| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | 4.83% | 0.36% |
| CAGR﹪ | 7.7% | 0.57% |
| Sharpe | 0.19 | -0.03 |
| Prob. Sharpe Ratio | 27.81% | 23.07% |
| Smart Sharpe | 0.11 | -0.01 |
| Sortino | 0.28 | -0.03 |
| Smart Sortino | 0.16 | -0.02 |
| Sortino/√2 | 0.2 | -0.02 |
| Smart Sortino/√2 | 0.11 | -0.01 |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -20.65% | -22.08% |
| Longest DD Days | 108 | 69 |
| Volatility (ann.) | 35.55% | 32.43% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.37 | 0.03 |
| Skew | 0.54 | -1.57 |
| Kurtosis | 18.75 | 47.8 |
| Expected Daily | 0.03% | 0.0% |
| Expected Monthly | 0.59% | 0.05% |
| Expected Yearly | 2.39% | 0.18% |
| Kelly Criterion | 7.42% | 4.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.63% | -3.34% |
| Expected Shortfall (cVaR) | -3.63% | -3.34% |
| Max Consecutive Wins | 7 | 11 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.1 | 0.05 |
| Gain/Pain (1M) | 1.01 | 0.31 |
| Payoff Ratio | 1.27 | 1.01 |
| Profit Factor | 1.1 | 1.05 |
| Common Sense Ratio | 1.08 | 1.34 |
| CPC Index | 0.67 | 0.55 |
| Tail Ratio | 0.99 | 1.28 |
| Outlier Win Ratio | 4.62 | 6.42 |
| Outlier Loss Ratio | 4.84 | 5.57 |
| MTD | -2.27% | -5.99% |
| 3M | -3.8% | -7.25% |
| 6M | 2.16% | -2.29% |
| YTD | -5.9% | -9.67% |
| 1Y | 4.83% | 0.36% |
| 3Y (ann.) | 7.7% | 0.57% |
| 5Y (ann.) | 7.7% | 0.57% |
| 10Y (ann.) | 7.7% | 0.57% |
| All-time (ann.) | 7.7% | 0.57% |
| Best Day | 14.12% | 14.69% |
| Worst Day | -12.97% | -17.35% |
| Best Month | 5.1% | 5.9% |
| Worst Month | -5.38% | -5.99% |
| Best Year | 11.4% | 11.11% |
| Worst Year | -5.9% | -9.67% |
| Avg. Drawdown | -5.11% | -5.07% |
| Avg. Drawdown Days | 27 | 25 |
| Recovery Factor | 0.23 | 0.02 |
| Ulcer Index | 0.07 | 0.04 |
| Serenity Index | -0.05 | -0.49 |
| Avg. Up Month | 4.21% | 4.08% |
| Avg. Down Month | -2.88% | -3.8% |
| Win Days | 48.12% | 51.88% |
| Win Month | 50.0% | 50.0% |
| Win Quarter | 33.33% | 33.33% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.8 | - |
| Alpha | 0.09 | - |
| Correlation | 73.22% | - |
| Treynor Ratio | -2.71% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 11.11 | 11.40 | 1.03 | + |
| 2022 | -9.67 | -5.90 | 0.61 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-27 | 2022-02-25 | -20.65 | 60 |
| 2021-09-07 | 2021-12-24 | -13.78 | 108 |
| 2021-07-13 | 2021-08-09 | -3.26 | 27 |
| 2021-08-13 | 2021-08-20 | -1.34 | 7 |
| 2021-08-31 | 2021-09-06 | -0.89 | 6 |
| 2021-08-11 | 2021-08-12 | -0.50 | 1 |
| 2021-08-24 | 2021-08-26 | -0.37 | 2 |
| 2021-08-27 | 2021-08-30 | -0.10 | 3 |