| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | -30.58% | -28.06% |
| CAGR﹪ | -13.49% | -12.26% |
| Sharpe | -0.8 | -0.77 |
| Prob. Sharpe Ratio | 0.48% | 0.6% |
| Smart Sharpe | -0.75 | -0.72 |
| Sortino | -1.09 | -1.06 |
| Smart Sortino | -1.02 | -0.99 |
| Sortino/√2 | -0.77 | -0.75 |
| Smart Sortino/√2 | -0.72 | -0.7 |
| Omega | 0.87 | 0.87 |
| Max Drawdown | -39.78% | -38.42% |
| Longest DD Days | 741 | 709 |
| Volatility (ann.) | 22.8% | 22.27% |
| R^2 | 0.92 | 0.92 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.34 | -0.32 |
| Skew | 0.2 | 0.38 |
| Kurtosis | 3.52 | 3.7 |
| Expected Daily | -0.06% | -0.05% |
| Expected Monthly | -1.17% | -1.06% |
| Expected Yearly | -8.72% | -7.9% |
| Kelly Criterion | -6.11% | -2.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.41% | -2.35% |
| Expected Shortfall (cVaR) | -2.41% | -2.35% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 9 | 9 |
| Gain/Pain Ratio | -0.08 | -0.08 |
| Gain/Pain (1M) | -0.29 | -0.27 |
| Payoff Ratio | 0.92 | 0.95 |
| Profit Factor | 0.92 | 0.92 |
| Common Sense Ratio | 0.8 | 0.82 |
| CPC Index | 0.41 | 0.44 |
| Tail Ratio | 0.87 | 0.89 |
| Outlier Win Ratio | 3.69 | 3.93 |
| Outlier Loss Ratio | 3.41 | 3.44 |
| MTD | -4.07% | -4.21% |
| 3M | -10.92% | -10.54% |
| 6M | 2.3% | 2.82% |
| YTD | -5.66% | -5.41% |
| 1Y | -12.64% | -11.48% |
| 3Y (ann.) | -13.49% | -12.26% |
| 5Y (ann.) | -13.49% | -12.26% |
| 10Y (ann.) | -13.49% | -12.26% |
| All-time (ann.) | -13.49% | -12.26% |
| 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 | -5.66% | -5.41% |
| Worst Year | -12.78% | -11.37% |
| Avg. Drawdown | -11.15% | -7.99% |
| Avg. Drawdown Days | 181 | 113 |
| Recovery Factor | -0.77 | -0.73 |
| Ulcer Index | 0.26 | 0.24 |
| Serenity Index | -0.05 | -0.05 |
| Avg. Up Month | 5.18% | 5.1% |
| Avg. Down Month | -6.28% | -6.14% |
| Win Days | 49.07% | 50.0% |
| Win Month | 45.16% | 48.39% |
| Win Quarter | 27.27% | 27.27% |
| Win Year | 0.0% | 0.0% |
| Beta | 0.98 | - |
| Alpha | -0.01 | - |
| Correlation | 96.01% | - |
| Treynor Ratio | -38.22% | - |
| 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 | -5.41 | -5.66 | 1.05 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-18 | 2026-04-29 | -39.78 | 741 |
| 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 |