| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 94.0% |
| Cumulative Return | 16.94% | 18.06% |
| CAGR﹪ | 6.55% | 6.97% |
| Sharpe | 0.08 | 0.1 |
| Prob. Sharpe Ratio | 13.95% | 14.95% |
| Smart Sharpe | 0.08 | 0.1 |
| Sortino | 0.11 | 0.13 |
| Smart Sortino | 0.11 | 0.13 |
| Sortino/√2 | 0.08 | 0.09 |
| Smart Sortino/√2 | 0.08 | 0.09 |
| Omega | 1.02 | 1.02 |
| Max Drawdown | -35.05% | -35.25% |
| Longest DD Days | 405 | 404 |
| Volatility (ann.) | 20.75% | 20.14% |
| R^2 | 0.82 | 0.82 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.19 | 0.2 |
| Skew | -1.34 | -1.55 |
| Kurtosis | 9.49 | 14.0 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.52% | 0.55% |
| Expected Yearly | 3.99% | 4.24% |
| Kelly Criterion | -0.42% | 2.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.12% | -2.05% |
| Expected Shortfall (cVaR) | -2.12% | -2.05% |
| Max Consecutive Wins | 8 | 7 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.08 | 0.09 |
| Gain/Pain (1M) | 0.43 | 0.47 |
| Payoff Ratio | 0.77 | 0.76 |
| Profit Factor | 1.08 | 1.09 |
| Common Sense Ratio | 0.97 | 1.03 |
| CPC Index | 0.47 | 0.48 |
| Tail Ratio | 0.9 | 0.95 |
| Outlier Win Ratio | 3.94 | 4.4 |
| Outlier Loss Ratio | 3.97 | 4.19 |
| MTD | -5.24% | -3.75% |
| 3M | -6.89% | -5.66% |
| 6M | -5.24% | -4.2% |
| YTD | -8.49% | -7.67% |
| 1Y | 9.93% | 10.76% |
| 3Y (ann.) | 6.55% | 6.97% |
| 5Y (ann.) | 6.55% | 6.97% |
| 10Y (ann.) | 6.55% | 6.97% |
| All-time (ann.) | 6.55% | 6.97% |
| Best Day | 6.33% | 7.15% |
| Worst Day | -10.22% | -10.34% |
| Best Month | 14.69% | 14.72% |
| Worst Month | -14.04% | -14.2% |
| Best Year | 22.54% | 22.94% |
| Worst Year | -8.49% | -7.67% |
| Avg. Drawdown | -3.05% | -2.75% |
| Avg. Drawdown Days | 25 | 24 |
| Recovery Factor | 0.48 | 0.51 |
| Ulcer Index | 0.1 | 0.1 |
| Serenity Index | 0.06 | 0.07 |
| Avg. Up Month | 3.85% | 3.72% |
| Avg. Down Month | -4.51% | -4.28% |
| Win Days | 56.46% | 57.8% |
| Win Month | 60.0% | 63.33% |
| Win Quarter | 72.73% | 81.82% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.93 | - |
| Alpha | 0.0 | - |
| Correlation | 90.61% | - |
| Treynor Ratio | 10.64% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 7.55 | 6.57 | 0.87 | - |
| 2020 | -3.29 | -2.14 | 0.65 | + |
| 2021 | 22.94 | 22.54 | 0.98 | - |
| 2022 | -7.67 | -8.49 | 1.11 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-20 | 2021-03-31 | -35.05 | 405 |
| 2022-01-05 | 2022-02-25 | -11.73 | 51 |
| 2021-11-18 | 2022-01-03 | -6.61 | 46 |
| 2021-08-16 | 2021-10-29 | -5.28 | 74 |
| 2019-11-27 | 2019-12-13 | -5.03 | 16 |
| 2019-09-23 | 2019-10-24 | -4.67 | 31 |
| 2021-07-14 | 2021-07-26 | -3.56 | 12 |
| 2020-01-21 | 2020-02-06 | -3.14 | 16 |
| 2021-04-20 | 2021-05-07 | -2.32 | 17 |
| 2019-09-16 | 2019-09-20 | -2.16 | 4 |