| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 87.0% | 97.0% |
| Cumulative Return | 29.73% | 76.63% |
| CAGR﹪ | 8.41% | 19.29% |
| Sharpe | 0.28 | 0.62 |
| Prob. Sharpe Ratio | 7.74% | 39.91% |
| Smart Sharpe | 0.19 | 0.43 |
| Sortino | 0.51 | 0.93 |
| Smart Sortino | 0.35 | 0.64 |
| Sortino/√2 | 0.36 | 0.66 |
| Smart Sortino/√2 | 0.25 | 0.45 |
| Omega | 1.1 | 1.1 |
| Max Drawdown | -52.3% | -27.13% |
| Longest DD Days | 942 | 373 |
| Volatility (ann.) | 57.87% | 19.32% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.16 | 0.71 |
| Skew | 7.03 | 0.53 |
| Kurtosis | 152.63 | 5.11 |
| Expected Daily | 0.03% | 0.07% |
| Expected Monthly | 0.65% | 1.43% |
| Expected Yearly | 5.34% | 12.05% |
| Kelly Criterion | 1.33% | 7.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.91% | -1.93% |
| Expected Shortfall (cVaR) | -5.91% | -1.93% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 6 | 14 |
| Gain/Pain Ratio | 0.14 | 0.19 |
| Gain/Pain (1M) | 0.96 | 1.06 |
| Payoff Ratio | 0.99 | 0.91 |
| Profit Factor | 1.14 | 1.19 |
| Common Sense Ratio | 1.14 | 1.16 |
| CPC Index | 0.57 | 0.61 |
| Tail Ratio | 1.0 | 0.98 |
| Outlier Win Ratio | 4.03 | 6.37 |
| Outlier Loss Ratio | 3.21 | 5.44 |
| MTD | -0.87% | 1.96% |
| 3M | 4.41% | 7.2% |
| 6M | -2.16% | 0.92% |
| YTD | 3.29% | 4.89% |
| 1Y | -9.53% | -5.06% |
| 3Y (ann.) | 0.93% | 13.54% |
| 5Y (ann.) | 8.41% | 19.29% |
| 10Y (ann.) | 8.41% | 19.29% |
| All-time (ann.) | 8.41% | 19.29% |
| Best Day | 65.24% | 9.2% |
| Worst Day | -37.87% | -4.1% |
| Best Month | 44.02% | 13.91% |
| Worst Month | -40.91% | -9.94% |
| Best Year | 12.76% | 53.84% |
| Worst Year | -3.29% | 1.64% |
| Avg. Drawdown | -7.06% | -2.56% |
| Avg. Drawdown Days | 80 | 24 |
| Recovery Factor | 0.57 | 2.82 |
| Ulcer Index | 0.22 | 0.11 |
| Serenity Index | 0.1 | 0.4 |
| Avg. Up Month | 5.11% | 5.14% |
| Avg. Down Month | -7.03% | -4.6% |
| Win Days | 50.96% | 55.62% |
| Win Month | 57.5% | 65.0% |
| Win Quarter | 64.29% | 71.43% |
| Win Year | 80.0% | 100.0% |
| Beta | 0.53 | - |
| Alpha | 0.13 | - |
| Correlation | 17.54% | - |
| Treynor Ratio | 43.26% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 4.62 | 10.59 | 2.29 | + |
| 2023 | 53.84 | 4.14 | 0.08 | - |
| 2024 | 1.64 | 12.76 | 7.80 | + |
| 2025 | 2.94 | -3.29 | -1.12 | - |
| 2026 | 4.89 | 3.29 | 0.67 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-07 | 2026-03-06 | -52.30 | 942 |
| 2023-04-14 | 2023-06-13 | -8.86 | 60 |
| 2023-02-15 | 2023-04-06 | -7.13 | 50 |
| 2023-07-17 | 2023-07-28 | -3.83 | 11 |
| 2022-12-22 | 2023-01-04 | -3.74 | 13 |
| 2023-01-11 | 2023-01-18 | -3.38 | 7 |
| 2023-01-19 | 2023-01-30 | -3.31 | 11 |
| 2023-07-11 | 2023-07-12 | -3.14 | 1 |
| 2023-02-06 | 2023-02-13 | -3.06 | 7 |
| 2023-07-13 | 2023-07-14 | -2.89 | 1 |