| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 33.15% | 53.22% |
| CAGR﹪ | 10.84% | 16.58% |
| Sharpe | 0.29 | 0.51 |
| Prob. Sharpe Ratio | 20.62% | 30.82% |
| Smart Sharpe | 0.28 | 0.5 |
| Sortino | 0.37 | 0.7 |
| Smart Sortino | 0.36 | 0.68 |
| Sortino/√2 | 0.26 | 0.5 |
| Smart Sortino/√2 | 0.25 | 0.48 |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -32.48% | -34.3% |
| Longest DD Days | 168 | 180 |
| Volatility (ann.) | 22.05% | 23.28% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.33 | 0.48 |
| Skew | -1.59 | -0.57 |
| Kurtosis | 10.75 | 15.86 |
| Expected Daily | 0.04% | 0.06% |
| Expected Monthly | 0.85% | 1.26% |
| Expected Yearly | 7.42% | 11.26% |
| Kelly Criterion | 6.3% | 5.78% |
| 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 | 8 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.13 | 0.18 |
| Gain/Pain (1M) | 0.56 | 1.13 |
| Payoff Ratio | 0.82 | 0.86 |
| Profit Factor | 1.13 | 1.18 |
| Common Sense Ratio | 1.11 | 0.99 |
| CPC Index | 0.53 | 0.57 |
| Tail Ratio | 0.98 | 0.84 |
| Outlier Win Ratio | 4.95 | 4.63 |
| Outlier Loss Ratio | 4.64 | 4.86 |
| MTD | -16.68% | -2.74% |
| 3M | -21.25% | -6.76% |
| 6M | -17.82% | -2.31% |
| YTD | -22.25% | -8.09% |
| 1Y | -6.13% | 11.72% |
| 3Y (ann.) | 10.84% | 16.58% |
| 5Y (ann.) | 10.84% | 16.58% |
| 10Y (ann.) | 10.84% | 16.58% |
| All-time (ann.) | 10.84% | 16.58% |
| Best Day | 5.18% | 9.54% |
| Worst Day | -10.18% | -11.74% |
| Best Month | 11.85% | 12.79% |
| Worst Month | -16.68% | -12.85% |
| Best Year | 27.39% | 28.06% |
| Worst Year | -22.25% | -8.09% |
| Avg. Drawdown | -2.07% | -1.86% |
| Avg. Drawdown Days | 11 | 11 |
| Recovery Factor | 1.02 | 1.55 |
| Ulcer Index | 0.07 | 0.07 |
| Serenity Index | 0.44 | 0.82 |
| Avg. Up Month | 4.25% | 4.12% |
| Avg. Down Month | -6.31% | -4.7% |
| Win Days | 57.89% | 56.32% |
| 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 | 54.93% | - |
| Treynor Ratio | 50.27% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 12.35 | 13.14 | 1.06 | + |
| 2020 | 15.87 | 18.82 | 1.19 | + |
| 2021 | 28.06 | 27.39 | 0.98 | - |
| 2022 | -8.09 | -22.25 | 2.75 | - |
| 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 |