| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 84.18% | 72.22% |
| CAGR﹪ | 21.07% | 18.55% |
| Sharpe | -1.67 | -2.17 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -1.51 | -1.96 |
| Sortino | -2.06 | -2.72 |
| Smart Sortino | -1.86 | -2.46 |
| Sortino/√2 | -1.46 | -1.93 |
| Smart Sortino/√2 | -1.32 | -1.74 |
| Omega | 0.71 | 0.71 |
| Max Drawdown | -32.75% | -33.92% |
| Longest DD Days | 106 | 180 |
| Volatility (ann.) | 27.21% | 22.61% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.64 | 0.55 |
| Skew | -1.75 | -0.55 |
| Kurtosis | 23.36 | 16.1 |
| Expected Daily | 0.08% | 0.07% |
| Expected Monthly | 1.58% | 1.4% |
| Expected Yearly | 12.99% | 11.49% |
| Kelly Criterion | 5.78% | 3.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.73% | -2.26% |
| Expected Shortfall (cVaR) | -2.73% | -2.26% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.19 | 0.2 |
| Gain/Pain (1M) | 1.05 | 1.26 |
| Payoff Ratio | 0.83 | 0.82 |
| Profit Factor | 1.19 | 1.2 |
| Common Sense Ratio | 1.23 | 1.05 |
| CPC Index | 0.57 | 0.56 |
| Tail Ratio | 1.03 | 0.87 |
| Outlier Win Ratio | 4.32 | 5.2 |
| Outlier Loss Ratio | 3.86 | 5.06 |
| MTD | -16.05% | -2.9% |
| 3M | -24.26% | -6.74% |
| 6M | -19.81% | -2.26% |
| YTD | -25.23% | -8.25% |
| 1Y | -5.79% | 11.7% |
| 3Y (ann.) | 18.3% | 16.55% |
| 5Y (ann.) | 21.07% | 18.55% |
| 10Y (ann.) | 21.07% | 18.55% |
| All-time (ann.) | 21.07% | 18.55% |
| Best Day | 9.8% | 9.38% |
| Worst Day | -18.87% | -11.98% |
| Best Month | 12.73% | 12.68% |
| Worst Month | -16.05% | -12.51% |
| Best Year | 47.1% | 29.43% |
| Worst Year | -25.23% | -8.25% |
| Avg. Drawdown | -2.89% | -1.83% |
| Avg. Drawdown Days | 13 | 11 |
| Recovery Factor | 2.57 | 2.13 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | -0.38 | -0.54 |
| Avg. Up Month | 5.47% | 4.37% |
| Avg. Down Month | -7.1% | -5.14% |
| Win Days | 57.26% | 56.71% |
| Win Month | 69.23% | 69.23% |
| Win Quarter | 78.57% | 78.57% |
| Win Year | 60.0% | 60.0% |
| Beta | 0.51 | - |
| Alpha | 0.13 | - |
| Correlation | 42.51% | - |
| Treynor Ratio | -30.91% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | -2.24 | -6.02 | 2.68 | - |
| 2019 | 29.43 | 38.55 | 1.31 | + |
| 2020 | 15.86 | 47.10 | 2.97 | + |
| 2021 | 28.05 | 28.61 | 1.02 | + |
| 2022 | -8.25 | -25.23 | 3.06 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2022-02-25 | -32.75 | 94 |
| 2020-02-20 | 2020-06-05 | -30.33 | 106 |
| 2020-09-02 | 2020-11-27 | -11.40 | 86 |
| 2021-02-17 | 2021-04-15 | -11.19 | 57 |
| 2018-12-18 | 2019-01-16 | -10.10 | 29 |
| 2019-04-30 | 2019-07-11 | -9.39 | 72 |
| 2021-09-08 | 2021-10-26 | -8.09 | 48 |
| 2019-08-01 | 2019-10-28 | -6.76 | 88 |
| 2021-04-19 | 2021-06-11 | -6.73 | 53 |
| 2020-07-14 | 2020-08-05 | -5.09 | 22 |