| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 98.0% |
| Cumulative Return | 18.8% | -0.81% |
| CAGR﹪ | 9.76% | -0.44% |
| Sharpe | 0.37 | 0.17 |
| Prob. Sharpe Ratio | 25.49% | 18.25% |
| Smart Sharpe | 0.34 | 0.15 |
| Sortino | 0.9 | 0.2 |
| Smart Sortino | 0.84 | 0.19 |
| Sortino/√2 | 0.64 | 0.14 |
| Smart Sortino/√2 | 0.59 | 0.13 |
| Omega | 1.25 | 1.25 |
| Max Drawdown | -11.03% | -52.08% |
| Longest DD Days | 156 | 498 |
| Volatility (ann.) | 21.73% | 52.58% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.88 | -0.01 |
| Skew | 12.23 | -5.19 |
| Kurtosis | 226.23 | 67.66 |
| Expected Daily | 0.05% | -0.0% |
| Expected Monthly | 0.91% | -0.04% |
| Expected Yearly | 5.91% | -0.27% |
| Kelly Criterion | -18.61% | 9.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.19% | -5.39% |
| Expected Shortfall (cVaR) | -2.19% | -5.39% |
| Max Consecutive Wins | 6 | 6 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | 0.51 | 0.07 |
| Gain/Pain (1M) | 1.52 | 0.22 |
| Payoff Ratio | 0.63 | 1.07 |
| Profit Factor | 1.51 | 1.07 |
| Common Sense Ratio | 1.43 | 1.1 |
| CPC Index | 0.51 | 0.61 |
| Tail Ratio | 0.95 | 1.03 |
| Outlier Win Ratio | 10.05 | 1.79 |
| Outlier Loss Ratio | 14.66 | 1.97 |
| MTD | 0.29% | -11.4% |
| 3M | -3.9% | -19.98% |
| 6M | -0.53% | 5.45% |
| YTD | 1.43% | 20.98% |
| 1Y | 2.58% | 59.56% |
| 3Y (ann.) | 9.76% | -0.44% |
| 5Y (ann.) | 9.76% | -0.44% |
| 10Y (ann.) | 9.76% | -0.44% |
| All-time (ann.) | 9.76% | -0.44% |
| Best Day | 22.67% | 13.83% |
| Worst Day | -9.67% | -40.6% |
| Best Month | 22.81% | 24.39% |
| Worst Month | -7.89% | -48.12% |
| Best Year | 17.01% | 20.98% |
| Worst Year | 0.1% | -19.22% |
| Avg. Drawdown | -0.76% | -8.33% |
| Avg. Drawdown Days | 15 | 53 |
| Recovery Factor | 1.7 | -0.02 |
| Ulcer Index | 0.01 | 0.27 |
| Serenity Index | 4.08 | -0.02 |
| Avg. Up Month | 0.99% | 10.17% |
| Avg. Down Month | -1.15% | -6.24% |
| Win Days | 54.38% | 53.43% |
| Win Month | 68.42% | 68.42% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 66.67% |
| Beta | -0.24 | - |
| Alpha | 0.19 | - |
| Correlation | -58.41% | - |
| Treynor Ratio | -48.86% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.50 | 0.10 | 0.07 | - |
| 2022 | -19.22 | 17.01 | -0.88 | + |
| 2023 | 20.98 | 1.43 | 0.07 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-06-10 | -11.03 | 156 |
| 2023-08-15 | 2023-11-02 | -4.69 | 79 |
| 2022-06-16 | 2022-07-08 | -1.94 | 22 |
| 2022-07-13 | 2022-10-05 | -1.77 | 84 |
| 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 |
| 2022-10-12 | 2022-10-14 | -0.36 | 2 |
| 2023-02-15 | 2023-02-17 | -0.30 | 2 |
| 2023-01-06 | 2023-01-10 | -0.24 | 4 |