| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 33.15% | 53.33% |
| CAGR﹪ | 10.84% | 16.62% |
| Sharpe | -2.55 | -2.18 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.48 | -2.12 |
| Sortino | -2.99 | -2.72 |
| Smart Sortino | -2.91 | -2.65 |
| Sortino/√2 | -2.11 | -1.93 |
| Smart Sortino/√2 | -2.05 | -1.87 |
| Omega | 0.6 | 0.6 |
| Max Drawdown | -32.48% | -33.92% |
| Longest DD Days | 168 | 180 |
| Volatility (ann.) | 22.05% | 23.33% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.33 | 0.49 |
| Skew | -1.59 | -0.6 |
| Kurtosis | 10.75 | 15.81 |
| Expected Daily | 0.04% | 0.06% |
| Expected Monthly | 0.85% | 1.27% |
| Expected Yearly | 7.42% | 11.28% |
| Kelly Criterion | 5.98% | 6.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.23% | -2.34% |
| Expected Shortfall (cVaR) | -2.23% | -2.34% |
| Max Consecutive Wins | 9 | 7 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.13 | 0.18 |
| Gain/Pain (1M) | 0.56 | 1.13 |
| Payoff Ratio | 0.81 | 0.87 |
| Profit Factor | 1.13 | 1.18 |
| Common Sense Ratio | 1.11 | 1.05 |
| CPC Index | 0.53 | 0.58 |
| Tail Ratio | 0.98 | 0.89 |
| Outlier Win Ratio | 4.97 | 4.61 |
| Outlier Loss Ratio | 4.62 | 4.85 |
| MTD | -16.68% | -2.9% |
| 3M | -21.25% | -6.74% |
| 6M | -17.82% | -2.26% |
| YTD | -22.25% | -8.25% |
| 1Y | -6.13% | 11.7% |
| 3Y (ann.) | 10.84% | 16.62% |
| 5Y (ann.) | 10.84% | 16.62% |
| 10Y (ann.) | 10.84% | 16.62% |
| All-time (ann.) | 10.84% | 16.62% |
| Best Day | 5.18% | 9.38% |
| Worst Day | -10.18% | -11.98% |
| Best Month | 11.85% | 12.68% |
| Worst Month | -16.68% | -12.51% |
| Best Year | 27.39% | 28.05% |
| Worst Year | -22.25% | -8.25% |
| Avg. Drawdown | -2.07% | -1.86% |
| Avg. Drawdown Days | 11 | 11 |
| Recovery Factor | 1.02 | 1.57 |
| Ulcer Index | 0.07 | 0.07 |
| Serenity Index | -1.13 | -0.83 |
| Avg. Up Month | 4.25% | 4.13% |
| Avg. Down Month | -6.31% | -4.72% |
| Win Days | 57.89% | 56.21% |
| Win Month | 70.59% | 67.65% |
| Win Quarter | 75.0% | 83.33% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.52 | - |
| Alpha | 0.03 | - |
| Correlation | 54.8% | - |
| Treynor Ratio | -129.11% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 12.65 | 13.14 | 1.04 | + |
| 2020 | 15.86 | 18.82 | 1.19 | + |
| 2021 | 28.05 | 27.39 | 0.98 | - |
| 2022 | -8.25 | -22.25 | 2.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-21 | 2020-08-07 | -32.48 | 168 |
| 2021-12-30 | 2022-02-25 | -22.61 | 57 |
| 2020-09-03 | 2020-10-12 | -8.34 | 39 |
| 2020-10-13 | 2020-11-09 | -7.92 | 27 |
| 2019-07-30 | 2019-10-28 | -6.36 | 90 |
| 2021-09-07 | 2021-10-22 | -5.20 | 45 |
| 2021-02-17 | 2021-03-16 | -4.85 | 27 |
| 2021-11-23 | 2021-12-27 | -4.66 | 34 |
| 2019-05-20 | 2019-06-10 | -3.81 | 21 |
| 2021-04-30 | 2021-05-28 | -3.80 | 28 |