| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 58.47% | 58.49% |
| CAGR﹪ | 40.81% | 40.82% |
| Sharpe | 1.23 | 1.37 |
| Prob. Sharpe Ratio | 67.03% | 72.56% |
| Smart Sharpe | 1.22 | 1.36 |
| Sortino | 1.75 | 1.82 |
| Smart Sortino | 1.74 | 1.81 |
| Sortino/√2 | 1.24 | 1.29 |
| Smart Sortino/√2 | 1.23 | 1.28 |
| Omega | 1.28 | 1.28 |
| Max Drawdown | -27.6% | -22.59% |
| Longest DD Days | 195 | 195 |
| Volatility (ann.) | 25.09% | 22.01% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 1.48 | 1.81 |
| Skew | -0.13 | -1.7 |
| Kurtosis | 17.23 | 9.78 |
| Expected Daily | 0.14% | 0.14% |
| Expected Monthly | 2.75% | 2.75% |
| Expected Yearly | 25.88% | 25.89% |
| Kelly Criterion | 11.12% | 12.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.45% | -2.13% |
| Expected Shortfall (cVaR) | -2.45% | -2.13% |
| Max Consecutive Wins | 8 | 7 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | 0.35 | 0.38 |
| Gain/Pain (1M) | 2.18 | 1.99 |
| Payoff Ratio | 0.92 | 0.96 |
| Profit Factor | 1.35 | 1.38 |
| Common Sense Ratio | 1.47 | 1.53 |
| CPC Index | 0.71 | 0.76 |
| Tail Ratio | 1.09 | 1.11 |
| Outlier Win Ratio | 3.3 | 3.53 |
| Outlier Loss Ratio | 4.52 | 5.13 |
| MTD | 2.38% | 2.12% |
| 3M | 13.08% | 12.72% |
| 6M | 31.58% | 31.0% |
| YTD | 54.57% | 55.02% |
| 1Y | 98.03% | 84.77% |
| 3Y (ann.) | 40.81% | 40.82% |
| 5Y (ann.) | 40.81% | 40.82% |
| 10Y (ann.) | 40.81% | 40.82% |
| All-time (ann.) | 40.81% | 40.82% |
| Best Day | 12.32% | 4.33% |
| Worst Day | -9.58% | -8.79% |
| Best Month | 14.68% | 15.29% |
| Worst Month | -17.51% | -18.52% |
| Best Year | 54.57% | 55.02% |
| Worst Year | 2.52% | 2.24% |
| Avg. Drawdown | -2.75% | -2.62% |
| Avg. Drawdown Days | 14 | 15 |
| Recovery Factor | 2.12 | 2.59 |
| Ulcer Index | 0.07 | 0.07 |
| Serenity Index | 0.84 | 0.72 |
| Avg. Up Month | 5.25% | 5.38% |
| Avg. Down Month | -7.55% | -8.08% |
| Win Days | 57.49% | 57.36% |
| Win Month | 82.35% | 82.35% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.84 | - |
| Alpha | 0.07 | - |
| Correlation | 73.3% | - |
| Treynor Ratio | 61.59% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 2.24 | 2.52 | 1.13 | + |
| 2023 | 55.02 | 54.57 | 0.99 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-09-06 | 2023-03-20 | -27.60 | 195 |
| 2022-06-29 | 2022-08-31 | -14.20 | 63 |
| 2023-09-06 | 2023-10-11 | -7.98 | 35 |
| 2023-04-24 | 2023-05-11 | -4.28 | 17 |
| 2023-08-14 | 2023-08-22 | -3.90 | 8 |
| 2023-08-04 | 2023-08-10 | -2.17 | 6 |
| 2023-06-23 | 2023-07-06 | -1.98 | 13 |
| 2022-06-10 | 2022-06-15 | -1.83 | 5 |
| 2022-06-21 | 2022-06-27 | -1.67 | 6 |
| 2023-07-20 | 2023-07-25 | -1.66 | 5 |