| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 29.61% | 38.46% |
| CAGR﹪ | 5.2% | 6.57% |
| Sharpe | 0.05 | 0.14 |
| Prob. Sharpe Ratio | 4.16% | 5.77% |
| Smart Sharpe | 0.05 | 0.13 |
| Sortino | 0.07 | 0.18 |
| Smart Sortino | 0.07 | 0.17 |
| Sortino/√2 | 0.05 | 0.13 |
| Smart Sortino/√2 | 0.05 | 0.12 |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -54.41% | -53.53% |
| Longest DD Days | 1457 | 1215 |
| Volatility (ann.) | 24.29% | 28.47% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.1 | 0.12 |
| Skew | -1.44 | -4.16 |
| Kurtosis | 15.74 | 106.28 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.42% | 0.53% |
| Expected Yearly | 4.42% | 5.57% |
| Kelly Criterion | 2.51% | 1.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.48% | -2.91% |
| Expected Shortfall (cVaR) | -2.48% | -2.91% |
| 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 | 0.87 | 0.84 |
| Profit Factor | 1.07 | 1.09 |
| Common Sense Ratio | 0.99 | 1.09 |
| CPC Index | 0.51 | 0.5 |
| Tail Ratio | 0.93 | 1.0 |
| Outlier Win Ratio | 4.23 | 3.97 |
| Outlier Loss Ratio | 3.38 | 3.42 |
| MTD | 1.61% | 1.94% |
| 3M | 0.48% | 1.24% |
| 6M | 1.61% | 1.35% |
| YTD | 0.8% | 1.08% |
| 1Y | 5.51% | 6.91% |
| 3Y (ann.) | 15.83% | 16.94% |
| 5Y (ann.) | 4.05% | 5.42% |
| 10Y (ann.) | 5.2% | 6.57% |
| All-time (ann.) | 5.2% | 6.57% |
| 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% | -3.62% |
| Avg. Drawdown Days | 68 | 49 |
| Recovery Factor | 0.54 | 0.72 |
| Ulcer Index | 0.24 | 0.23 |
| Serenity Index | 0.03 | 0.06 |
| Avg. Up Month | 5.34% | 5.51% |
| Avg. Down Month | -5.86% | -5.99% |
| Win Days | 54.75% | 55.11% |
| Win Month | 58.06% | 59.68% |
| Win Quarter | 59.09% | 59.09% |
| Win Year | 83.33% | 83.33% |
| Beta | 0.63 | - |
| Alpha | 0.01 | - |
| Correlation | 74.05% | - |
| Treynor Ratio | 35.8% | - |
| 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 | 1.08 | 0.80 | 0.74 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-10-17 | -54.41 | 1457 |
| 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 |