| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 8.05% | 9.65% |
| CAGR﹪ | 5.74% | 6.87% |
| Sharpe | -0.03 | 0.04 |
| Prob. Sharpe Ratio | 24.32% | 32.0% |
| Smart Sharpe | -0.03 | 0.04 |
| Sortino | -0.04 | 0.06 |
| Smart Sortino | -0.04 | 0.05 |
| Sortino/√2 | -0.03 | 0.04 |
| Smart Sortino/√2 | -0.03 | 0.04 |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -9.21% | -7.28% |
| Longest DD Days | 112 | 64 |
| Volatility (ann.) | 12.35% | 10.11% |
| R^2 | 0.71 | 0.71 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.62 | 0.94 |
| Skew | -0.27 | -0.19 |
| Kurtosis | 2.58 | 2.59 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.46% | 0.54% |
| Expected Yearly | 2.61% | 3.12% |
| Kelly Criterion | 2.5% | 4.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -1.02% |
| Expected Shortfall (cVaR) | -1.25% | -1.02% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.09 | 0.13 |
| Gain/Pain (1M) | 0.57 | 0.71 |
| Payoff Ratio | 0.95 | 0.97 |
| Profit Factor | 1.09 | 1.13 |
| Common Sense Ratio | 1.05 | 1.1 |
| CPC Index | 0.55 | 0.58 |
| Tail Ratio | 0.96 | 0.98 |
| Outlier Win Ratio | 2.85 | 3.45 |
| Outlier Loss Ratio | 2.99 | 3.95 |
| MTD | -3.26% | -1.81% |
| 3M | -5.69% | -4.14% |
| 6M | -5.76% | -3.65% |
| YTD | -7.92% | -5.93% |
| 1Y | 0.36% | 2.39% |
| 3Y (ann.) | 5.74% | 6.87% |
| 5Y (ann.) | 5.74% | 6.87% |
| 10Y (ann.) | 5.74% | 6.87% |
| All-time (ann.) | 5.74% | 6.87% |
| Best Day | 3.56% | 2.9% |
| Worst Day | -3.72% | -2.47% |
| Best Month | 4.88% | 5.18% |
| Worst Month | -4.82% | -4.2% |
| Best Year | 10.36% | 10.12% |
| Worst Year | -7.92% | -5.93% |
| Avg. Drawdown | -2.06% | -1.87% |
| Avg. Drawdown Days | 20 | 18 |
| Recovery Factor | 0.87 | 1.33 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.08 | 0.21 |
| Avg. Up Month | 2.19% | 2.17% |
| Avg. Down Month | -2.62% | -2.35% |
| Win Days | 52.41% | 53.04% |
| Win Month | 64.71% | 64.71% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 66.67% | 66.67% |
| Beta | 1.03 | - |
| Alpha | -0.01 | - |
| Correlation | 84.46% | - |
| Treynor Ratio | 1.01% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 5.86 | 6.32 | 1.08 | + |
| 2021 | 10.12 | 10.36 | 1.02 | + |
| 2022 | -5.93 | -7.92 | 1.33 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-29 | 2022-02-25 | -9.21 | 58 |
| 2021-02-12 | 2021-04-15 | -5.90 | 62 |
| 2021-09-07 | 2021-12-28 | -5.31 | 112 |
| 2020-10-13 | 2020-11-05 | -4.47 | 23 |
| 2021-06-11 | 2021-08-30 | -2.66 | 80 |
| 2021-01-26 | 2021-02-08 | -2.29 | 13 |
| 2021-05-11 | 2021-05-25 | -2.05 | 14 |
| 2020-11-19 | 2020-12-07 | -2.01 | 18 |
| 2020-11-10 | 2020-11-17 | -1.74 | 7 |
| 2020-12-21 | 2020-12-30 | -1.71 | 9 |