| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 35.15% | 43.93% |
| CAGR﹪ | 5.76% | 7.0% |
| Sharpe | 0.07 | 0.15 |
| Prob. Sharpe Ratio | 4.24% | 5.74% |
| Smart Sharpe | 0.07 | 0.15 |
| Sortino | 0.1 | 0.19 |
| Smart Sortino | 0.1 | 0.19 |
| Sortino/√2 | 0.07 | 0.14 |
| Smart Sortino/√2 | 0.07 | 0.13 |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -54.41% | -53.53% |
| Longest DD Days | 1555 | 1215 |
| Volatility (ann.) | 24.09% | 28.08% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.11 | 0.13 |
| Skew | -1.41 | -4.13 |
| Kurtosis | 15.49 | 106.81 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.46% | 0.56% |
| Expected Yearly | 4.4% | 5.34% |
| Kelly Criterion | 2.73% | 1.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.46% | -2.87% |
| Expected Shortfall (cVaR) | -2.46% | -2.87% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | 0.07 | 0.09 |
| Gain/Pain (1M) | 0.31 | 0.41 |
| Payoff Ratio | 0.87 | 0.85 |
| Profit Factor | 1.07 | 1.09 |
| Common Sense Ratio | 1.0 | 1.08 |
| CPC Index | 0.51 | 0.51 |
| Tail Ratio | 0.93 | 0.99 |
| Outlier Win Ratio | 4.14 | 3.89 |
| Outlier Loss Ratio | 3.4 | 3.49 |
| MTD | 2.17% | 2.07% |
| 3M | 7.86% | 6.61% |
| 6M | 0.46% | 0.87% |
| YTD | 2.17% | 2.07% |
| 1Y | 2.65% | 1.43% |
| 3Y (ann.) | 16.48% | 17.37% |
| 5Y (ann.) | 2.64% | 3.79% |
| 10Y (ann.) | 5.76% | 7.0% |
| All-time (ann.) | 5.76% | 7.0% |
| Best Day | 8.3% | 20.04% |
| Worst Day | -14.27% | -33.28% |
| Best Month | 15.31% | 15.56% |
| Worst Month | -31.78% | -30.02% |
| Best Year | 51.35% | 53.84% |
| Worst Year | -37.9% | -37.26% |
| Avg. Drawdown | -3.91% | -3.63% |
| Avg. Drawdown Days | 72 | 52 |
| Recovery Factor | 0.65 | 0.82 |
| Ulcer Index | 0.24 | 0.23 |
| Serenity Index | 0.04 | 0.07 |
| Avg. Up Month | 5.33% | 5.47% |
| Avg. Down Month | -5.85% | -5.97% |
| Win Days | 54.62% | 54.79% |
| Win Month | 58.46% | 60.0% |
| Win Quarter | 60.87% | 60.87% |
| Win Year | 85.71% | 85.71% |
| Beta | 0.63 | - |
| Alpha | 0.02 | - |
| Correlation | 74.0% | - |
| Treynor Ratio | 44.35% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 14.65 | 14.03 | 0.96 | - |
| 2021 | 21.79 | 19.78 | 0.91 | - |
| 2022 | -37.26 | -37.90 | 1.02 | - |
| 2023 | 53.84 | 51.35 | 0.95 | - |
| 2024 | 1.64 | 0.16 | 0.10 | - |
| 2025 | 2.94 | 2.87 | 0.98 | - |
| 2026 | 2.07 | 2.17 | 1.05 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2026-01-23 | -54.41 | 1555 |
| 2020-09-16 | 2020-11-09 | -8.35 | 54 |
| 2021-01-12 | 2021-03-12 | -6.17 | 59 |
| 2021-07-08 | 2021-08-10 | -4.35 | 33 |
| 2021-03-16 | 2021-04-22 | -4.01 | 37 |
| 2020-12-18 | 2020-12-30 | -3.10 | 12 |
| 2021-09-16 | 2021-09-27 | -2.59 | 11 |
| 2021-08-18 | 2021-09-01 | -2.39 | 14 |
| 2021-06-15 | 2021-07-01 | -1.97 | 16 |
| 2020-09-08 | 2020-09-14 | -1.64 | 6 |