| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 51.35% | 51.6% |
| CAGR﹪ | 7.58% | 7.62% |
| Sharpe | 0.15 | 0.25 |
| Prob. Sharpe Ratio | 34.53% | 93.46% |
| Smart Sharpe | 0.11 | 0.18 |
| Sortino | 0.22 | 0.36 |
| Smart Sortino | 0.16 | 0.26 |
| Sortino/√2 | 0.15 | 0.26 |
| Smart Sortino/√2 | 0.11 | 0.18 |
| Omega | 1.03 | 1.03 |
| Max Drawdown | -9.84% | -9.53% |
| Longest DD Days | 511 | 528 |
| Volatility (ann.) | 8.65% | 4.25% |
| R^2 | 0.25 | 0.25 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.77 | 0.8 |
| Skew | -0.51 | -0.63 |
| Kurtosis | 10.11 | 56.12 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.6% | 0.6% |
| Expected Yearly | 6.1% | 6.12% |
| Kelly Criterion | 10.45% | 19.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.86% | -0.41% |
| Expected Shortfall (cVaR) | -0.86% | -0.41% |
| Max Consecutive Wins | 10 | 18 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.19 | 0.54 |
| Gain/Pain (1M) | 1.76 | 1.91 |
| Payoff Ratio | 1.14 | 0.98 |
| Profit Factor | 1.19 | 1.54 |
| Common Sense Ratio | 1.31 | 2.08 |
| CPC Index | 0.71 | 0.9 |
| Tail Ratio | 1.1 | 1.35 |
| Outlier Win Ratio | 2.72 | 6.77 |
| Outlier Loss Ratio | 2.41 | 6.31 |
| MTD | 0.46% | 0.35% |
| 3M | 4.51% | 4.62% |
| 6M | 8.24% | 8.27% |
| YTD | 6.98% | 7.13% |
| 1Y | 19.06% | 18.34% |
| 3Y (ann.) | 11.28% | 11.12% |
| 5Y (ann.) | 8.86% | 8.87% |
| 10Y (ann.) | 7.58% | 7.62% |
| All-time (ann.) | 7.58% | 7.62% |
| Best Day | 3.13% | 3.27% |
| Worst Day | -5.57% | -3.93% |
| Best Month | 7.42% | 7.26% |
| Worst Month | -7.25% | -6.05% |
| Best Year | 21.75% | 22.01% |
| Worst Year | -0.8% | -0.74% |
| Avg. Drawdown | -0.84% | -0.47% |
| Avg. Drawdown Days | 16 | 23 |
| Recovery Factor | 5.22 | 5.41 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 4.85 | 3.17 |
| Avg. Up Month | 1.71% | 1.57% |
| Avg. Down Month | -1.26% | -1.21% |
| Win Days | 52.37% | 60.15% |
| Win Month | 62.32% | 69.57% |
| Win Quarter | 65.22% | 69.57% |
| Win Year | 85.71% | 85.71% |
| Beta | 1.01 | - |
| Alpha | 0.0 | - |
| Correlation | 49.68% | - |
| Treynor Ratio | 43.91% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.09 | 0.97 | 0.89 | - |
| 2021 | -0.74 | -0.80 | 1.08 | - |
| 2022 | 7.83 | 8.15 | 1.04 | + |
| 2023 | 1.45 | 3.22 | 2.22 | + |
| 2024 | 5.67 | 3.92 | 0.69 | - |
| 2025 | 22.01 | 21.75 | 0.99 | - |
| 2026 | 7.13 | 6.98 | 0.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-01-11 | 2022-06-06 | -9.84 | 511 |
| 2024-01-03 | 2024-12-20 | -4.77 | 352 |
| 2023-07-11 | 2023-12-29 | -4.50 | 171 |
| 2022-09-19 | 2022-11-16 | -4.26 | 58 |
| 2025-03-19 | 2025-05-29 | -3.18 | 71 |
| 2025-09-09 | 2025-10-30 | -1.88 | 51 |
| 2025-01-22 | 2025-01-30 | -1.51 | 8 |
| 2023-01-09 | 2023-01-31 | -1.50 | 22 |
| 2025-08-25 | 2025-09-08 | -1.48 | 14 |
| 2023-02-02 | 2023-03-07 | -1.46 | 33 |