| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 15.07% | 15.05% |
| CAGR﹪ | 6.5% | 6.5% |
| Sharpe | 0.39 | 15.77 |
| Prob. Sharpe Ratio | 70.1% | 98.89% |
| Smart Sharpe | 0.32 | 12.85 |
| Sortino | 0.51 | - |
| Smart Sortino | 0.41 | - |
| Sortino/√2 | 0.36 | - |
| Smart Sortino/√2 | 0.29 | - |
| Omega | 1.09 | 1.09 |
| Max Drawdown | -43.69% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 31.78% | 0.45% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.15 | - |
| Skew | -2.87 | 21.13 |
| Kurtosis | 47.49 | 463.94 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.56% | 0.56% |
| Expected Yearly | 4.79% | 4.78% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.24% | -0.02% |
| Expected Shortfall (cVaR) | -3.24% | -0.02% |
| Max Consecutive Wins | 9 | 500 |
| Max Consecutive Losses | 12 | 0 |
| Gain/Pain Ratio | 0.09 | - |
| Gain/Pain (1M) | 0.34 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.09 | - |
| Common Sense Ratio | 1.32 | - |
| CPC Index | - | - |
| Tail Ratio | 1.21 | 1.88 |
| Outlier Win Ratio | 2.09 | 78.42 |
| Outlier Loss Ratio | 2.02 | - |
| MTD | -2.65% | 0.65% |
| 3M | 5.57% | 2.55% |
| 6M | 25.76% | 4.58% |
| YTD | 8.03% | 3.28% |
| 1Y | -8.23% | 7.69% |
| 3Y (ann.) | 6.5% | 6.5% |
| 5Y (ann.) | 6.5% | 6.5% |
| 10Y (ann.) | 6.5% | 6.5% |
| All-time (ann.) | 6.5% | 6.5% |
| Best Day | 12.69% | 0.65% |
| Worst Day | -23.86% | 0.0% |
| Best Month | 25.97% | 0.71% |
| Worst Month | -41.8% | 0.35% |
| Best Year | 20.04% | 5.7% |
| Worst Year | -11.27% | 3.28% |
| Avg. Drawdown | -6.62% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.34 | - |
| Ulcer Index | 0.17 | 0.0 |
| Serenity Index | 0.06 | - |
| Avg. Up Month | 5.75% | 0.57% |
| Avg. Down Month | - | - |
| Win Days | 53.33% | 100.0% |
| Win Month | 68.0% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -4.53 | - |
| Alpha | 0.44 | - |
| Correlation | -6.38% | - |
| Treynor Ratio | -3.33% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 5.40 | 20.04 | 3.71 | + |
| 2022 | 5.70 | -11.27 | -1.98 | - |
| 2023 | 3.28 | 8.03 | 2.45 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-02 | 2023-05-02 | -43.69 | 334 |
| 2022-01-14 | 2022-02-25 | -10.70 | 42 |
| 2021-05-11 | 2021-11-16 | -7.15 | 189 |
| 2021-02-11 | 2021-03-18 | -5.83 | 35 |
| 2021-11-23 | 2021-12-16 | -5.27 | 23 |
| 2021-04-13 | 2021-05-10 | -3.43 | 27 |
| 2022-01-10 | 2022-01-13 | -2.70 | 3 |
| 2021-12-17 | 2021-12-27 | -1.92 | 10 |
| 2021-11-17 | 2021-11-22 | -1.59 | 5 |
| 2021-04-07 | 2021-04-09 | -1.16 | 2 |