| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 80.69% | 63.52% |
| CAGR﹪ | 32.52% | 26.37% |
| Sharpe | 1.01 | 0.97 |
| Prob. Sharpe Ratio | 60.19% | 62.29% |
| Smart Sharpe | 0.95 | 0.92 |
| Sortino | 1.43 | 1.39 |
| Smart Sortino | 1.35 | 1.3 |
| Sortino/√2 | 1.01 | 0.98 |
| Smart Sortino/√2 | 0.95 | 0.92 |
| Omega | 1.19 | 1.19 |
| Max Drawdown | -19.17% | -17.88% |
| Longest DD Days | 81 | 104 |
| Volatility (ann.) | 23.94% | 18.84% |
| R^2 | 0.76 | 0.76 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 1.7 | 1.47 |
| Skew | -0.5 | -0.64 |
| Kurtosis | 5.22 | 7.45 |
| Expected Daily | 0.11% | 0.09% |
| Expected Monthly | 2.3% | 1.91% |
| Expected Yearly | 21.8% | 17.81% |
| Kelly Criterion | 11.49% | 8.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.36% | -1.85% |
| Expected Shortfall (cVaR) | -2.36% | -1.85% |
| Max Consecutive Wins | 9 | 10 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | 0.25 | 0.27 |
| Gain/Pain (1M) | 1.83 | 2.09 |
| Payoff Ratio | 0.96 | 0.98 |
| Profit Factor | 1.25 | 1.27 |
| Common Sense Ratio | 1.52 | 1.52 |
| CPC Index | 0.68 | 0.68 |
| Tail Ratio | 1.22 | 1.2 |
| Outlier Win Ratio | 3.12 | 3.95 |
| Outlier Loss Ratio | 2.95 | 4.06 |
| MTD | -11.15% | -5.39% |
| 3M | -15.35% | -7.24% |
| 6M | -9.68% | -2.07% |
| YTD | -16.45% | -8.28% |
| 1Y | 5.7% | 12.49% |
| 3Y (ann.) | 32.52% | 26.37% |
| 5Y (ann.) | 32.52% | 26.37% |
| 10Y (ann.) | 32.52% | 26.37% |
| All-time (ann.) | 32.52% | 26.37% |
| Best Day | 8.3% | 6.08% |
| Worst Day | -8.84% | -8.57% |
| Best Month | 12.9% | 10.84% |
| Worst Month | -11.15% | -6.23% |
| Best Year | 65.76% | 40.18% |
| Worst Year | -16.45% | -8.28% |
| Avg. Drawdown | -3.62% | -2.32% |
| Avg. Drawdown Days | 16 | 15 |
| Recovery Factor | 4.21 | 3.55 |
| Ulcer Index | 0.05 | 0.04 |
| Serenity Index | 2.73 | 2.8 |
| Avg. Up Month | 5.47% | 4.27% |
| Avg. Down Month | -5.9% | -4.1% |
| Win Days | 56.63% | 54.92% |
| Win Month | 73.08% | 73.08% |
| Win Quarter | 88.89% | 77.78% |
| Win Year | 66.67% | 66.67% |
| Beta | 1.11 | - |
| Alpha | 0.03 | - |
| Correlation | 87.01% | - |
| Treynor Ratio | 66.63% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 40.18 | 65.76 | 1.64 | + |
| 2021 | 27.18 | 30.47 | 1.12 | + |
| 2022 | -8.28 | -16.45 | 1.99 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-02-25 | -19.17 | 51 |
| 2020-02-21 | 2020-04-16 | -15.14 | 55 |
| 2020-09-03 | 2020-10-13 | -11.51 | 40 |
| 2021-04-12 | 2021-07-02 | -9.94 | 81 |
| 2021-08-31 | 2021-11-08 | -8.45 | 69 |
| 2021-02-16 | 2021-04-01 | -7.68 | 44 |
| 2021-11-23 | 2021-12-29 | -6.84 | 36 |
| 2020-10-15 | 2020-11-30 | -6.39 | 46 |
| 2020-12-23 | 2021-01-21 | -4.76 | 29 |
| 2020-12-02 | 2020-12-21 | -4.56 | 19 |