| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 80.0% | 100.0% |
| Cumulative Return | 17.32% | 18.11% |
| CAGR﹪ | 3.41% | 3.56% |
| Sharpe | 0.05 | 0.02 |
| Prob. Sharpe Ratio | 16.66% | 37.89% |
| Smart Sharpe | 0.04 | 0.01 |
| Sortino | 0.07 | 0.03 |
| Smart Sortino | 0.05 | 0.02 |
| Sortino/√2 | 0.05 | 0.02 |
| Smart Sortino/√2 | 0.04 | 0.01 |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -16.05% | -14.84% |
| Longest DD Days | 529 | 543 |
| Volatility (ann.) | 15.63% | 7.61% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.21 | 0.24 |
| Skew | -1.35 | -1.27 |
| Kurtosis | 28.82 | 16.33 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.28% | 0.29% |
| Expected Yearly | 2.7% | 2.81% |
| Kelly Criterion | 5.7% | 8.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.59% | -0.76% |
| Expected Shortfall (cVaR) | -1.59% | -0.76% |
| Max Consecutive Wins | 8 | 14 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.13 | 0.23 |
| Gain/Pain (1M) | 0.59 | 0.52 |
| Payoff Ratio | 0.93 | 0.85 |
| Profit Factor | 1.13 | 1.23 |
| Common Sense Ratio | 1.26 | 1.58 |
| CPC Index | 0.57 | 0.61 |
| Tail Ratio | 1.11 | 1.28 |
| Outlier Win Ratio | 5.3 | 8.56 |
| Outlier Loss Ratio | 3.91 | 8.85 |
| MTD | -1.63% | -1.83% |
| 3M | -4.29% | -2.84% |
| 6M | -2.43% | -0.94% |
| YTD | -2.58% | -2.75% |
| 1Y | -5.34% | -5.52% |
| 3Y (ann.) | 1.37% | 1.55% |
| 5Y (ann.) | 3.41% | 3.56% |
| 10Y (ann.) | 3.41% | 3.56% |
| All-time (ann.) | 3.41% | 3.56% |
| Best Day | 6.29% | 2.78% |
| Worst Day | -10.58% | -3.75% |
| Best Month | 5.59% | 6.25% |
| Worst Month | -7.06% | -8.78% |
| Best Year | 9.58% | 9.76% |
| Worst Year | -2.58% | -2.75% |
| Avg. Drawdown | -1.86% | -1.01% |
| Avg. Drawdown Days | 45 | 33 |
| Recovery Factor | 1.08 | 1.22 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 0.45 | 0.31 |
| Avg. Up Month | 1.6% | 1.58% |
| Avg. Down Month | -1.76% | -1.77% |
| Win Days | 54.56% | 57.75% |
| Win Month | 61.82% | 62.5% |
| Win Quarter | 57.89% | 57.89% |
| Win Year | 50.0% | 66.67% |
| Beta | 0.51 | - |
| Alpha | 0.04 | - |
| Correlation | 24.98% | - |
| Treynor Ratio | 20.12% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 4.17 | 4.57 | 1.10 | + |
| 2020 | 9.76 | 9.58 | 0.98 | - |
| 2021 | -2.50 | -2.12 | 0.85 | + |
| 2022 | 8.12 | 8.59 | 1.06 | + |
| 2023 | 0.75 | -1.12 | -1.49 | - |
| 2024 | -2.75 | -2.58 | 0.94 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-01-14 | 2022-06-27 | -16.05 | 529 |
| 2023-06-22 | 2024-06-26 | -7.72 | 370 |
| 2020-02-18 | 2020-04-29 | -5.48 | 71 |
| 2022-06-29 | 2022-12-13 | -4.95 | 167 |
| 2020-08-13 | 2020-09-08 | -4.35 | 26 |
| 2023-01-24 | 2023-04-17 | -3.02 | 83 |
| 2022-12-14 | 2022-12-19 | -2.24 | 5 |
| 2020-10-12 | 2020-12-15 | -1.79 | 64 |
| 2023-01-04 | 2023-01-13 | -1.76 | 9 |
| 2023-04-18 | 2023-05-03 | -1.74 | 15 |