| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -27.12% | -24.23% |
| CAGR﹪ | -13.24% | -11.71% |
| Sharpe | -0.75 | -0.7 |
| Prob. Sharpe Ratio | 0.92% | 1.18% |
| Smart Sharpe | -0.7 | -0.65 |
| Sortino | -1.03 | -0.97 |
| Smart Sortino | -0.96 | -0.91 |
| Sortino/√2 | -0.72 | -0.68 |
| Smart Sortino/√2 | -0.68 | -0.64 |
| Omega | 0.88 | 0.88 |
| Max Drawdown | -39.78% | -38.42% |
| Longest DD Days | 635 | 603 |
| Volatility (ann.) | 24.0% | 23.52% |
| R^2 | 0.93 | 0.93 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.33 | -0.3 |
| Skew | 0.21 | 0.38 |
| Kurtosis | 3.08 | 3.17 |
| Expected Daily | -0.06% | -0.05% |
| Expected Monthly | -1.12% | -0.99% |
| Expected Yearly | -7.6% | -6.7% |
| Kelly Criterion | -6.26% | -1.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.53% | -2.48% |
| Expected Shortfall (cVaR) | -2.53% | -2.48% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 9 | 9 |
| Gain/Pain Ratio | -0.08 | -0.07 |
| Gain/Pain (1M) | -0.28 | -0.24 |
| Payoff Ratio | 0.93 | 0.95 |
| Profit Factor | 0.92 | 0.93 |
| Common Sense Ratio | 0.83 | 0.8 |
| CPC Index | 0.42 | 0.45 |
| Tail Ratio | 0.9 | 0.86 |
| Outlier Win Ratio | 3.64 | 3.81 |
| Outlier Loss Ratio | 3.34 | 3.36 |
| MTD | -0.96% | -0.37% |
| 3M | 5.95% | 6.98% |
| 6M | 1.09% | 2.5% |
| YTD | -0.96% | -0.37% |
| 1Y | -9.16% | -7.33% |
| 3Y (ann.) | -13.24% | -11.71% |
| 5Y (ann.) | -13.24% | -11.71% |
| 10Y (ann.) | -13.24% | -11.71% |
| All-time (ann.) | -13.24% | -11.71% |
| 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 | -0.96% | -0.37% |
| Worst Year | -12.78% | -11.37% |
| Avg. Drawdown | -11.15% | -7.99% |
| Avg. Drawdown Days | 160 | 100 |
| Recovery Factor | -0.68 | -0.63 |
| Ulcer Index | 0.25 | 0.23 |
| Serenity Index | -0.05 | -0.05 |
| Avg. Up Month | 5.02% | 5.12% |
| Avg. Down Month | -6.04% | -5.87% |
| Win Days | 48.94% | 50.27% |
| Win Month | 46.43% | 46.43% |
| Win Quarter | 30.0% | 30.0% |
| Win Year | 0.0% | 0.0% |
| Beta | 0.99 | - |
| Alpha | -0.02 | - |
| Correlation | 96.6% | - |
| Treynor Ratio | -34.62% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | -7.86 | -8.28 | 1.05 | - |
| 2024 | -11.37 | -12.78 | 1.12 | - |
| 2025 | -6.86 | -8.01 | 1.17 | - |
| 2026 | -0.37 | -0.96 | 2.57 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-18 | 2026-01-13 | -39.78 | 635 |
| 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 |