| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 12.18% | 12.05% |
| CAGR﹪ | 1.97% | 1.95% |
| Sharpe | -0.08 | -0.02 |
| Prob. Sharpe Ratio | 1.49% | 1.81% |
| Smart Sharpe | -0.08 | -0.02 |
| Sortino | -0.1 | -0.03 |
| Smart Sortino | -0.1 | -0.03 |
| Sortino/√2 | -0.07 | -0.02 |
| Smart Sortino/√2 | -0.07 | -0.02 |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -54.41% | -53.82% |
| Longest DD Days | 1737 | 1737 |
| Volatility (ann.) | 24.08% | 28.16% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.04 | 0.04 |
| Skew | -1.24 | -3.77 |
| Kurtosis | 14.79 | 108.47 |
| Expected Daily | 0.01% | 0.01% |
| Expected Monthly | 0.16% | 0.16% |
| Expected Yearly | 1.66% | 1.64% |
| Kelly Criterion | 1.82% | -0.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.48% | -2.89% |
| Expected Shortfall (cVaR) | -2.48% | -2.89% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | 0.04 | 0.05 |
| Gain/Pain (1M) | 0.17 | 0.22 |
| Payoff Ratio | 0.89 | 0.86 |
| Profit Factor | 1.04 | 1.05 |
| Common Sense Ratio | 0.97 | 1.04 |
| CPC Index | 0.5 | 0.48 |
| Tail Ratio | 0.93 | 0.99 |
| Outlier Win Ratio | 4.03 | 3.75 |
| Outlier Loss Ratio | 3.43 | 3.53 |
| MTD | -3.53% | -3.18% |
| 3M | -16.49% | -16.55% |
| 6M | -17.0% | -17.19% |
| YTD | -15.19% | -15.22% |
| 1Y | -16.62% | -16.93% |
| 3Y (ann.) | -3.99% | -4.44% |
| 5Y (ann.) | -4.21% | -4.24% |
| 10Y (ann.) | 1.97% | 1.95% |
| All-time (ann.) | 1.97% | 1.95% |
| 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 | 78 | 62 |
| Recovery Factor | 0.22 | 0.22 |
| Ulcer Index | 0.24 | 0.24 |
| Serenity Index | 0.01 | 0.01 |
| Avg. Up Month | 5.34% | 5.36% |
| Avg. Down Month | -5.39% | -5.4% |
| Win Days | 53.66% | 53.3% |
| Win Month | 54.93% | 53.52% |
| Win Quarter | 56.0% | 56.0% |
| Win Year | 71.43% | 71.43% |
| Beta | 0.65 | - |
| Alpha | 0.01 | - |
| Correlation | 75.97% | - |
| Treynor Ratio | 7.98% | - |
| 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 | -15.22 | -15.19 | 1.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2026-07-24 | -54.41 | 1737 |
| 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 |