| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 72.63% | 65.79% |
| CAGR﹪ | 20.04% | 18.43% |
| Sharpe | 0.86 | 1.47 |
| Prob. Sharpe Ratio | 46.08% | 83.56% |
| Smart Sharpe | 0.57 | 0.98 |
| Sortino | 1.3 | 2.1 |
| Smart Sortino | 0.87 | 1.4 |
| Sortino/√2 | 0.92 | 1.49 |
| Smart Sortino/√2 | 0.61 | 0.99 |
| Omega | 1.17 | 1.17 |
| Max Drawdown | -20.03% | -15.28% |
| Longest DD Days | 228 | 432 |
| Volatility (ann.) | 37.35% | 16.34% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.0 | 1.21 |
| Skew | 0.32 | -0.53 |
| Kurtosis | 2.98 | 3.52 |
| Expected Daily | 0.13% | 0.12% |
| Expected Monthly | 1.49% | 1.38% |
| Expected Yearly | 14.62% | 13.47% |
| Kelly Criterion | 6.58% | 14.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.72% | -1.57% |
| Expected Shortfall (cVaR) | -3.72% | -1.57% |
| Max Consecutive Wins | 9 | 11 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.21 | 0.4 |
| Gain/Pain (1M) | 1.74 | 1.64 |
| Payoff Ratio | 0.91 | 0.95 |
| Profit Factor | 1.21 | 1.4 |
| Common Sense Ratio | 1.46 | 1.44 |
| CPC Index | 0.61 | 0.78 |
| Tail Ratio | 1.2 | 1.03 |
| Outlier Win Ratio | 3.06 | 6.79 |
| Outlier Loss Ratio | 2.82 | 6.18 |
| MTD | -1.75% | -3.43% |
| 3M | -7.03% | -9.04% |
| 6M | 16.78% | 12.87% |
| YTD | -6.27% | -6.98% |
| 1Y | 22.55% | 22.37% |
| 3Y (ann.) | 20.18% | 19.0% |
| 5Y (ann.) | 20.04% | 18.43% |
| 10Y (ann.) | 20.04% | 18.43% |
| All-time (ann.) | 20.04% | 18.43% |
| Best Day | 11.28% | 4.58% |
| Worst Day | -9.59% | -4.8% |
| Best Month | 9.14% | 11.12% |
| Worst Month | -11.53% | -6.65% |
| Best Year | 46.01% | 44.9% |
| Worst Year | -6.27% | -6.98% |
| Avg. Drawdown | -4.84% | -2.0% |
| Avg. Drawdown Days | 36 | 30 |
| Recovery Factor | 3.63 | 4.3 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 1.5 | 1.11 |
| Avg. Up Month | 4.46% | 3.99% |
| Avg. Down Month | -4.37% | -3.4% |
| Win Days | 55.56% | 58.23% |
| Win Month | 72.22% | 61.11% |
| Win Quarter | 69.23% | 69.23% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.76 | - |
| Alpha | 0.15 | - |
| Correlation | 33.22% | - |
| Treynor Ratio | 86.44% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 3.27 | 4.52 | 1.38 | + |
| 2020 | 19.11 | 20.69 | 1.08 | + |
| 2021 | 44.90 | 46.01 | 1.02 | + |
| 2022 | -6.98 | -6.27 | 0.90 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-11-25 | 2020-07-10 | -20.03 | 228 |
| 2021-11-17 | 2022-02-22 | -16.92 | 97 |
| 2021-06-16 | 2021-09-17 | -12.59 | 93 |
| 2019-04-18 | 2019-11-22 | -11.88 | 218 |
| 2020-09-02 | 2020-11-11 | -11.53 | 70 |
| 2021-01-27 | 2021-03-30 | -9.91 | 62 |
| 2020-11-23 | 2020-12-29 | -7.00 | 36 |
| 2021-10-25 | 2021-11-16 | -6.42 | 22 |
| 2020-08-17 | 2020-08-31 | -5.29 | 14 |
| 2021-09-20 | 2021-10-08 | -4.14 | 18 |