| Metric | XLF | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 146.26% | 249.62% |
| CAGR﹪ | 13.4% | 19.08% |
| Sharpe | 0.65 | 0.88 |
| Prob. Sharpe Ratio | 95.69% | 98.95% |
| Smart Sharpe | 0.61 | 0.83 |
| Sortino | 0.92 | 1.25 |
| Smart Sortino | 0.86 | 1.18 |
| Sortino/√2 | 0.65 | 0.89 |
| Smart Sortino/√2 | 0.61 | 0.83 |
| Omega | 1.13 | 1.19 |
| Max Drawdown | -42.86% | -47.46% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-18 | 2019-12-18 |
| Max DD Period End | 2021-01-05 | 2020-11-13 |
| Longest DD Days | 770 | 547 |
| Volatility (ann.) | 23.93% | 22.85% |
| R^2 | 0.81 | 0.81 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.31 | 0.4 |
| Skew | -0.21 | -0.52 |
| Kurtosis | 15.09 | 14.37 |
| Ulcer Performance Index | 12.41 | 25.21 |
| Risk-Adjusted Return | 13.4% | 19.28% |
| Risk-Return Ratio | 0.04 | 0.06 |
| Avg. Return | 0.06% | 0.08% |
| Avg. Win | 1.12% | 1.08% |
| Avg. Loss | -1.17% | -1.09% |
| Win/Loss Ratio | 0.96 | 0.99 |
| Profit Ratio | 0.84 | 0.79 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.04% | 1.45% |
| Expected Yearly | 11.92% | 16.94% |
| Kelly Criterion | 4.94% | 8.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.42% | -2.29% |
| Expected Shortfall (cVaR) | -3.87% | -3.9% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.13 | 0.19 |
| Gain/Pain (1M) | 0.77 | 1.16 |
| Payoff Ratio | 0.96 | 0.99 |
| Profit Factor | 1.13 | 1.19 |
| Common Sense Ratio | 1.07 | 1.16 |
| CPC Index | 0.58 | 0.64 |
| Tail Ratio | 0.95 | 0.98 |
| Outlier Win Ratio | 4.21 | 4.32 |
| Outlier Loss Ratio | 3.72 | 4.3 |
| MTD | 1.51% | 1.24% |
| 3M | 13.2% | 10.9% |
| 6M | 8.87% | 8.3% |
| YTD | 6.45% | 12.27% |
| 1Y | 13.21% | 18.63% |
| 3Y (ann.) | 21.65% | 29.66% |
| 5Y (ann.) | 11.15% | 19.71% |
| 10Y (ann.) | 13.4% | 19.08% |
| All-time (ann.) | 13.4% | 19.08% |
| Best Day | 13.16% | 10.36% |
| Worst Day | -13.71% | -13.34% |
| Best Month | 16.85% | 16.81% |
| Worst Month | -21.03% | -25.37% |
| Best Year | 34.8% | 35.57% |
| Worst Year | -10.59% | -7.18% |
| Avg. Drawdown | -3.13% | -2.64% |
| Avg. Drawdown Days | 29 | 23 |
| Recovery Factor | 2.58 | 3.03 |
| Ulcer Index | 0.12 | 0.1 |
| Serenity Index | 0.53 | 0.74 |
| Avg. Up Month | 5.14% | 5.11% |
| Avg. Down Month | -5.14% | -4.73% |
| Win Days | 53.38% | 54.34% |
| Win Month | 58.62% | 66.67% |
| Win Quarter | 73.33% | 76.67% |
| Win Year | 75.0% | 87.5% |
| Beta | - | 0.86 |
| Alpha | - | 0.07 |
| Correlation | - | 89.92% |
| Treynor Ratio | - | 290.74% |
| Year | XLF | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.23 | 8.05 | 0.50 | - |
| 2020 | -1.74 | 11.06 | -6.37 | + |
| 2021 | 34.80 | 27.17 | 0.78 | - |
| 2022 | -10.59 | -7.18 | 0.68 | + |
| 2023 | 12.03 | 31.98 | 2.66 | + |
| 2024 | 30.56 | 35.57 | 1.16 | + |
| 2025 | 14.90 | 22.86 | 1.53 | + |
| 2026 | 6.45 | 12.27 | 1.90 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-12-18 | 2020-11-13 | -47.46 | 332 |
| 2025-02-19 | 2025-06-26 | -21.00 | 128 |
| 2022-01-18 | 2023-07-18 | -20.95 | 547 |
| 2026-01-23 | 2026-06-23 | -11.49 | 152 |
| 2019-07-25 | 2019-09-10 | -9.64 | 48 |
| 2019-09-17 | 2019-11-22 | -8.96 | 67 |
| 2024-08-01 | 2024-09-16 | -7.39 | 47 |
| 2025-10-06 | 2025-12-09 | -7.24 | 65 |
| 2024-11-26 | 2025-01-17 | -6.82 | 53 |
| 2021-06-09 | 2021-10-19 | -6.37 | 133 |