| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 32.69% | 41.87% |
| CAGR﹪ | 5.15% | 6.41% |
| Sharpe | 0.05 | 0.13 |
| Prob. Sharpe Ratio | 3.45% | 4.85% |
| Smart Sharpe | 0.05 | 0.12 |
| Sortino | 0.06 | 0.16 |
| Smart Sortino | 0.06 | 0.16 |
| Sortino/√2 | 0.04 | 0.12 |
| Smart Sortino/√2 | 0.04 | 0.11 |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -54.41% | -53.53% |
| Longest DD Days | 1646 | 1215 |
| Volatility (ann.) | 23.64% | 27.53% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.09 | 0.12 |
| Skew | -1.42 | -4.18 |
| Kurtosis | 16.03 | 110.47 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.42% | 0.52% |
| Expected Yearly | 4.12% | 5.12% |
| Kelly Criterion | 2.33% | 1.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.42% | -2.81% |
| Expected Shortfall (cVaR) | -2.42% | -2.81% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | 0.07 | 0.09 |
| Gain/Pain (1M) | 0.29 | 0.4 |
| Payoff Ratio | 0.88 | 0.85 |
| Profit Factor | 1.07 | 1.09 |
| Common Sense Ratio | 1.02 | 1.07 |
| CPC Index | 0.51 | 0.5 |
| Tail Ratio | 0.96 | 0.98 |
| Outlier Win Ratio | 4.14 | 3.88 |
| Outlier Loss Ratio | 3.46 | 3.55 |
| MTD | -1.22% | -1.4% |
| 3M | -1.82% | -1.43% |
| 6M | 7.12% | 8.45% |
| YTD | 0.31% | 0.61% |
| 1Y | 0.78% | 0.98% |
| 3Y (ann.) | 7.93% | 9.07% |
| 5Y (ann.) | 0.74% | 1.87% |
| 10Y (ann.) | 5.15% | 6.41% |
| All-time (ann.) | 5.15% | 6.41% |
| 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 | 75 | 54 |
| Recovery Factor | 0.6 | 0.78 |
| Ulcer Index | 0.24 | 0.23 |
| Serenity Index | 0.04 | 0.06 |
| Avg. Up Month | 5.21% | 5.35% |
| Avg. Down Month | -5.51% | -5.61% |
| Win Days | 54.34% | 54.57% |
| Win Month | 57.35% | 58.82% |
| Win Quarter | 58.33% | 58.33% |
| Win Year | 85.71% | 85.71% |
| Beta | 0.64 | - |
| Alpha | 0.01 | - |
| Correlation | 74.08% | - |
| Treynor Ratio | 40.39% | - |
| 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 | 0.61 | 0.31 | 0.51 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2026-04-24 | -54.41 | 1646 |
| 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 |