| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 99.0% |
| Cumulative Return | 7.94% | 12.81% |
| CAGR﹪ | 5.92% | 9.49% |
| Sharpe | 0.91 | 16.43 |
| Prob. Sharpe Ratio | 69.02% | 100.0% |
| Smart Sharpe | 0.77 | 13.91 |
| Sortino | 1.21 | - |
| Smart Sortino | 1.03 | - |
| Sortino/√2 | 0.86 | - |
| Smart Sortino/√2 | 0.73 | - |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -13.64% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 31.26% | 2.26% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.43 | - |
| Skew | -1.28 | 3.54 |
| Kurtosis | 5.34 | 13.62 |
| Expected Daily | 0.09% | 0.15% |
| Expected Monthly | 0.45% | 0.71% |
| Expected Yearly | 3.9% | 6.21% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.13% | -0.09% |
| Expected Shortfall (cVaR) | -3.13% | -0.09% |
| Max Consecutive Wins | 5 | 81 |
| Max Consecutive Losses | 4 | 0 |
| Gain/Pain Ratio | 0.18 | - |
| Gain/Pain (1M) | 0.44 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.18 | - |
| Common Sense Ratio | 1.02 | - |
| CPC Index | - | - |
| Tail Ratio | 0.86 | 5.23 |
| Outlier Win Ratio | 1.96 | 15.67 |
| Outlier Loss Ratio | 1.44 | - |
| MTD | -1.74% | 0.65% |
| 3M | 1.75% | 2.06% |
| 6M | 0.25% | 4.1% |
| YTD | -0.54% | 3.27% |
| 1Y | 9.42% | 8.56% |
| 3Y (ann.) | 5.92% | 9.49% |
| 5Y (ann.) | 5.92% | 9.49% |
| 10Y (ann.) | 5.92% | 9.49% |
| All-time (ann.) | 5.92% | 9.49% |
| Best Day | 4.02% | 0.82% |
| Worst Day | -9.24% | 0.0% |
| Best Month | 8.59% | 1.55% |
| Worst Month | -12.52% | 0.49% |
| Best Year | 8.53% | 9.23% |
| Worst Year | -0.54% | 3.27% |
| Avg. Drawdown | -4.89% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.58 | - |
| Ulcer Index | 0.04 | 0.0 |
| Serenity Index | 0.56 | - |
| Avg. Up Month | 2.75% | 0.77% |
| Avg. Down Month | - | - |
| Win Days | 61.25% | 100.0% |
| Win Month | 64.71% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 2.79 | - |
| Alpha | -0.75 | - |
| Correlation | 20.14% | - |
| Treynor Ratio | 2.85% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 9.23 | 8.53 | 0.92 | - |
| 2023 | 3.27 | -0.54 | -0.16 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2022-05-27 | -13.64 | 116 |
| 2022-09-12 | 2023-05-16 | -5.22 | 246 |
| 2023-05-25 | 2023-05-25 | -3.54 | 0 |
| 2023-05-22 | 2023-05-24 | -3.52 | 2 |
| 2022-08-12 | 2022-09-08 | -2.00 | 27 |
| 2022-07-21 | 2022-07-28 | -1.41 | 7 |