| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 38.64% | 38.72% |
| CAGR﹪ | 6.11% | 6.12% |
| Sharpe | 0.09 | 0.12 |
| Prob. Sharpe Ratio | 4.48% | 4.84% |
| Smart Sharpe | 0.09 | 0.12 |
| Sortino | 0.12 | 0.16 |
| Smart Sortino | 0.12 | 0.16 |
| Sortino/√2 | 0.08 | 0.11 |
| Smart Sortino/√2 | 0.08 | 0.11 |
| Omega | 1.02 | 1.02 |
| Max Drawdown | -54.41% | -53.82% |
| Longest DD Days | 1602 | 1602 |
| Volatility (ann.) | 23.95% | 28.33% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.11 | 0.11 |
| Skew | -1.41 | -3.99 |
| Kurtosis | 15.62 | 113.15 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.49% | 0.49% |
| Expected Yearly | 4.78% | 4.79% |
| Kelly Criterion | 3.28% | 0.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.45% | -2.89% |
| Expected Shortfall (cVaR) | -2.45% | -2.89% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | 0.07 | 0.08 |
| Gain/Pain (1M) | 0.32 | 0.39 |
| Payoff Ratio | 0.89 | 0.85 |
| Profit Factor | 1.07 | 1.08 |
| Common Sense Ratio | 1.0 | 1.1 |
| CPC Index | 0.52 | 0.5 |
| Tail Ratio | 0.93 | 1.01 |
| Outlier Win Ratio | 4.07 | 3.77 |
| Outlier Loss Ratio | 3.41 | 3.5 |
| MTD | 1.96% | 2.2% |
| 3M | 6.46% | 6.66% |
| 6M | 0.45% | 0.36% |
| YTD | 4.81% | 4.96% |
| 1Y | -3.43% | -3.77% |
| 3Y (ann.) | 11.6% | 11.77% |
| 5Y (ann.) | 2.88% | 2.93% |
| 10Y (ann.) | 6.11% | 6.12% |
| All-time (ann.) | 6.11% | 6.12% |
| 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 | 73 | 58 |
| Recovery Factor | 0.71 | 0.72 |
| Ulcer Index | 0.24 | 0.24 |
| Serenity Index | 0.05 | 0.05 |
| Avg. Up Month | 5.25% | 5.28% |
| Avg. Down Month | -5.71% | -5.72% |
| Win Days | 54.5% | 54.29% |
| Win Month | 59.7% | 58.21% |
| Win Quarter | 60.87% | 60.87% |
| Win Year | 85.71% | 85.71% |
| Beta | 0.63 | - |
| Alpha | 0.02 | - |
| Correlation | 74.51% | - |
| Treynor Ratio | 50.22% | - |
| 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 | 2.86 | 2.87 | 1.00 | + |
| 2026 | 4.96 | 4.81 | 0.97 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2026-03-11 | -54.41 | 1602 |
| 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 |