| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 90.0% | 79.0% |
| Cumulative Return | 11.93% | 14.66% |
| CAGR﹪ | 5.91% | 7.22% |
| Sharpe | -0.02 | 0.11 |
| Prob. Sharpe Ratio | 25.2% | 54.42% |
| Smart Sharpe | -0.02 | 0.09 |
| Sortino | -0.03 | 0.14 |
| Smart Sortino | -0.02 | 0.11 |
| Sortino/√2 | -0.02 | 0.1 |
| Smart Sortino/√2 | -0.02 | 0.08 |
| Omega | 1.0 | 1.0 |
| Max Drawdown | -8.14% | -8.67% |
| Longest DD Days | 200 | 201 |
| Volatility (ann.) | 10.48% | 6.22% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.73 | 0.83 |
| Skew | 0.13 | -2.39 |
| Kurtosis | 9.66 | 24.55 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.49% | 0.6% |
| Expected Yearly | 3.83% | 4.66% |
| Kelly Criterion | 12.51% | 14.77% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.06% | -0.61% |
| Expected Shortfall (cVaR) | -1.06% | -0.61% |
| Max Consecutive Wins | 7 | 10 |
| Max Consecutive Losses | 8 | 5 |
| Gain/Pain Ratio | 0.15 | 0.32 |
| Gain/Pain (1M) | 1.04 | 1.23 |
| Payoff Ratio | 1.23 | 0.85 |
| Profit Factor | 1.15 | 1.32 |
| Common Sense Ratio | 1.19 | 1.55 |
| CPC Index | 0.73 | 0.68 |
| Tail Ratio | 1.04 | 1.17 |
| Outlier Win Ratio | 5.02 | 10.32 |
| Outlier Loss Ratio | 3.97 | 5.44 |
| MTD | -1.23% | 0.88% |
| 3M | 0.09% | 2.59% |
| 6M | -1.14% | 0.7% |
| YTD | -1.23% | 0.88% |
| 1Y | 1.26% | 3.32% |
| 3Y (ann.) | 5.91% | 7.22% |
| 5Y (ann.) | 5.91% | 7.22% |
| 10Y (ann.) | 5.91% | 7.22% |
| All-time (ann.) | 5.91% | 7.22% |
| Best Day | 3.63% | 1.93% |
| Worst Day | -3.56% | -3.54% |
| Best Month | 5.61% | 4.95% |
| Worst Month | -4.17% | -6.08% |
| Best Year | 11.03% | 10.47% |
| Worst Year | -1.23% | 0.88% |
| Avg. Drawdown | -1.45% | -0.69% |
| Avg. Drawdown Days | 24 | 14 |
| Recovery Factor | 1.46 | 1.69 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.57 | 0.54 |
| Avg. Up Month | 1.58% | 1.6% |
| Avg. Down Month | -1.84% | -2.26% |
| Win Days | 51.76% | 60.92% |
| Win Month | 65.22% | 78.26% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 66.67% | 100.0% |
| Beta | 0.77 | - |
| Alpha | 0.01 | - |
| Correlation | 45.54% | - |
| Treynor Ratio | 6.42% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 10.47 | 11.03 | 1.05 | + |
| 2023 | 2.89 | 2.06 | 0.71 | - |
| 2024 | 0.88 | -1.23 | -1.40 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-10 | 2022-05-24 | -8.14 | 103 |
| 2022-08-09 | 2022-12-28 | -6.28 | 141 |
| 2022-06-17 | 2022-07-08 | -4.09 | 21 |
| 2022-05-25 | 2022-05-27 | -3.56 | 2 |
| 2022-06-14 | 2022-06-16 | -2.89 | 2 |
| 2023-06-29 | 2024-01-15 | -2.79 | 200 |
| 2024-01-16 | 2024-01-24 | -2.00 | 8 |
| 2022-06-03 | 2022-06-07 | -1.74 | 4 |
| 2022-05-30 | 2022-05-31 | -0.99 | 1 |
| 2023-01-05 | 2023-03-16 | -0.98 | 70 |