| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 30.0% | 99.0% |
| Cumulative Return | 21.91% | 71.62% |
| CAGR﹪ | 4.05% | 11.44% |
| Sharpe | -0.13 | 0.28 |
| Prob. Sharpe Ratio | 4.44% | 8.78% |
| Smart Sharpe | -0.12 | 0.27 |
| Sortino | -0.18 | 0.4 |
| Smart Sortino | -0.17 | 0.38 |
| Sortino/√2 | -0.13 | 0.28 |
| Smart Sortino/√2 | -0.12 | 0.27 |
| Omega | 0.96 | 0.96 |
| Max Drawdown | -22.2% | -45.71% |
| Longest DD Days | 1373 | 793 |
| Volatility (ann.) | 14.07% | 29.89% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.18 | 0.25 |
| Skew | -0.06 | 0.25 |
| Kurtosis | 11.88 | 4.36 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.33% | 0.9% |
| Expected Yearly | 3.36% | 9.42% |
| Kelly Criterion | 8.8% | -1.66% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.44% | -3.04% |
| Expected Shortfall (cVaR) | -1.44% | -3.04% |
| Max Consecutive Wins | 8 | 9 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.11 | 0.09 |
| Gain/Pain (1M) | 0.87 | 0.61 |
| Payoff Ratio | 0.85 | 0.88 |
| Profit Factor | 1.11 | 1.09 |
| Common Sense Ratio | 1.05 | 1.02 |
| CPC Index | 0.55 | 0.5 |
| Tail Ratio | 0.94 | 0.94 |
| Outlier Win Ratio | 17.17 | 2.74 |
| Outlier Loss Ratio | 2.92 | 2.9 |
| MTD | 0.0% | -0.46% |
| 3M | 0.0% | 11.2% |
| 6M | 0.0% | 10.3% |
| YTD | 0.0% | 13.31% |
| 1Y | 0.0% | 11.16% |
| 3Y (ann.) | 0.0% | 26.67% |
| 5Y (ann.) | 5.63% | 13.43% |
| 10Y (ann.) | 4.05% | 11.44% |
| All-time (ann.) | 4.05% | 11.44% |
| Best Day | 6.51% | 15.07% |
| Worst Day | -5.82% | -7.56% |
| Best Month | 12.06% | 16.3% |
| Worst Month | -11.98% | -14.64% |
| Best Year | 28.38% | 66.7% |
| Worst Year | -16.19% | -39.93% |
| Avg. Drawdown | -4.71% | -5.51% |
| Avg. Drawdown Days | 83 | 48 |
| Recovery Factor | 0.99 | 1.57 |
| Ulcer Index | 0.16 | 0.18 |
| Serenity Index | 0.03 | 0.19 |
| Avg. Up Month | 4.75% | 4.57% |
| Avg. Down Month | -4.23% | -3.94% |
| Win Days | 58.22% | 52.52% |
| Win Month | 61.11% | 58.33% |
| Win Quarter | 57.14% | 52.38% |
| Win Year | 66.67% | 83.33% |
| Beta | 0.14 | - |
| Alpha | 0.03 | - |
| Correlation | 29.5% | - |
| Treynor Ratio | 107.34% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 11.20 | 13.31 | 1.19 | + |
| 2021 | 26.98 | 28.38 | 1.05 | + |
| 2022 | -39.93 | -16.19 | 0.41 | + |
| 2023 | 66.70 | 0.00 | 0.00 | - |
| 2024 | 7.13 | 0.00 | 0.00 | - |
| 2025 | 13.31 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-22 | 2025-08-26 | -22.20 | 1373 |
| 2021-02-17 | 2021-06-25 | -14.27 | 128 |
| 2021-09-07 | 2021-11-02 | -9.87 | 56 |
| 2020-09-03 | 2020-10-12 | -9.32 | 39 |
| 2020-10-14 | 2020-11-06 | -9.05 | 23 |
| 2020-11-10 | 2020-11-27 | -5.82 | 17 |
| 2021-01-21 | 2021-02-08 | -4.98 | 18 |
| 2021-07-01 | 2021-07-23 | -3.67 | 22 |
| 2021-08-06 | 2021-08-27 | -3.53 | 21 |
| 2021-07-27 | 2021-07-29 | -2.58 | 2 |