| Metric | benchmark_return | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 52.0% |
| Cumulative Return | 45.8% | 15.86% |
| CAGR﹪ | 1.62% | 0.63% |
| Sharpe | 0.22 | 0.14 |
| Prob. Sharpe Ratio | 80.72% | 70.67% |
| Smart Sharpe | 0.22 | 0.14 |
| Sortino | 0.31 | 0.19 |
| Smart Sortino | 0.3 | 0.18 |
| Sortino/√2 | 0.22 | 0.13 |
| Smart Sortino/√2 | 0.21 | 0.13 |
| Omega | 1.04 | 1.04 |
| Max Drawdown | -46.7% | -46.11% |
| Longest DD Days | 2037 | 4039 |
| Volatility (ann.) | 21.57% | 14.88% |
| R^2 | 0.48 | 0.48 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.03 | 0.01 |
| Skew | -0.43 | -0.99 |
| Kurtosis | 5.11 | 13.43 |
| Expected Daily | 0.01% | 0.0% |
| Expected Monthly | 0.19% | 0.08% |
| Expected Yearly | 2.24% | 0.87% |
| Kelly Criterion | -1.62% | 0.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.22% | -1.53% |
| Expected Shortfall (cVaR) | -2.22% | -1.53% |
| Max Consecutive Wins | 12 | 12 |
| Max Consecutive Losses | 9 | 9 |
| Gain/Pain Ratio | 0.04 | 0.04 |
| Gain/Pain (1M) | 0.19 | 0.14 |
| Payoff Ratio | 0.93 | 0.96 |
| Profit Factor | 1.04 | 1.04 |
| Common Sense Ratio | 1.12 | 1.13 |
| CPC Index | 0.5 | 0.51 |
| Tail Ratio | 1.08 | 1.09 |
| Outlier Win Ratio | 3.4 | 10.18 |
| Outlier Loss Ratio | 3.75 | 3.93 |
| MTD | 0.71% | 0.71% |
| 3M | 9.42% | 3.49% |
| 6M | 5.79% | 2.09% |
| YTD | 6.41% | 2.09% |
| 1Y | 25.63% | 18.3% |
| 3Y (ann.) | 5.11% | 0.86% |
| 5Y (ann.) | 0.48% | -1.22% |
| 10Y (ann.) | 3.17% | 0.85% |
| All-time (ann.) | 1.62% | 0.63% |
| Best Day | 8.48% | 6.71% |
| Worst Day | -8.75% | -7.88% |
| Best Month | 25.81% | 25.81% |
| Worst Month | -21.04% | -14.48% |
| Best Year | 51.66% | 58.91% |
| Worst Year | -25.31% | -17.88% |
| Avg. Drawdown | -10.59% | -7.73% |
| Avg. Drawdown Days | 308 | 344 |
| Recovery Factor | 1.59 | 0.7 |
| Ulcer Index | 0.29 | 0.31 |
| Serenity Index | 0.08 | 0.02 |
| Avg. Up Month | 5.53% | 4.36% |
| Avg. Down Month | -4.31% | -3.5% |
| Win Days | 50.93% | 51.37% |
| Win Month | 51.79% | 46.32% |
| Win Quarter | 52.31% | 42.11% |
| Win Year | 52.94% | 52.94% |
| Beta | - | 0.48 |
| Alpha | - | -0.0 |
| Correlation | - | 68.98% |
| Treynor Ratio | - | 33.33% |
| Year | benchmark_return | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2010 | -7.43 | -3.17 | 0.43 | + |
| 2011 | -25.01 | -12.31 | 0.49 | + |
| 2012 | 7.55 | -5.71 | -0.76 | - |
| 2013 | -7.65 | -11.65 | 1.52 | - |
| 2014 | 51.66 | 58.91 | 1.14 | + |
| 2015 | 5.58 | 11.80 | 2.11 | + |
| 2016 | -11.28 | -17.88 | 1.58 | - |
| 2017 | 21.78 | 8.32 | 0.38 | - |
| 2018 | -25.31 | 0.40 | -0.02 | + |
| 2019 | 36.07 | 4.90 | 0.14 | - |
| 2020 | 27.21 | 15.31 | 0.56 | - |
| 2021 | -5.20 | -13.29 | 2.56 | - |
| 2022 | -21.63 | -7.17 | 0.33 | + |
| 2023 | -11.38 | -3.46 | 0.30 | + |
| 2024 | 14.68 | 0.18 | 0.01 | - |
| 2025 | 17.66 | 7.37 | 0.42 | - |
| 2026 | 6.41 | 2.09 | 0.33 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2015-06-09 | 2026-06-29 | -46.11 | 4039 |
| 2010-11-09 | 2014-12-30 | -38.38 | 1513 |
| 2010-04-15 | 2010-10-14 | -13.23 | 183 |
| 2015-01-08 | 2015-03-13 | -9.09 | 65 |
| 2015-04-28 | 2015-05-20 | -7.02 | 23 |
| 2015-05-27 | 2015-06-04 | -7.02 | 9 |
| 2010-10-26 | 2010-11-04 | -2.90 | 10 |
| 2015-04-20 | 2015-04-20 | -1.61 | 1 |
| 2015-04-15 | 2015-04-15 | -1.30 | 1 |
| 2015-03-31 | 2015-03-31 | -0.90 | 1 |