| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 111.43% | 112.85% |
| CAGR﹪ | 166.31% | 168.66% |
| Sharpe | 2.32 | 3.58 |
| Prob. Sharpe Ratio | 85.0% | 98.81% |
| Smart Sharpe | 2.11 | 3.26 |
| Sortino | 3.46 | 5.92 |
| Smart Sortino | 3.15 | 5.39 |
| Sortino/√2 | 2.45 | 4.19 |
| Smart Sortino/√2 | 2.23 | 3.81 |
| Omega | 1.6 | 1.6 |
| Max Drawdown | -23.78% | -10.63% |
| Longest DD Days | 46 | 46 |
| Volatility (ann.) | 46.85% | 28.66% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 6.99 | 15.86 |
| Skew | -0.8 | -0.14 |
| Kurtosis | 17.15 | 0.49 |
| Expected Daily | 0.41% | 0.42% |
| Expected Monthly | 7.04% | 7.11% |
| Expected Yearly | 45.41% | 45.89% |
| Kelly Criterion | 25.35% | 25.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.4% | -2.54% |
| Expected Shortfall (cVaR) | -4.4% | -2.54% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 4 | 9 |
| Gain/Pain Ratio | 0.65 | 0.88 |
| Gain/Pain (1M) | 12.26 | 132.75 |
| Payoff Ratio | 1.06 | 0.99 |
| Profit Factor | 1.65 | 1.88 |
| Common Sense Ratio | 2.24 | 2.51 |
| CPC Index | 1.07 | 1.16 |
| Tail Ratio | 1.36 | 1.34 |
| Outlier Win Ratio | 3.02 | 3.83 |
| Outlier Loss Ratio | 2.6 | 3.67 |
| MTD | -6.03% | 1.08% |
| 3M | 19.45% | 23.62% |
| 6M | 54.17% | 59.71% |
| YTD | 84.91% | 99.41% |
| 1Y | 111.43% | 112.85% |
| 3Y (ann.) | 166.31% | 168.66% |
| 5Y (ann.) | 166.31% | 168.66% |
| 10Y (ann.) | 166.31% | 168.66% |
| All-time (ann.) | 166.31% | 168.66% |
| Best Day | 17.17% | 4.81% |
| Worst Day | -19.92% | -4.64% |
| Best Month | 20.05% | 19.55% |
| Worst Month | -6.03% | -0.59% |
| Best Year | 84.91% | 99.41% |
| Worst Year | 14.34% | 6.74% |
| Avg. Drawdown | -3.02% | -2.91% |
| Avg. Drawdown Days | 6 | 7 |
| Recovery Factor | 4.69 | 10.61 |
| Ulcer Index | 0.05 | 0.03 |
| Serenity Index | 7.36 | 8.36 |
| Avg. Up Month | 9.69% | 8.91% |
| Avg. Down Month | -0.74% | -0.59% |
| Win Days | 61.58% | 62.78% |
| Win Month | 81.82% | 90.91% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.79 | - |
| Alpha | 0.29 | - |
| Correlation | 48.48% | - |
| Treynor Ratio | 131.78% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 6.74 | 14.34 | 2.13 | + |
| 2023 | 99.41 | 84.91 | 0.85 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-07-20 | 2023-09-04 | -23.78 | 46 |
| 2023-04-12 | 2023-05-18 | -9.81 | 36 |
| 2023-02-17 | 2023-03-17 | -8.73 | 28 |
| 2023-02-06 | 2023-02-08 | -5.75 | 2 |
| 2022-12-15 | 2022-12-20 | -5.55 | 5 |
| 2023-06-19 | 2023-06-28 | -4.55 | 9 |
| 2022-12-22 | 2022-12-29 | -4.45 | 7 |
| 2023-02-09 | 2023-02-14 | -3.63 | 5 |
| 2022-12-06 | 2022-12-13 | -3.48 | 7 |
| 2023-05-31 | 2023-06-02 | -2.35 | 2 |