| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 19.43% | -16.05% |
| CAGR﹪ | 16.52% | -13.98% |
| Sharpe | 0.65 | -0.2 |
| Prob. Sharpe Ratio | 38.85% | 14.03% |
| Smart Sharpe | 0.62 | -0.19 |
| Sortino | 1.73 | -0.22 |
| Smart Sortino | 1.64 | -0.21 |
| Sortino/√2 | 1.22 | -0.16 |
| Smart Sortino/√2 | 1.16 | -0.15 |
| Omega | 1.51 | 1.51 |
| Max Drawdown | -11.03% | -43.59% |
| Longest DD Days | 190 | 225 |
| Volatility (ann.) | 30.01% | 53.07% |
| R^2 | 0.68 | 0.68 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.5 | -0.32 |
| Skew | 10.14 | -8.76 |
| Kurtosis | 143.0 | 105.3 |
| Expected Daily | 0.09% | -0.09% |
| Expected Monthly | 1.63% | -1.58% |
| Expected Yearly | 6.1% | -5.67% |
| Kelly Criterion | 16.5% | 13.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.0% | -5.52% |
| Expected Shortfall (cVaR) | -3.0% | -5.52% |
| Max Consecutive Wins | 5 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.74 | -0.02 |
| Gain/Pain (1M) | 2.3 | -0.07 |
| Payoff Ratio | 1.08 | 1.1 |
| Profit Factor | 1.74 | 0.98 |
| Common Sense Ratio | 1.7 | 1.01 |
| CPC Index | 1.07 | 0.59 |
| Tail Ratio | 0.97 | 1.03 |
| Outlier Win Ratio | 6.38 | 1.92 |
| Outlier Loss Ratio | 7.31 | 1.4 |
| MTD | 1.76% | 6.2% |
| 3M | 3.55% | 21.15% |
| 6M | 5.04% | 20.57% |
| YTD | 1.97% | 9.42% |
| 1Y | 20.29% | -13.55% |
| 3Y (ann.) | 16.52% | -13.98% |
| 5Y (ann.) | 16.52% | -13.98% |
| 10Y (ann.) | 16.52% | -13.98% |
| All-time (ann.) | 16.52% | -13.98% |
| Best Day | 24.47% | 5.9% |
| Worst Day | -9.67% | -40.25% |
| Best Month | 24.08% | 13.32% |
| Worst Month | -7.89% | -31.41% |
| Best Year | 17.01% | 9.42% |
| Worst Year | 0.1% | -24.7% |
| Avg. Drawdown | -1.18% | -17.03% |
| Avg. Drawdown Days | 27 | 92 |
| Recovery Factor | 1.76 | -0.37 |
| Ulcer Index | 0.01 | 0.29 |
| Serenity Index | 8.68 | -0.05 |
| Avg. Up Month | 1.05% | 7.11% |
| Avg. Down Month | -0.76% | -5.65% |
| Win Days | 56.7% | 54.77% |
| Win Month | 72.73% | 63.64% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 66.67% |
| Beta | -0.47 | - |
| Alpha | 0.24 | - |
| Correlation | -82.52% | - |
| Treynor Ratio | -26.65% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.88 | 0.10 | 0.05 | - |
| 2022 | -24.70 | 17.01 | -0.69 | + |
| 2023 | 9.42 | 1.97 | 0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-07-14 | -11.03 | 190 |
| 2022-07-15 | 2022-10-05 | -1.69 | 82 |
| 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 |
| 2022-12-28 | 2022-12-29 | -0.10 | 1 |
| 2021-12-30 | 2022-01-03 | -0.10 | 4 |