| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 98.0% |
| Cumulative Return | 1.67% | -5.72% |
| CAGR﹪ | 1.14% | -3.97% |
| Sharpe | 0.09 | -0.06 |
| Prob. Sharpe Ratio | 19.51% | 15.29% |
| Smart Sharpe | 0.08 | -0.05 |
| Sortino | 0.12 | -0.08 |
| Smart Sortino | 0.1 | -0.06 |
| Sortino/√2 | 0.09 | -0.05 |
| Smart Sortino/√2 | 0.07 | -0.04 |
| Omega | 1.02 | 1.02 |
| Max Drawdown | -43.69% | -47.24% |
| Longest DD Days | 334 | 334 |
| Volatility (ann.) | 41.77% | 41.97% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.03 | -0.08 |
| Skew | -2.35 | -4.64 |
| Kurtosis | 29.29 | 50.33 |
| Expected Daily | 0.01% | -0.02% |
| Expected Monthly | 0.11% | -0.39% |
| Expected Yearly | 0.55% | -1.94% |
| Kelly Criterion | 6.64% | 2.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.29% | -4.33% |
| Expected Shortfall (cVaR) | -4.29% | -4.33% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.06 | 0.02 |
| Gain/Pain (1M) | 0.17 | 0.05 |
| Payoff Ratio | 1.0 | 0.98 |
| Profit Factor | 1.06 | 1.02 |
| Common Sense Ratio | 1.03 | 1.17 |
| CPC Index | 0.57 | 0.52 |
| Tail Ratio | 0.98 | 1.15 |
| Outlier Win Ratio | 4.52 | 4.13 |
| Outlier Loss Ratio | 4.29 | 3.94 |
| MTD | -2.65% | -2.07% |
| 3M | 5.57% | 3.11% |
| 6M | 25.76% | 27.5% |
| YTD | 8.03% | 9.41% |
| 1Y | -8.23% | -11.08% |
| 3Y (ann.) | 1.14% | -3.97% |
| 5Y (ann.) | 1.14% | -3.97% |
| 10Y (ann.) | 1.14% | -3.97% |
| All-time (ann.) | 1.14% | -3.97% |
| Best Day | 12.69% | 8.05% |
| Worst Day | -23.86% | -28.43% |
| Best Month | 25.97% | 31.77% |
| Worst Month | -41.8% | -47.24% |
| Best Year | 8.03% | 9.41% |
| Worst Year | -11.27% | -16.44% |
| Avg. Drawdown | -12.85% | -15.81% |
| Avg. Drawdown Days | 82 | 106 |
| Recovery Factor | 0.04 | -0.12 |
| Ulcer Index | 0.22 | 0.26 |
| Serenity Index | -0.02 | -0.03 |
| Avg. Up Month | 9.54% | 10.93% |
| Avg. Down Month | -9.92% | -11.43% |
| Win Days | 53.23% | 51.54% |
| Win Month | 60.0% | 53.33% |
| Win Quarter | 85.71% | 71.43% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.73 | - |
| Alpha | 0.08 | - |
| Correlation | 73.35% | - |
| Treynor Ratio | -7.3% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.13 | 6.06 | 1.94 | + |
| 2022 | -16.44 | -11.27 | 0.69 | + |
| 2023 | 9.41 | 8.03 | 0.85 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-02 | 2023-05-02 | -43.69 | 334 |
| 2022-01-14 | 2022-02-25 | -10.70 | 42 |
| 2021-11-23 | 2021-12-16 | -5.27 | 23 |
| 2022-01-10 | 2022-01-13 | -2.70 | 3 |
| 2021-12-17 | 2021-12-27 | -1.92 | 10 |