| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -5.12% | 13.41% |
| CAGR﹪ | -1.99% | 4.92% |
| Sharpe | -0.24 | 0.05 |
| Prob. Sharpe Ratio | 4.54% | 11.13% |
| Smart Sharpe | -0.23 | 0.05 |
| Sortino | -0.3 | 0.06 |
| Smart Sortino | -0.29 | 0.06 |
| Sortino/√2 | -0.21 | 0.05 |
| Smart Sortino/√2 | -0.2 | 0.04 |
| Omega | 0.95 | 0.95 |
| Max Drawdown | -38.11% | -39.31% |
| Longest DD Days | 349 | 350 |
| Volatility (ann.) | 24.55% | 24.02% |
| R^2 | 0.73 | 0.73 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.05 | 0.13 |
| Skew | -1.51 | -0.96 |
| Kurtosis | 12.57 | 14.37 |
| Expected Daily | -0.01% | 0.02% |
| Expected Monthly | -0.16% | 0.39% |
| Expected Yearly | -1.31% | 3.2% |
| Kelly Criterion | -1.52% | 2.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.54% | -2.46% |
| Expected Shortfall (cVaR) | -2.54% | -2.46% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | 0.01 | 0.07 |
| Gain/Pain (1M) | 0.03 | 0.34 |
| Payoff Ratio | 0.85 | 0.87 |
| Profit Factor | 1.01 | 1.07 |
| Common Sense Ratio | 0.9 | 0.95 |
| CPC Index | 0.46 | 0.51 |
| Tail Ratio | 0.89 | 0.89 |
| Outlier Win Ratio | 3.82 | 3.9 |
| Outlier Loss Ratio | 4.16 | 4.37 |
| MTD | -22.18% | -6.37% |
| 3M | -24.27% | -8.98% |
| 6M | -25.58% | -10.46% |
| YTD | -23.54% | -8.56% |
| 1Y | -14.96% | 2.72% |
| 3Y (ann.) | -1.99% | 4.92% |
| 5Y (ann.) | -1.99% | 4.92% |
| 10Y (ann.) | -1.99% | 4.92% |
| All-time (ann.) | -1.99% | 4.92% |
| Best Day | 8.52% | 10.65% |
| Worst Day | -12.05% | -12.64% |
| Best Month | 14.6% | 14.64% |
| Worst Month | -22.18% | -17.07% |
| Best Year | 14.54% | 15.44% |
| Worst Year | -23.54% | -8.56% |
| Avg. Drawdown | -3.86% | -3.57% |
| Avg. Drawdown Days | 30 | 33 |
| Recovery Factor | -0.13 | 0.34 |
| Ulcer Index | 0.09 | 0.09 |
| Serenity Index | -0.11 | 0.06 |
| Avg. Up Month | 4.01% | 4.13% |
| Avg. Down Month | -6.31% | -4.96% |
| Win Days | 53.23% | 54.4% |
| Win Month | 62.5% | 59.38% |
| Win Quarter | 72.73% | 72.73% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.87 | - |
| Alpha | -0.06 | - |
| Correlation | 85.43% | - |
| Treynor Ratio | -13.88% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 7.05 | 6.80 | 0.97 | - |
| 2020 | 0.37 | 1.44 | 3.90 | + |
| 2021 | 15.44 | 14.54 | 0.94 | - |
| 2022 | -8.56 | -23.54 | 2.75 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-21 | 2021-02-04 | -38.11 | 349 |
| 2021-08-16 | 2022-02-25 | -26.23 | 193 |
| 2019-07-26 | 2019-09-13 | -8.13 | 49 |
| 2021-06-30 | 2021-08-12 | -5.29 | 43 |
| 2019-09-16 | 2019-10-15 | -4.49 | 29 |
| 2020-01-27 | 2020-02-12 | -4.10 | 16 |
| 2019-12-27 | 2020-01-09 | -3.74 | 13 |
| 2021-04-19 | 2021-05-24 | -3.13 | 35 |
| 2021-02-17 | 2021-03-09 | -2.89 | 20 |
| 2019-11-08 | 2019-12-13 | -2.04 | 35 |