| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 11.57% | 24.65% |
| CAGR﹪ | 11.27% | 23.99% |
| Sharpe | 0.35 | 0.79 |
| Prob. Sharpe Ratio | 39.61% | 50.25% |
| Smart Sharpe | 0.34 | 0.78 |
| Sortino | 0.48 | 1.35 |
| Smart Sortino | 0.47 | 1.32 |
| Sortino/√2 | 0.34 | 0.95 |
| Smart Sortino/√2 | 0.33 | 0.93 |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -10.6% | -10.7% |
| Longest DD Days | 83 | 189 |
| Volatility (ann.) | 13.54% | 20.97% |
| R^2 | 0.25 | 0.25 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.06 | 2.24 |
| Skew | -0.49 | 2.61 |
| Kurtosis | 2.01 | 35.65 |
| Expected Daily | 0.04% | 0.08% |
| Expected Monthly | 0.85% | 1.71% |
| Expected Yearly | 5.63% | 11.65% |
| Kelly Criterion | 7.66% | 12.8% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.36% | -2.08% |
| Expected Shortfall (cVaR) | -1.36% | -2.08% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 7 | 12 |
| Gain/Pain Ratio | 0.15 | 0.27 |
| Gain/Pain (1M) | 0.65 | 3.82 |
| Payoff Ratio | 1.07 | 1.16 |
| Profit Factor | 1.15 | 1.27 |
| Common Sense Ratio | 0.99 | 1.49 |
| CPC Index | 0.64 | 0.79 |
| Tail Ratio | 0.86 | 1.17 |
| Outlier Win Ratio | 3.76 | 3.03 |
| Outlier Loss Ratio | 3.56 | 3.02 |
| MTD | -5.39% | 4.7% |
| 3M | -7.24% | 7.93% |
| 6M | -2.07% | 11.44% |
| YTD | -8.28% | 4.46% |
| 1Y | 12.49% | 26.33% |
| 3Y (ann.) | 11.27% | 23.99% |
| 5Y (ann.) | 11.27% | 23.99% |
| 10Y (ann.) | 11.27% | 23.99% |
| All-time (ann.) | 11.27% | 23.99% |
| Best Day | 2.42% | 12.69% |
| Worst Day | -4.02% | -7.84% |
| Best Month | 4.94% | 8.59% |
| Worst Month | -5.82% | -3.19% |
| Best Year | 21.64% | 19.33% |
| Worst Year | -8.28% | 4.46% |
| Avg. Drawdown | -2.19% | -2.94% |
| Avg. Drawdown Days | 17 | 24 |
| Recovery Factor | 1.09 | 2.3 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 0.2 | 1.24 |
| Avg. Up Month | 3.89% | 3.36% |
| Avg. Down Month | -3.4% | -1.53% |
| Win Days | 52.31% | 53.1% |
| Win Month | 61.54% | 69.23% |
| Win Quarter | 60.0% | 80.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 0.32 | - |
| Alpha | 0.04 | - |
| Correlation | 49.71% | - |
| Treynor Ratio | 14.24% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 19.33 | 21.64 | 1.12 | + |
| 2022 | 4.46 | -8.28 | -1.86 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-02-25 | -10.60 | 51 |
| 2021-08-31 | 2021-11-03 | -6.45 | 64 |
| 2021-11-23 | 2021-12-29 | -5.77 | 36 |
| 2021-04-13 | 2021-07-05 | -5.73 | 83 |
| 2021-02-20 | 2021-03-17 | -3.45 | 25 |
| 2021-07-13 | 2021-08-09 | -2.51 | 27 |
| 2021-08-13 | 2021-08-20 | -1.24 | 7 |
| 2021-11-08 | 2021-11-12 | -1.06 | 4 |
| 2021-11-17 | 2021-11-18 | -0.95 | 1 |
| 2021-07-08 | 2021-07-12 | -0.93 | 4 |