| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 71.57% | 98.55% |
| CAGR﹪ | 21.54% | 28.13% |
| Sharpe | 0.63 | 0.81 |
| Prob. Sharpe Ratio | 35.24% | 45.89% |
| Smart Sharpe | 0.56 | 0.72 |
| Sortino | 0.84 | 1.15 |
| Smart Sortino | 0.75 | 1.03 |
| Sortino/√2 | 0.59 | 0.81 |
| Smart Sortino/√2 | 0.53 | 0.73 |
| Omega | 1.13 | 1.13 |
| Max Drawdown | -31.71% | -30.35% |
| Longest DD Days | 110 | 109 |
| Volatility (ann.) | 27.99% | 28.56% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.68 | 0.93 |
| Skew | -1.48 | -0.27 |
| Kurtosis | 16.62 | 10.88 |
| Expected Daily | 0.08% | 0.1% |
| Expected Monthly | 1.6% | 2.04% |
| Expected Yearly | 14.45% | 18.7% |
| Kelly Criterion | 7.89% | 6.88% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.8% | -2.84% |
| Expected Shortfall (cVaR) | -2.8% | -2.84% |
| Max Consecutive Wins | 8 | 7 |
| Max Consecutive Losses | 10 | 6 |
| Gain/Pain Ratio | 0.18 | 0.22 |
| Gain/Pain (1M) | 1.03 | 1.68 |
| Payoff Ratio | 0.94 | 0.9 |
| Profit Factor | 1.18 | 1.22 |
| Common Sense Ratio | 1.15 | 1.12 |
| CPC Index | 0.61 | 0.62 |
| Tail Ratio | 0.97 | 0.92 |
| Outlier Win Ratio | 3.93 | 3.84 |
| Outlier Loss Ratio | 4.05 | 4.03 |
| MTD | -17.27% | -5.64% |
| 3M | -24.23% | -12.32% |
| 6M | -20.4% | -8.03% |
| YTD | -25.09% | -13.49% |
| 1Y | -6.6% | 8.28% |
| 3Y (ann.) | 21.54% | 28.13% |
| 5Y (ann.) | 21.54% | 28.13% |
| 10Y (ann.) | 21.54% | 28.13% |
| All-time (ann.) | 21.54% | 28.13% |
| Best Day | 9.45% | 11.19% |
| Worst Day | -16.87% | -13.46% |
| Best Month | 12.58% | 14.56% |
| Worst Month | -17.27% | -9.1% |
| Best Year | 46.42% | 45.52% |
| Worst Year | -25.09% | -13.49% |
| Avg. Drawdown | -2.78% | -2.67% |
| Avg. Drawdown Days | 12 | 13 |
| Recovery Factor | 2.26 | 3.25 |
| Ulcer Index | 0.07 | 0.07 |
| Serenity Index | 1.34 | 1.99 |
| Avg. Up Month | 5.52% | 5.53% |
| Avg. Down Month | -6.52% | -5.19% |
| Win Days | 55.47% | 55.79% |
| Win Month | 70.59% | 67.65% |
| Win Quarter | 83.33% | 83.33% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.6 | - |
| Alpha | 0.06 | - |
| Correlation | 60.96% | - |
| Treynor Ratio | 108.07% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 20.67 | 19.83 | 0.96 | - |
| 2020 | 45.52 | 46.42 | 1.02 | + |
| 2021 | 30.70 | 30.54 | 0.99 | - |
| 2022 | -13.49 | -25.09 | 1.86 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-20 | 2020-06-09 | -31.71 | 110 |
| 2021-12-30 | 2022-02-25 | -30.51 | 57 |
| 2020-09-02 | 2020-12-01 | -12.67 | 90 |
| 2021-02-16 | 2021-04-08 | -9.56 | 51 |
| 2021-09-08 | 2021-11-02 | -7.74 | 55 |
| 2019-08-01 | 2019-10-28 | -7.64 | 88 |
| 2021-04-27 | 2021-06-14 | -7.51 | 48 |
| 2021-11-22 | 2021-12-29 | -6.24 | 37 |
| 2019-05-23 | 2019-06-07 | -4.96 | 15 |
| 2020-06-11 | 2020-06-19 | -4.31 | 8 |