% | 7.61% |
| Worst Month | -20.75% | -0.52% |
| Best Year | 34.84% | 11.92% |
| Worst Year | -28.61% | 1.93% |
| Avg. Drawdown | -3.97% | -0.57% |
| Avg. Drawdown Days | 61 | 94 |
| Recovery Factor | 0.36 | 42.89 |
| Ulcer Index | 0.21 | 0.0 |
| Serenity Index | 0.03 | 40.36 |
| Avg. Up Month | 4.38% | 0.63% |
| Avg. Down Month | -1.4% | -0.37% |
| Win Days | 53.22% | 93.17% |
| Win Month | 60.94% | 92.19% |
| Win Quarter | 59.09% | 90.91% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.83 | - |
| Alpha | 0.13 | - |
| Correlation | -6.6% | - |
| Treynor Ratio | -20.35% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.93 | 18.25 | 9.48 | + |
| 2021 | 8.39 | 11.86 | 1.41 | + |
| 2022 | 11.92 | -28.61 | -2.40 | - |
| 2023 | 7.42 | 34.84 | 4.70 | + |
| 2024 | 9.51 | -5.84 | -0.61 | - |
| 2025 | 5.75 | -2.55 | -0.44 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2024-04-15 | -46.65 | 908 |
| 2024-05-20 | 2025-12-30 | -34.56 | 589 |
| 2021-06-15 | 2021-08-30 | -5.07 | 76 |
| 2021-01-15 | 2021-03-11 | -4.68 | 55 |
| 2020-09-29 | 2020-11-05 | -4.41 | 37 |
| 2021-09-09 | 2021-10-05 | -3.44 | 26 |
| 2021-04-27 | 2021-06-01 | -2.94 | 35 |
| 2021-03-16 | 2021-03-31 | -2.58 | 15 |
| 2020-12-21 | 2020-12-22 | -1.84 | 1 |
| 2020-11-30 | 2020-12-02 | -1.77 | 2 |