| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 28.18% | 36.22% |
| CAGR﹪ | 5.43% | 6.81% |
| Sharpe | 0.07 | 0.15 |
| Prob. Sharpe Ratio | 5.12% | 6.88% |
| Smart Sharpe | 0.06 | 0.15 |
| Sortino | 0.09 | 0.19 |
| Smart Sortino | 0.08 | 0.19 |
| Sortino/√2 | 0.06 | 0.14 |
| Smart Sortino/√2 | 0.06 | 0.13 |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -54.41% | -53.53% |
| Longest DD Days | 1304 | 1215 |
| Volatility (ann.) | 24.53% | 29.02% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.1 | 0.13 |
| Skew | -1.59 | -4.31 |
| Kurtosis | 16.36 | 107.72 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.44% | 0.54% |
| Expected Yearly | 4.22% | 5.29% |
| Kelly Criterion | 2.78% | 0.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.51% | -2.96% |
| Expected Shortfall (cVaR) | -2.51% | -2.96% |
| 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 | 0.85 | 0.82 |
| Profit Factor | 1.07 | 1.09 |
| Common Sense Ratio | 0.97 | 1.08 |
| CPC Index | 0.5 | 0.5 |
| Tail Ratio | 0.91 | 0.99 |
| Outlier Win Ratio | 4.17 | 3.9 |
| Outlier Loss Ratio | 3.37 | 3.44 |
| MTD | -2.5% | -2.59% |
| 3M | -10.97% | -10.41% |
| 6M | 5.75% | 6.76% |
| YTD | -0.32% | -0.56% |
| 1Y | -12.46% | -11.72% |
| 3Y (ann.) | 14.73% | 16.1% |
| 5Y (ann.) | 5.43% | 6.81% |
| 10Y (ann.) | 5.43% | 6.81% |
| All-time (ann.) | 5.43% | 6.81% |
| 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 | 62 | 45 |
| Recovery Factor | 0.52 | 0.68 |
| Ulcer Index | 0.25 | 0.24 |
| Serenity Index | 0.03 | 0.05 |
| Avg. Up Month | 5.55% | 5.7% |
| Avg. Down Month | -6.04% | -6.15% |
| Win Days | 55.28% | 55.29% |
| Win Month | 57.89% | 59.65% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.63 | - |
| Alpha | 0.01 | - |
| Correlation | 73.96% | - |
| Treynor Ratio | 33.87% | - |
| 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 | -0.56 | -0.32 | 0.57 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-05-17 | -54.41 | 1304 |
| 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 |