| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 36.0% | 99.0% |
| Cumulative Return | 3.68% | 92.96% |
| CAGR﹪ | 0.76% | 14.67% |
| Sharpe | -0.42 | 0.48 |
| Prob. Sharpe Ratio | 1.63% | 30.66% |
| Smart Sharpe | -0.39 | 0.45 |
| Sortino | -0.54 | 0.69 |
| Smart Sortino | -0.5 | 0.64 |
| Sortino/√2 | -0.38 | 0.49 |
| Smart Sortino/√2 | -0.35 | 0.45 |
| Omega | 0.88 | 0.88 |
| Max Drawdown | -27.75% | -24.49% |
| Longest DD Days | 1383 | 708 |
| Volatility (ann.) | 12.39% | 17.03% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.03 | 0.6 |
| Skew | -4.15 | 0.15 |
| Kurtosis | 80.62 | 7.15 |
| Expected Daily | 0.0% | 0.05% |
| Expected Monthly | 0.06% | 1.12% |
| Expected Yearly | 0.6% | 11.58% |
| Kelly Criterion | 3.84% | 6.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.7% |
| Expected Shortfall (cVaR) | -1.28% | -1.7% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.04 | 0.17 |
| Gain/Pain (1M) | 0.21 | 0.96 |
| Payoff Ratio | 0.88 | 0.97 |
| Profit Factor | 1.04 | 1.17 |
| Common Sense Ratio | 0.94 | 1.19 |
| CPC Index | 0.5 | 0.61 |
| Tail Ratio | 0.91 | 1.01 |
| Outlier Win Ratio | 12.67 | 3.27 |
| Outlier Loss Ratio | 2.57 | 3.22 |
| MTD | 0.0% | -0.46% |
| 3M | 0.0% | 6.64% |
| 6M | 0.0% | 24.87% |
| YTD | 0.0% | 14.3% |
| 1Y | 0.0% | 15.94% |
| 3Y (ann.) | -0.0% | 20.93% |
| 5Y (ann.) | 0.76% | 14.67% |
| 10Y (ann.) | 0.76% | 14.67% |
| All-time (ann.) | 0.76% | 14.67% |
| Best Day | 5.35% | 9.52% |
| Worst Day | -13.61% | -5.96% |
| Best Month | 5.96% | 9.22% |
| Worst Month | -9.4% | -9.21% |
| Best Year | 26.22% | 28.71% |
| Worst Year | -20.03% | -18.11% |
| Avg. Drawdown | -2.6% | -1.63% |
| Avg. Drawdown Days | 63 | 16 |
| Recovery Factor | 0.13 | 3.8 |
| Ulcer Index | 0.17 | 0.09 |
| Serenity Index | -0.01 | 0.66 |
| Avg. Up Month | 3.12% | 4.14% |
| Avg. Down Month | -4.37% | -4.9% |
| Win Days | 54.94% | 54.15% |
| Win Month | 65.22% | 64.41% |
| Win Quarter | 77.78% | 71.43% |
| Win Year | 75.0% | 83.33% |
| Beta | 0.21 | - |
| Alpha | -0.02 | - |
| Correlation | 28.86% | - |
| Treynor Ratio | -15.79% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.45 | 1.16 | 0.80 | - |
| 2021 | 28.71 | 26.22 | 0.91 | - |
| 2022 | -18.11 | -20.03 | 1.11 | - |
| 2023 | 26.29 | 1.55 | 0.06 | - |
| 2024 | 25.02 | 0.00 | 0.00 | - |
| 2025 | 14.30 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-30 | 2025-10-13 | -27.75 | 1383 |
| 2021-09-07 | 2021-10-26 | -6.10 | 49 |
| 2021-02-17 | 2021-04-01 | -5.45 | 43 |
| 2021-11-23 | 2021-12-27 | -4.38 | 34 |
| 2021-05-10 | 2021-06-09 | -3.45 | 30 |
| 2021-01-22 | 2021-02-05 | -3.24 | 14 |
| 2021-07-14 | 2021-07-23 | -2.51 | 9 |
| 2021-04-27 | 2021-05-07 | -1.69 | 10 |
| 2021-08-16 | 2021-08-23 | -1.67 | 7 |
| 2021-06-16 | 2021-06-24 | -1.57 | 8 |