| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 96.0% |
| Cumulative Return | 14.38% | 19.28% |
| CAGR﹪ | 6.28% | 8.32% |
| Sharpe | -6.18 | -7.01 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -5.03 | -5.7 |
| Sortino | -6.51 | -6.9 |
| Smart Sortino | -5.29 | -5.61 |
| Sortino/√2 | -4.6 | -4.88 |
| Smart Sortino/√2 | -3.74 | -3.97 |
| Omega | 0.25 | 0.25 |
| Max Drawdown | -43.69% | -42.68% |
| Longest DD Days | 334 | 431 |
| Volatility (ann.) | 31.8% | 27.91% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.14 | 0.19 |
| Skew | -2.9 | -5.12 |
| Kurtosis | 47.94 | 72.76 |
| Expected Daily | 0.03% | 0.04% |
| Expected Monthly | 0.54% | 0.71% |
| Expected Yearly | 4.58% | 6.05% |
| Kelly Criterion | 5.89% | 3.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.25% | -2.84% |
| Expected Shortfall (cVaR) | -3.25% | -2.84% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 12 | 6 |
| Gain/Pain Ratio | 0.09 | 0.11 |
| Gain/Pain (1M) | 0.33 | 0.36 |
| Payoff Ratio | 0.97 | 0.96 |
| Profit Factor | 1.09 | 1.11 |
| Common Sense Ratio | 1.29 | 1.28 |
| CPC Index | 0.57 | 0.56 |
| Tail Ratio | 1.18 | 1.15 |
| Outlier Win Ratio | 3.94 | 4.27 |
| Outlier Loss Ratio | 3.91 | 4.2 |
| MTD | -2.65% | -2.45% |
| 3M | 5.57% | 5.57% |
| 6M | 25.76% | 26.03% |
| YTD | 8.03% | 8.43% |
| 1Y | -8.23% | -8.61% |
| 3Y (ann.) | 6.28% | 8.32% |
| 5Y (ann.) | 6.28% | 8.32% |
| 10Y (ann.) | 6.28% | 8.32% |
| All-time (ann.) | 6.28% | 8.32% |
| Best Day | 12.69% | 7.2% |
| Worst Day | -23.86% | -24.09% |
| Best Month | 25.97% | 24.46% |
| Worst Month | -41.8% | -41.55% |
| Best Year | 19.33% | 24.74% |
| Worst Year | -11.27% | -11.82% |
| Avg. Drawdown | -5.66% | -4.83% |
| Avg. Drawdown Days | 44 | 45 |
| Recovery Factor | 0.33 | 0.45 |
| Ulcer Index | 0.17 | 0.18 |
| Serenity Index | -2.56 | -2.0 |
| Avg. Up Month | 5.75% | 5.74% |
| Avg. Down Month | -9.19% | -9.07% |
| Win Days | 53.58% | 52.84% |
| Win Month | 68.0% | 72.0% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.88 | - |
| Alpha | 0.01 | - |
| Correlation | 76.94% | - |
| Treynor Ratio | -782.07% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 24.74 | 19.33 | 0.78 | - |
| 2022 | -11.82 | -11.27 | 0.95 | + |
| 2023 | 8.43 | 8.03 | 0.95 | - |
| 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 |
| 2021-11-23 | 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 |
| 2021-02-17 | 2021-02-25 | -1.73 | 8 |
| 2021-11-17 | 2021-11-22 | -1.59 | 5 |
| 2021-02-26 | 2021-03-09 | -1.58 | 11 |