| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 98.0% |
| Cumulative Return | 18.87% | -38.11% |
| CAGR﹪ | 9.74% | -22.73% |
| Sharpe | 0.37 | -0.52 |
| Prob. Sharpe Ratio | 27.38% | 2.81% |
| Smart Sharpe | 0.35 | -0.49 |
| Sortino | 0.82 | -0.6 |
| Smart Sortino | 0.77 | -0.56 |
| Sortino/√2 | 0.58 | -0.42 |
| Smart Sortino/√2 | 0.54 | -0.4 |
| Omega | 1.23 | 1.23 |
| Max Drawdown | -11.03% | -58.94% |
| Longest DD Days | 146 | 668 |
| Volatility (ann.) | 19.37% | 49.93% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.88 | -0.39 |
| Skew | 11.11 | -5.9 |
| Kurtosis | 216.16 | 71.72 |
| Expected Daily | 0.05% | -0.13% |
| Expected Monthly | 0.87% | -2.37% |
| Expected Yearly | 5.93% | -14.78% |
| Kelly Criterion | 13.3% | 10.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.95% | -5.25% |
| Expected Shortfall (cVaR) | -1.95% | -5.25% |
| Max Consecutive Wins | 8 | 11 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.5 | -0.08 |
| Gain/Pain (1M) | 1.49 | -0.21 |
| Payoff Ratio | 1.07 | 1.14 |
| Profit Factor | 1.5 | 0.92 |
| Common Sense Ratio | 1.47 | 0.91 |
| CPC Index | 0.88 | 0.54 |
| Tail Ratio | 0.98 | 0.99 |
| Outlier Win Ratio | 11.2 | 2.07 |
| Outlier Loss Ratio | 15.01 | 1.97 |
| MTD | 0.29% | -13.79% |
| 3M | -3.9% | -30.68% |
| 6M | -0.53% | 0.2% |
| YTD | 1.43% | 12.23% |
| 1Y | 2.58% | 21.14% |
| 3Y (ann.) | 9.74% | -22.73% |
| 5Y (ann.) | 9.74% | -22.73% |
| 10Y (ann.) | 9.74% | -22.73% |
| All-time (ann.) | 9.74% | -22.73% |
| Best Day | 20.11% | 9.64% |
| Worst Day | -9.67% | -39.7% |
| Best Month | 20.11% | 29.6% |
| Worst Month | -7.89% | -39.7% |
| Best Year | 17.01% | 12.23% |
| Worst Year | 0.16% | -46.24% |
| Avg. Drawdown | -0.7% | -30.27% |
| Avg. Drawdown Days | 14 | 335 |
| Recovery Factor | 1.71 | -0.65 |
| Ulcer Index | 0.01 | 0.39 |
| Serenity Index | 3.82 | -0.06 |
| Avg. Up Month | 1.08% | 11.41% |
| Avg. Down Month | -2.41% | -5.36% |
| Win Days | 55.23% | 52.15% |
| Win Month | 70.0% | 50.0% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 100.0% | 66.67% |
| Beta | -0.23 | - |
| Alpha | 0.09 | - |
| Correlation | -59.88% | - |
| Treynor Ratio | -51.07% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.58 | 0.16 | 0.06 | - |
| 2022 | -46.24 | 17.01 | -0.37 | + |
| 2023 | 12.23 | 1.43 | 0.12 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-05-31 | -11.03 | 146 |
| 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 | 2023-01-11 | -0.24 | 5 |