| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 118.0% | 128.71% |
| CAGR﹪ | 21.43% | 22.89% |
| Sharpe | 0.61 | 0.7 |
| Prob. Sharpe Ratio | 24.95% | 36.15% |
| Smart Sharpe | 0.45 | 0.52 |
| Sortino | 0.84 | 0.82 |
| Smart Sortino | 0.62 | 0.61 |
| Sortino/√2 | 0.59 | 0.58 |
| Smart Sortino/√2 | 0.44 | 0.43 |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -60.1% | -61.28% |
| Longest DD Days | 650 | 651 |
| Volatility (ann.) | 59.96% | 41.26% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.36 | 0.37 |
| Skew | -1.83 | -9.89 |
| Kurtosis | 71.43 | 198.69 |
| Expected Daily | 0.09% | 0.1% |
| Expected Monthly | 1.79% | 1.9% |
| Expected Yearly | 16.87% | 17.99% |
| Kelly Criterion | 12.43% | 9.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.04% | -4.13% |
| Expected Shortfall (cVaR) | -6.04% | -4.13% |
| Max Consecutive Wins | 8 | 12 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.22 | 0.22 |
| Gain/Pain (1M) | 1.61 | 1.33 |
| Payoff Ratio | 1.14 | 0.87 |
| Profit Factor | 1.22 | 1.22 |
| Common Sense Ratio | 1.51 | 1.37 |
| CPC Index | 0.74 | 0.61 |
| Tail Ratio | 1.24 | 1.12 |
| Outlier Win Ratio | 3.13 | 4.12 |
| Outlier Loss Ratio | 3.43 | 3.92 |
| MTD | 1.11% | 6.18% |
| 3M | -5.71% | -2.23% |
| 6M | 37.63% | 44.67% |
| YTD | 100.37% | 106.74% |
| 1Y | 108.81% | 122.29% |
| 3Y (ann.) | 5.38% | 7.48% |
| 5Y (ann.) | 21.43% | 22.89% |
| 10Y (ann.) | 21.43% | 22.89% |
| All-time (ann.) | 21.43% | 22.89% |
| Best Day | 32.07% | 7.59% |
| Worst Day | -53.07% | -52.53% |
| Best Month | 22.61% | 21.32% |
| Worst Month | -52.11% | -52.4% |
| Best Year | 100.37% | 106.74% |
| Worst Year | -53.26% | -53.3% |
| Avg. Drawdown | -6.07% | -5.48% |
| Avg. Drawdown Days | 37 | 33 |
| Recovery Factor | 1.96 | 2.1 |
| Ulcer Index | 0.23 | 0.22 |
| Serenity Index | 0.43 | 0.33 |
| Avg. Up Month | 7.52% | 7.58% |
| Avg. Down Month | -8.51% | -8.14% |
| Win Days | 53.32% | 57.9% |
| Win Month | 68.18% | 68.18% |
| Win Quarter | 75.0% | 81.25% |
| Win Year | 80.0% | 80.0% |
| Beta | 0.86 | - |
| Alpha | 0.13 | - |
| Correlation | 59.22% | - |
| Treynor Ratio | 128.98% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 1.56 | 3.06 | 1.96 | + |
| 2020 | 85.98 | 85.91 | 1.00 | - |
| 2021 | 25.40 | 21.50 | 0.85 | - |
| 2022 | -53.30 | -53.26 | 1.00 | + |
| 2023 | 106.74 | 100.37 | 0.94 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2023-09-04 | -60.10 | 650 |
| 2020-05-25 | 2020-08-26 | -27.18 | 93 |
| 2023-09-05 | 2023-11-03 | -14.83 | 59 |
| 2020-02-21 | 2020-03-27 | -13.74 | 35 |
| 2020-09-03 | 2020-10-14 | -13.68 | 41 |
| 2021-02-17 | 2021-04-09 | -11.84 | 51 |
| 2021-09-09 | 2021-11-22 | -11.22 | 74 |
| 2021-04-14 | 2021-06-24 | -10.73 | 71 |
| 2020-10-15 | 2021-02-11 | -9.85 | 119 |
| 2020-03-30 | 2020-04-14 | -7.36 | 15 |