| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 82.0% | 100.0% |
| Cumulative Return | 28.96% | 22.56% |
| CAGR﹪ | 6.81% | 5.42% |
| Sharpe | 1.21 | 18.16 |
| Prob. Sharpe Ratio | 95.45% | 100.0% |
| Smart Sharpe | 0.91 | 13.65 |
| Sortino | 1.76 | 50.8 |
| Smart Sortino | 1.32 | 38.19 |
| Sortino/√2 | 1.24 | 35.92 |
| Smart Sortino/√2 | 0.93 | 27.0 |
| Omega | 1.33 | 1.33 |
| Max Drawdown | -8.67% | -1.25% |
| Longest DD Days | 150 | 211 |
| Volatility (ann.) | 10.71% | 0.55% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.79 | 4.32 |
| Skew | -0.53 | -0.62 |
| Kurtosis | 10.51 | 1.2 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 0.55% | 0.44% |
| Expected Yearly | 5.22% | 4.15% |
| Kelly Criterion | 9.77% | 79.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.06% | -0.02% |
| Expected Shortfall (cVaR) | -1.06% | -0.02% |
| Max Consecutive Wins | 5 | 301 |
| Max Consecutive Losses | 4 | 30 |
| Gain/Pain Ratio | 0.33 | 12.62 |
| Gain/Pain (1M) | 2.05 | 12.62 |
| Payoff Ratio | 0.89 | 1.44 |
| Profit Factor | 1.33 | 13.62 |
| Common Sense Ratio | 1.82 | 46.96 |
| CPC Index | 0.68 | 17.28 |
| Tail Ratio | 1.37 | 3.45 |
| Outlier Win Ratio | 3.14 | 20.78 |
| Outlier Loss Ratio | 2.13 | 36.79 |
| MTD | 0.15% | 0.3% |
| 3M | 0.93% | 1.75% |
| 6M | 4.01% | 3.75% |
| YTD | 2.53% | 3.08% |
| 1Y | 12.07% | 3.3% |
| 3Y (ann.) | 5.59% | 6.06% |
| 5Y (ann.) | 6.81% | 5.42% |
| 10Y (ann.) | 6.81% | 5.42% |
| All-time (ann.) | 6.81% | 5.42% |
| Best Day | 3.37% | 0.13% |
| Worst Day | -4.69% | -0.08% |
| Best Month | 4.86% | 1.56% |
| Worst Month | -5.24% | -0.52% |
| Best Year | 9.49% | 8.39% |
| Worst Year | 1.09% | 0.53% |
| Avg. Drawdown | -0.95% | -0.53% |
| Avg. Drawdown Days | 17 | 124 |
| Recovery Factor | 3.34 | 17.98 |
| Ulcer Index | 0.01 | 0.0 |
| Serenity Index | 5.03 | 6.29 |
| Avg. Up Month | 1.1% | 0.49% |
| Avg. Down Month | - | - |
| Win Days | 57.62% | 88.16% |
| Win Month | 73.33% | 86.67% |
| Win Quarter | 81.25% | 87.5% |
| Win Year | 100.0% | 100.0% |
| Beta | -0.5 | - |
| Alpha | 0.18 | - |
| Correlation | -2.53% | - |
| Treynor Ratio | -58.41% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 0.53 | 4.98 | 9.39 | + |
| 2020 | 4.91 | 8.25 | 1.68 | + |
| 2021 | 8.39 | 1.09 | 0.13 | - |
| 2022 | 4.01 | 9.49 | 2.37 | + |
| 2023 | 3.08 | 2.53 | 0.82 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-11 | 2022-06-10 | -8.67 | 150 |
| 2020-02-28 | 2020-04-13 | -3.41 | 45 |
| 2022-08-29 | 2022-10-19 | -3.30 | 51 |
| 2022-06-17 | 2022-07-15 | -2.69 | 28 |
| 2023-02-02 | 2023-03-23 | -2.18 | 49 |
| 2023-01-18 | 2023-02-01 | -2.18 | 14 |
| 2021-09-23 | 2021-12-28 | -1.97 | 96 |
| 2022-10-21 | 2022-11-08 | -1.92 | 18 |
| 2022-12-26 | 2023-01-04 | -1.89 | 9 |
| 2022-11-16 | 2022-12-12 | -1.75 | 26 |