| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 68.03% | 8.32% |
| CAGR﹪ | 26.64% | 3.7% |
| Sharpe | 1.01 | -0.22 |
| Prob. Sharpe Ratio | 64.58% | 15.78% |
| Smart Sharpe | 0.98 | -0.21 |
| Sortino | 1.43 | -0.26 |
| Smart Sortino | 1.39 | -0.26 |
| Sortino/√2 | 1.01 | -0.19 |
| Smart Sortino/√2 | 0.99 | -0.18 |
| Omega | 1.2 | 1.2 |
| Max Drawdown | -17.88% | -17.76% |
| Longest DD Days | 104 | 133 |
| Volatility (ann.) | 18.52% | 11.26% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 1.49 | 0.21 |
| Skew | -0.65 | -5.9 |
| Kurtosis | 7.75 | 96.05 |
| Expected Daily | 0.09% | 0.01% |
| Expected Monthly | 1.94% | 0.3% |
| Expected Yearly | 13.85% | 2.02% |
| Kelly Criterion | 10.0% | 0.48% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.82% | -1.15% |
| Expected Shortfall (cVaR) | -1.82% | -1.15% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | 0.28 | 0.09 |
| Gain/Pain (1M) | 2.19 | 0.47 |
| Payoff Ratio | 0.98 | 0.84 |
| Profit Factor | 1.28 | 1.09 |
| Common Sense Ratio | 1.52 | 1.24 |
| CPC Index | 0.7 | 0.5 |
| Tail Ratio | 1.18 | 1.13 |
| Outlier Win Ratio | 2.69 | 6.23 |
| Outlier Loss Ratio | 2.81 | 5.48 |
| MTD | -5.39% | -9.74% |
| 3M | -7.24% | -11.35% |
| 6M | -2.07% | -11.61% |
| YTD | -8.28% | -11.35% |
| 1Y | 12.49% | -6.22% |
| 3Y (ann.) | 26.64% | 3.7% |
| 5Y (ann.) | 26.64% | 3.7% |
| 10Y (ann.) | 26.64% | 3.7% |
| All-time (ann.) | 26.64% | 3.7% |
| Best Day | 6.08% | 4.59% |
| Worst Day | -8.57% | -10.6% |
| Best Month | 10.84% | 6.61% |
| Worst Month | -6.23% | -9.74% |
| Best Year | 44.05% | 16.9% |
| Worst Year | -8.28% | -11.35% |
| Avg. Drawdown | -2.22% | -1.73% |
| Avg. Drawdown Days | 14 | 23 |
| Recovery Factor | 3.8 | 0.47 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 3.08 | 0.08 |
| Avg. Up Month | 4.08% | 1.85% |
| Avg. Down Month | -4.01% | -3.69% |
| Win Days | 55.56% | 54.6% |
| Win Month | 74.07% | 61.54% |
| Win Quarter | 80.0% | 70.0% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.48 | - |
| Alpha | 0.23 | - |
| Correlation | 29.1% | - |
| Treynor Ratio | 127.54% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 0.99 | 0.00 | 0.00 | - |
| 2020 | 16.90 | 44.05 | 2.61 | + |
| 2021 | 3.49 | 27.18 | 7.79 | + |
| 2022 | -11.35 | -8.28 | 0.73 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-21 | 2020-06-04 | -17.88 | 104 |
| 2022-01-05 | 2022-02-25 | -10.60 | 51 |
| 2020-09-03 | 2020-10-05 | -6.95 | 32 |
| 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 |
| 2020-10-19 | 2020-11-09 | -5.35 | 21 |
| 2021-02-03 | 2021-03-22 | -4.08 | 47 |
| 2020-06-10 | 2020-07-02 | -3.76 | 22 |
| 2020-12-02 | 2020-12-22 | -3.71 | 20 |