| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 37.2% | 36.96% |
| CAGR﹪ | 6.55% | 6.51% |
| Sharpe | 0.11 | 0.14 |
| Prob. Sharpe Ratio | 5.72% | 6.07% |
| Smart Sharpe | 0.11 | 0.14 |
| Sortino | 0.14 | 0.18 |
| Smart Sortino | 0.14 | 0.18 |
| Sortino/√2 | 0.1 | 0.13 |
| Smart Sortino/√2 | 0.1 | 0.13 |
| Omega | 1.02 | 1.02 |
| Max Drawdown | -54.41% | -53.82% |
| Longest DD Days | 1411 | 1411 |
| Volatility (ann.) | 24.33% | 28.98% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.12 | 0.12 |
| Skew | -1.53 | -4.16 |
| Kurtosis | 16.02 | 113.93 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.52% | 0.52% |
| Expected Yearly | 5.41% | 5.38% |
| Kelly Criterion | 3.45% | 0.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.48% | -2.96% |
| Expected Shortfall (cVaR) | -2.48% | -2.96% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | 0.08 | 0.09 |
| Gain/Pain (1M) | 0.34 | 0.41 |
| Payoff Ratio | 0.86 | 0.83 |
| Profit Factor | 1.08 | 1.09 |
| Common Sense Ratio | 0.99 | 1.05 |
| CPC Index | 0.51 | 0.5 |
| Tail Ratio | 0.92 | 0.96 |
| Outlier Win Ratio | 4.07 | 3.8 |
| Outlier Loss Ratio | 3.37 | 3.45 |
| MTD | -0.3% | -0.44% |
| 3M | 7.38% | 7.3% |
| 6M | -5.64% | -4.7% |
| YTD | 6.7% | 6.59% |
| 1Y | 19.04% | 18.18% |
| 3Y (ann.) | 24.09% | 24.64% |
| 5Y (ann.) | 6.77% | 6.79% |
| 10Y (ann.) | 6.55% | 6.51% |
| All-time (ann.) | 6.55% | 6.51% |
| Best Day | 8.3% | 21.55% |
| Worst Day | -14.27% | -33.99% |
| Best Month | 15.31% | 15.43% |
| Worst Month | -31.78% | -29.97% |
| Best Year | 51.35% | 51.57% |
| Worst Year | -37.9% | -38.35% |
| Avg. Drawdown | -3.91% | -3.18% |
| Avg. Drawdown Days | 66 | 52 |
| Recovery Factor | 0.68 | 0.69 |
| Ulcer Index | 0.25 | 0.25 |
| Serenity Index | 0.04 | 0.05 |
| Avg. Up Month | 5.45% | 5.45% |
| Avg. Down Month | -5.43% | -5.46% |
| Win Days | 55.23% | 54.98% |
| Win Month | 57.38% | 57.38% |
| Win Quarter | 61.9% | 61.9% |
| Win Year | 83.33% | 83.33% |
| Beta | 0.61 | - |
| Alpha | 0.03 | - |
| Correlation | 73.12% | - |
| Treynor Ratio | 49.2% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 13.78 | 14.03 | 1.02 | + |
| 2021 | 20.63 | 19.78 | 0.96 | - |
| 2022 | -38.35 | -37.90 | 0.99 | + |
| 2023 | 51.57 | 51.35 | 1.00 | - |
| 2024 | 0.20 | 0.16 | 0.79 | - |
| 2025 | 6.59 | 6.70 | 1.02 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2025-09-01 | -54.41 | 1411 |
| 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 |