| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 99.0% |
| Cumulative Return | 21.98% | 5.23% |
| CAGR﹪ | 12.41% | 3.05% |
| Sharpe | 0.45 | 0.32 |
| Prob. Sharpe Ratio | 30.19% | 22.4% |
| Smart Sharpe | 0.43 | 0.3 |
| Sortino | 1.04 | 0.38 |
| Smart Sortino | 1.0 | 0.37 |
| Sortino/√2 | 0.74 | 0.27 |
| Smart Sortino/√2 | 0.7 | 0.26 |
| Omega | 1.3 | 1.3 |
| Max Drawdown | -11.03% | -56.44% |
| Longest DD Days | 138 | 542 |
| Volatility (ann.) | 20.07% | 60.95% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 1.12 | 0.05 |
| Skew | 11.78 | -5.26 |
| Kurtosis | 226.63 | 67.51 |
| Expected Daily | 0.06% | 0.01% |
| Expected Monthly | 1.0% | 0.26% |
| Expected Yearly | 6.85% | 1.71% |
| Kelly Criterion | 3.85% | 22.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.02% | -6.21% |
| Expected Shortfall (cVaR) | -2.02% | -6.21% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.59 | 0.1 |
| Gain/Pain (1M) | 2.22 | 0.41 |
| Payoff Ratio | 0.85 | 1.43 |
| Profit Factor | 1.59 | 1.1 |
| Common Sense Ratio | 1.59 | 1.17 |
| CPC Index | 0.75 | 0.86 |
| Tail Ratio | 1.0 | 1.06 |
| Outlier Win Ratio | 13.37 | 1.97 |
| Outlier Loss Ratio | 15.71 | 1.8 |
| MTD | 0.15% | -6.03% |
| 3M | 0.34% | 19.45% |
| 6M | 2.12% | 54.17% |
| YTD | 4.08% | 84.91% |
| 1Y | 7.26% | 90.62% |
| 3Y (ann.) | 12.41% | 3.05% |
| 5Y (ann.) | 12.41% | 3.05% |
| 10Y (ann.) | 12.41% | 3.05% |
| All-time (ann.) | 12.41% | 3.05% |
| Best Day | 21.14% | 17.17% |
| Worst Day | -9.67% | -47.31% |
| Best Month | 20.11% | 30.74% |
| Worst Month | -7.89% | -40.86% |
| Best Year | 17.01% | 84.91% |
| Worst Year | 0.16% | -43.58% |
| Avg. Drawdown | -0.6% | -14.04% |
| Avg. Drawdown Days | 11 | 100 |
| Recovery Factor | 1.99 | 0.09 |
| Ulcer Index | 0.01 | 0.37 |
| Serenity Index | 10.41 | -0.0 |
| Avg. Up Month | 0.84% | 10.82% |
| Avg. Down Month | -0.76% | -4.86% |
| Win Days | 55.81% | 54.37% |
| Win Month | 80.0% | 70.0% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 100.0% | 66.67% |
| Beta | -0.21 | - |
| Alpha | 0.21 | - |
| Correlation | -63.87% | - |
| Treynor Ratio | -71.22% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.87 | 0.16 | 0.18 | - |
| 2022 | -43.58 | 17.01 | -0.39 | + |
| 2023 | 84.91 | 4.08 | 0.05 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-05-23 | -11.03 | 138 |
| 2023-08-15 | 2023-09-04 | -2.31 | 20 |
| 2022-06-16 | 2022-07-08 | -1.94 | 22 |
| 2022-07-13 | 2022-10-05 | -1.77 | 84 |
| 2022-05-24 | 2022-06-03 | -1.50 | 10 |
| 2023-01-12 | 2023-02-08 | -0.98 | 27 |
| 2022-10-18 | 2022-12-08 | -0.85 | 51 |
| 2022-10-06 | 2022-10-10 | -0.63 | 4 |
| 2023-03-28 | 2023-03-30 | -0.40 | 2 |
| 2023-04-14 | 2023-05-03 | -0.38 | 19 |