| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 13.6% | 8.01% |
| CAGR﹪ | 5.92% | 3.54% |
| Sharpe | 0.37 | 0.29 |
| Prob. Sharpe Ratio | 69.18% | 64.99% |
| Smart Sharpe | 0.3 | 0.24 |
| Sortino | 0.48 | 0.36 |
| Smart Sortino | 0.39 | 0.29 |
| Sortino/√2 | 0.34 | 0.26 |
| Smart Sortino/√2 | 0.28 | 0.21 |
| Omega | 1.09 | 1.09 |
| Max Drawdown | -43.69% | -39.65% |
| Longest DD Days | 334 | 431 |
| Volatility (ann.) | 31.74% | 26.46% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.14 | 0.09 |
| Skew | -2.9 | -6.61 |
| Kurtosis | 48.11 | 119.14 |
| Expected Daily | 0.03% | 0.02% |
| Expected Monthly | 0.51% | 0.31% |
| Expected Yearly | 4.34% | 2.6% |
| Kelly Criterion | 4.44% | -2.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.24% | -2.71% |
| Expected Shortfall (cVaR) | -3.24% | -2.71% |
| Max Consecutive Wins | 9 | 9 |
| Max Consecutive Losses | 12 | 7 |
| Gain/Pain Ratio | 0.09 | 0.08 |
| Gain/Pain (1M) | 0.32 | 0.27 |
| Payoff Ratio | 0.95 | 0.92 |
| Profit Factor | 1.09 | 1.08 |
| Common Sense Ratio | 1.29 | 1.18 |
| CPC Index | 0.55 | 0.51 |
| Tail Ratio | 1.18 | 1.09 |
| Outlier Win Ratio | 3.84 | 5.01 |
| Outlier Loss Ratio | 3.48 | 5.03 |
| MTD | -2.65% | -0.79% |
| 3M | 5.57% | 13.42% |
| 6M | 25.76% | 30.02% |
| YTD | 8.03% | 13.91% |
| 1Y | -8.23% | -4.07% |
| 3Y (ann.) | 5.92% | 3.54% |
| 5Y (ann.) | 5.92% | 3.54% |
| 10Y (ann.) | 5.92% | 3.54% |
| All-time (ann.) | 5.92% | 3.54% |
| Best Day | 12.69% | 10.7% |
| Worst Day | -23.86% | -25.72% |
| Best Month | 25.97% | 19.77% |
| Worst Month | -41.8% | -38.01% |
| Best Year | 18.51% | 13.91% |
| Worst Year | -11.27% | -6.4% |
| Avg. Drawdown | -6.0% | -5.73% |
| Avg. Drawdown Days | 48 | 72 |
| Recovery Factor | 0.31 | 0.2 |
| Ulcer Index | 0.17 | 0.17 |
| Serenity Index | 0.05 | 0.02 |
| Avg. Up Month | 7.56% | 5.66% |
| Avg. Down Month | -10.68% | -7.51% |
| Win Days | 53.36% | 50.91% |
| Win Month | 68.0% | 56.0% |
| Win Quarter | 80.0% | 70.0% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.73 | - |
| Alpha | 0.06 | - |
| Correlation | 60.88% | - |
| Treynor Ratio | 18.62% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.31 | 18.51 | 14.17 | + |
| 2022 | -6.40 | -11.27 | 1.76 | - |
| 2023 | 13.91 | 8.03 | 0.58 | - |
| 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 |
| 2021-02-15 | 2021-03-09 | -2.41 | 22 |
| 2021-12-17 | 2021-12-27 | -1.92 | 10 |
| 2021-11-17 | 2021-11-22 | -1.59 | 5 |
| 2021-03-15 | 2021-03-18 | -1.38 | 3 |