| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | -6.07% | -5.82% |
| CAGR﹪ | -2.64% | -2.53% |
| Sharpe | -0.61 | -0.54 |
| Prob. Sharpe Ratio | 2.93% | 3.27% |
| Smart Sharpe | -0.55 | -0.49 |
| Sortino | -0.86 | -0.77 |
| Smart Sortino | -0.78 | -0.69 |
| Sortino/√2 | -0.61 | -0.54 |
| Smart Sortino/√2 | -0.55 | -0.49 |
| Omega | 0.9 | 0.9 |
| Max Drawdown | -15.24% | -15.99% |
| Longest DD Days | 449 | 449 |
| Volatility (ann.) | 13.81% | 15.1% |
| R^2 | 0.82 | 0.82 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.17 | -0.16 |
| Skew | 0.16 | 0.55 |
| Kurtosis | 2.14 | 8.99 |
| Expected Daily | -0.01% | -0.01% |
| Expected Monthly | -0.22% | -0.21% |
| Expected Yearly | -1.55% | -1.49% |
| Kelly Criterion | -0.89% | -0.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.44% | -1.57% |
| Expected Shortfall (cVaR) | -1.44% | -1.57% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | -0.02 | -0.02 |
| Gain/Pain (1M) | -0.1 | -0.08 |
| Payoff Ratio | 0.97 | 1.0 |
| Profit Factor | 0.98 | 0.98 |
| Common Sense Ratio | 1.0 | 0.93 |
| CPC Index | 0.48 | 0.49 |
| Tail Ratio | 1.02 | 0.95 |
| Outlier Win Ratio | 4.44 | 4.03 |
| Outlier Loss Ratio | 4.05 | 4.34 |
| MTD | -3.27% | -3.77% |
| 3M | -2.43% | -1.48% |
| 6M | -1.28% | -1.25% |
| YTD | -1.47% | -0.22% |
| 1Y | -1.18% | -0.72% |
| 3Y (ann.) | -2.64% | -2.53% |
| 5Y (ann.) | -2.64% | -2.53% |
| 10Y (ann.) | -2.64% | -2.53% |
| All-time (ann.) | -2.64% | -2.53% |
| Best Day | 3.82% | 7.48% |
| Worst Day | -3.41% | -4.74% |
| Best Month | 8.07% | 7.89% |
| Worst Month | -6.81% | -7.36% |
| Best Year | 5.29% | 6.04% |
| Worst Year | -8.52% | -9.81% |
| Avg. Drawdown | -4.21% | -5.09% |
| Avg. Drawdown Days | 75 | 93 |
| Recovery Factor | -0.4 | -0.36 |
| Ulcer Index | 0.1 | 0.1 |
| Serenity Index | -0.07 | -0.08 |
| Avg. Up Month | 2.52% | 2.61% |
| Avg. Down Month | -2.68% | -2.73% |
| Win Days | 50.27% | 49.83% |
| Win Month | 48.28% | 48.28% |
| Win Quarter | 45.45% | 45.45% |
| Win Year | 25.0% | 25.0% |
| Beta | 0.83 | - |
| Alpha | -0.01 | - |
| Correlation | 90.4% | - |
| Treynor Ratio | -15.82% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | -1.31 | -1.03 | 0.78 | + |
| 2024 | 6.04 | 5.29 | 0.87 | - |
| 2025 | -9.81 | -8.52 | 0.87 | + |
| 2026 | -0.22 | -1.47 | 6.77 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-01-15 | 2026-04-09 | -15.24 | 449 |
| 2024-04-18 | 2025-01-03 | -14.50 | 260 |
| 2024-01-09 | 2024-02-22 | -5.38 | 44 |
| 2023-12-25 | 2024-01-03 | -2.79 | 9 |
| 2023-12-07 | 2023-12-21 | -2.62 | 14 |
| 2024-02-26 | 2024-03-15 | -1.85 | 18 |
| 2024-03-18 | 2024-03-22 | -1.10 | 4 |
| 2024-03-26 | 2024-04-09 | -1.00 | 14 |
| 2025-01-06 | 2025-01-13 | -0.98 | 7 |
| 2024-04-11 | 2024-04-16 | -0.45 | 5 |