| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 37.49% | 38.42% |
| CAGR﹪ | 6.47% | 6.61% |
| Sharpe | 0.03 | 0.03 |
| Prob. Sharpe Ratio | 24.15% | 81.49% |
| Smart Sharpe | 0.02 | 0.02 |
| Sortino | 0.04 | 0.04 |
| Smart Sortino | 0.03 | 0.03 |
| Sortino/√2 | 0.03 | 0.03 |
| Smart Sortino/√2 | 0.02 | 0.02 |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -9.84% | -9.53% |
| Longest DD Days | 511 | 528 |
| Volatility (ann.) | 8.96% | 4.42% |
| R^2 | 0.25 | 0.25 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.66 | 0.69 |
| Skew | -0.5 | -0.61 |
| Kurtosis | 9.66 | 53.84 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.51% | 0.53% |
| Expected Yearly | 5.45% | 5.57% |
| Kelly Criterion | 9.83% | 16.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.9% | -0.43% |
| Expected Shortfall (cVaR) | -0.9% | -0.43% |
| Max Consecutive Wins | 7 | 18 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.15 | 0.44 |
| Gain/Pain (1M) | 1.36 | 1.49 |
| Payoff Ratio | 1.15 | 0.97 |
| Profit Factor | 1.15 | 1.44 |
| Common Sense Ratio | 1.32 | 1.83 |
| CPC Index | 0.69 | 0.82 |
| Tail Ratio | 1.15 | 1.27 |
| Outlier Win Ratio | 2.74 | 6.94 |
| Outlier Loss Ratio | 2.42 | 6.43 |
| MTD | -0.25% | 0.13% |
| 3M | 1.25% | 2.04% |
| 6M | 11.61% | 12.34% |
| YTD | 18.32% | 19.35% |
| 1Y | 29.0% | 28.86% |
| 3Y (ann.) | 8.52% | 9.02% |
| 5Y (ann.) | 6.5% | 6.66% |
| 10Y (ann.) | 6.47% | 6.61% |
| All-time (ann.) | 6.47% | 6.61% |
| 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 | 18.32% | 19.35% |
| Worst Year | -0.8% | -0.74% |
| Avg. Drawdown | -0.96% | -0.57% |
| Avg. Drawdown Days | 19 | 30 |
| Recovery Factor | 3.81 | 4.03 |
| Ulcer Index | 0.02 | 0.01 |
| Serenity Index | 3.13 | 2.09 |
| Avg. Up Month | 1.85% | 1.67% |
| Avg. Down Month | -1.26% | -1.21% |
| Win Days | 51.86% | 58.95% |
| Win Month | 56.45% | 66.13% |
| Win Quarter | 61.9% | 66.67% |
| Win Year | 83.33% | 83.33% |
| Beta | 1.02 | - |
| Alpha | 0.0 | - |
| Correlation | 50.44% | - |
| Treynor Ratio | 29.8% | - |
| 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 | 19.35 | 18.32 | 0.95 | - |
| 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 |