| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -31.43% | -29.38% |
| CAGR﹪ | -17.39% | -16.15% |
| Sharpe | -0.93 | -0.89 |
| Prob. Sharpe Ratio | 0.66% | 0.8% |
| Smart Sharpe | -0.87 | -0.84 |
| Sortino | -1.26 | -1.22 |
| Smart Sortino | -1.18 | -1.15 |
| Sortino/√2 | -0.89 | -0.87 |
| Smart Sortino/√2 | -0.84 | -0.81 |
| Omega | 0.85 | 0.85 |
| Max Drawdown | -39.78% | -38.42% |
| Longest DD Days | 543 | 511 |
| Volatility (ann.) | 24.39% | 23.96% |
| R^2 | 0.93 | 0.93 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.44 | -0.42 |
| Skew | 0.19 | 0.38 |
| Kurtosis | 2.98 | 3.05 |
| Expected Daily | -0.07% | -0.07% |
| Expected Monthly | -1.5% | -1.38% |
| Expected Yearly | -11.82% | -10.95% |
| Kelly Criterion | -8.35% | -3.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.59% | -2.54% |
| Expected Shortfall (cVaR) | -2.59% | -2.54% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 9 | 9 |
| Gain/Pain Ratio | -0.11 | -0.1 |
| Gain/Pain (1M) | -0.35 | -0.33 |
| Payoff Ratio | 0.89 | 0.92 |
| Profit Factor | 0.89 | 0.9 |
| Common Sense Ratio | 0.78 | 0.78 |
| CPC Index | 0.39 | 0.42 |
| Tail Ratio | 0.87 | 0.87 |
| Outlier Win Ratio | 3.57 | 3.73 |
| Outlier Loss Ratio | 3.34 | 3.33 |
| MTD | -6.3% | -6.24% |
| 3M | -4.9% | -4.46% |
| 6M | -10.63% | -9.81% |
| YTD | -14.29% | -13.51% |
| 1Y | -12.86% | -11.32% |
| 3Y (ann.) | -17.39% | -16.15% |
| 5Y (ann.) | -17.39% | -16.15% |
| 10Y (ann.) | -17.39% | -16.15% |
| All-time (ann.) | -17.39% | -16.15% |
| Best Day | 8.73% | 9.02% |
| Worst Day | -5.58% | -5.41% |
| Best Month | 13.07% | 13.29% |
| Worst Month | -14.0% | -13.87% |
| Best Year | -8.28% | -7.86% |
| Worst Year | -14.29% | -13.51% |
| Avg. Drawdown | -11.15% | -7.99% |
| Avg. Drawdown Days | 141 | 88 |
| Recovery Factor | -0.79 | -0.76 |
| Ulcer Index | 0.23 | 0.22 |
| Serenity Index | -0.06 | -0.07 |
| Avg. Up Month | 5.26% | 5.35% |
| Avg. Down Month | -6.39% | -6.25% |
| Win Days | 48.91% | 50.3% |
| Win Month | 44.0% | 44.0% |
| Win Quarter | 22.22% | 22.22% |
| Win Year | 0.0% | 0.0% |
| Beta | 0.98 | - |
| Alpha | -0.02 | - |
| Correlation | 96.57% | - |
| Treynor Ratio | -39.11% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | -7.86 | -8.28 | 1.05 | - |
| 2024 | -11.37 | -12.78 | 1.12 | - |
| 2025 | -13.51 | -14.29 | 1.06 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-18 | 2025-10-13 | -39.78 | 543 |
| 2023-10-26 | 2024-03-29 | -14.07 | 155 |
| 2024-04-09 | 2024-04-12 | -0.95 | 3 |
| 2024-04-04 | 2024-04-08 | -0.89 | 4 |
| 2023-10-24 | 2023-10-25 | -0.06 | 1 |