| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 82.0% | 5.0% |
| Cumulative Return | 59.33% | 73.35% |
| CAGR﹪ | 10.6% | 12.64% |
| Sharpe | 0.34 | 0.63 |
| Prob. Sharpe Ratio | 37.94% | 73.01% |
| Smart Sharpe | 0.28 | 0.51 |
| Sortino | 0.45 | 1.13 |
| Smart Sortino | 0.36 | 0.92 |
| Sortino/√2 | 0.32 | 0.8 |
| Smart Sortino/√2 | 0.25 | 0.65 |
| Omega | 1.12 | 1.12 |
| Max Drawdown | -22.71% | -12.79% |
| Longest DD Days | 358 | 304 |
| Volatility (ann.) | 11.43% | 8.62% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.47 | 0.99 |
| Skew | -5.58 | 1.11 |
| Kurtosis | 290.82 | 110.26 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.82% | 0.97% |
| Expected Yearly | 8.07% | 9.6% |
| Kelly Criterion | 36.85% | 63.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.14% | -0.84% |
| Expected Shortfall (cVaR) | -1.14% | -0.84% |
| Max Consecutive Wins | 13 | 1 |
| Max Consecutive Losses | 9 | 1 |
| Gain/Pain Ratio | 0.36 | 2.57 |
| Gain/Pain (1M) | 2.0 | 2.57 |
| Payoff Ratio | 1.93 | 2.11 |
| Profit Factor | 1.36 | 3.57 |
| Common Sense Ratio | 1.74 | - |
| CPC Index | 1.53 | 5.65 |
| Tail Ratio | 1.28 | - |
| Outlier Win Ratio | 7.4 | 26.51 |
| Outlier Loss Ratio | 1.71 | 0.38 |
| MTD | 0.76% | 0.0% |
| 3M | 4.71% | 5.09% |
| 6M | 6.81% | 10.98% |
| YTD | 3.23% | 5.09% |
| 1Y | 25.2% | 35.03% |
| 3Y (ann.) | 14.3% | 17.52% |
| 5Y (ann.) | 10.6% | 12.64% |
| 10Y (ann.) | 10.6% | 12.64% |
| All-time (ann.) | 10.6% | 12.64% |
| Best Day | 12.33% | 6.3% |
| Worst Day | -16.17% | -8.94% |
| Best Month | 6.64% | 6.3% |
| Worst Month | -10.09% | -8.94% |
| Best Year | 29.17% | 42.83% |
| Worst Year | -0.78% | -0.78% |
| Avg. Drawdown | -0.83% | -3.51% |
| Avg. Drawdown Days | 13 | 96 |
| Recovery Factor | 2.61 | 5.73 |
| Ulcer Index | 0.03 | 0.02 |
| Serenity Index | 2.47 | 3.41 |
| Avg. Up Month | 1.65% | 1.99% |
| Avg. Down Month | -2.57% | -2.34% |
| Win Days | 58.42% | 75.0% |
| Win Month | 73.68% | 74.55% |
| Win Quarter | 84.21% | 84.21% |
| Win Year | 83.33% | 83.33% |
| Beta | 0.03 | - |
| Alpha | 0.1 | - |
| Correlation | 1.9% | - |
| Treynor Ratio | 2079.92% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.78 | -0.78 | 1.00 | - |
| 2022 | 6.74 | 6.14 | 0.91 | - |
| 2023 | 5.66 | 7.60 | 1.34 | + |
| 2024 | 3.20 | 5.45 | 1.71 | + |
| 2025 | 42.83 | 29.17 | 0.68 | - |
| 2026 | 5.09 | 3.23 | 0.63 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-14 | 2022-09-07 | -22.71 | 358 |
| 2022-09-19 | 2022-11-07 | -6.71 | 49 |
| 2024-08-22 | 2024-12-27 | -6.41 | 127 |
| 2023-08-04 | 2023-12-25 | -2.84 | 143 |
| 2024-05-15 | 2024-08-05 | -2.22 | 82 |
| 2025-03-26 | 2025-04-16 | -2.18 | 21 |
| 2025-09-12 | 2025-10-20 | -1.87 | 38 |
| 2023-06-20 | 2023-07-31 | -1.25 | 41 |
| 2023-02-13 | 2023-02-24 | -1.11 | 11 |
| 2025-05-05 | 2025-05-06 | -1.07 | 1 |