| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 98.0% |
| Cumulative Return | 8.68% | 12.63% |
| CAGR﹪ | 6.86% | 9.94% |
| Sharpe | 0.79 | 1.28 |
| Prob. Sharpe Ratio | 47.71% | 58.15% |
| Smart Sharpe | 0.67 | 1.09 |
| Sortino | 1.05 | 1.72 |
| Smart Sortino | 0.89 | 1.45 |
| Sortino/√2 | 0.74 | 1.21 |
| Smart Sortino/√2 | 0.63 | 1.03 |
| Omega | 1.16 | 1.16 |
| Max Drawdown | -12.46% | -12.37% |
| Longest DD Days | 246 | 214 |
| Volatility (ann.) | 31.95% | 27.74% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.55 | 0.8 |
| Skew | -1.28 | -2.12 |
| Kurtosis | 5.1 | 18.59 |
| Expected Daily | 0.11% | 0.15% |
| Expected Monthly | 0.52% | 0.75% |
| Expected Yearly | 4.25% | 6.13% |
| Kelly Criterion | 8.06% | 15.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.18% | -2.71% |
| Expected Shortfall (cVaR) | -3.18% | -2.71% |
| Max Consecutive Wins | 5 | 6 |
| Max Consecutive Losses | 3 | 3 |
| Gain/Pain Ratio | 0.2 | 0.53 |
| Gain/Pain (1M) | 0.49 | 0.84 |
| Payoff Ratio | 0.69 | 0.73 |
| Profit Factor | 1.2 | 1.53 |
| Common Sense Ratio | 1.03 | 3.84 |
| CPC Index | 0.52 | 0.72 |
| Tail Ratio | 0.86 | 2.51 |
| Outlier Win Ratio | 3.84 | 6.29 |
| Outlier Loss Ratio | 3.02 | 5.64 |
| MTD | -1.74% | 0.13% |
| 3M | 1.75% | 1.95% |
| 6M | 0.25% | 2.2% |
| YTD | -0.54% | 1.5% |
| 1Y | 9.42% | 9.64% |
| 3Y (ann.) | 6.86% | 9.94% |
| 5Y (ann.) | 6.86% | 9.94% |
| 10Y (ann.) | 6.86% | 9.94% |
| All-time (ann.) | 6.86% | 9.94% |
| Best Day | 4.02% | 5.76% |
| Worst Day | -9.24% | -10.35% |
| Best Month | 8.59% | 8.35% |
| Worst Month | -12.46% | -12.37% |
| Best Year | 9.27% | 10.96% |
| Worst Year | -0.54% | 1.5% |
| Avg. Drawdown | -4.23% | -3.22% |
| Avg. Drawdown Days | 54 | 57 |
| Recovery Factor | 0.7 | 1.02 |
| Ulcer Index | 0.04 | 0.03 |
| Serenity Index | 0.14 | 0.71 |
| Avg. Up Month | 2.75% | 2.62% |
| Avg. Down Month | -4.64% | -3.83% |
| Win Days | 62.34% | 64.47% |
| Win Month | 68.75% | 75.0% |
| Win Quarter | 50.0% | 66.67% |
| Win Year | 50.0% | 100.0% |
| Beta | 0.88 | - |
| Alpha | -0.05 | - |
| Correlation | 76.06% | - |
| Treynor Ratio | 1.92% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 10.96 | 9.27 | 0.85 | - |
| 2023 | 1.50 | -0.54 | -0.36 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-22 | 2022-04-28 | -12.46 | 65 |
| 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 |
| 2022-04-29 | 2022-05-27 | -1.48 | 28 |
| 2022-07-21 | 2022-07-28 | -1.41 | 7 |