| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 93.0% | 95.0% |
| Cumulative Return | 21.37% | 25.26% |
| CAGR﹪ | 6.35% | 7.42% |
| Sharpe | 0.05 | 0.1 |
| Prob. Sharpe Ratio | 13.2% | 35.09% |
| Smart Sharpe | 0.03 | 0.07 |
| Sortino | 0.07 | 0.12 |
| Smart Sortino | 0.05 | 0.08 |
| Sortino/√2 | 0.05 | 0.09 |
| Smart Sortino/√2 | 0.03 | 0.06 |
| Omega | 1.02 | 1.02 |
| Max Drawdown | -20.51% | -16.65% |
| Longest DD Days | 149 | 152 |
| Volatility (ann.) | 16.26% | 9.18% |
| R^2 | 0.43 | 0.43 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.31 | 0.45 |
| Skew | -0.12 | -8.14 |
| Kurtosis | 119.21 | 162.62 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.5% | 0.58% |
| Expected Yearly | 4.96% | 5.79% |
| Kelly Criterion | -2.04% | 15.66% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.65% | -0.92% |
| Expected Shortfall (cVaR) | -1.65% | -0.92% |
| Max Consecutive Wins | 13 | 28 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.15 | 0.45 |
| Gain/Pain (1M) | 1.63 | 1.51 |
| Payoff Ratio | 0.82 | 0.57 |
| Profit Factor | 1.15 | 1.45 |
| Common Sense Ratio | 1.2 | 2.07 |
| CPC Index | 0.51 | 0.57 |
| Tail Ratio | 1.04 | 1.43 |
| Outlier Win Ratio | 3.67 | 10.54 |
| Outlier Loss Ratio | 2.88 | 5.75 |
| MTD | -0.77% | 0.0% |
| 3M | -0.49% | 2.36% |
| 6M | -0.12% | 2.17% |
| YTD | 3.02% | 4.49% |
| 1Y | 5.31% | 7.02% |
| 3Y (ann.) | 7.06% | 8.15% |
| 5Y (ann.) | 6.35% | 7.42% |
| 10Y (ann.) | 6.35% | 7.42% |
| All-time (ann.) | 6.35% | 7.42% |
| Best Day | 14.94% | 5.78% |
| Worst Day | -15.05% | -10.14% |
| Best Month | 5.32% | 7.03% |
| Worst Month | -6.34% | -8.62% |
| Best Year | 9.3% | 9.82% |
| Worst Year | 0.34% | 0.8% |
| Avg. Drawdown | -1.04% | -0.67% |
| Avg. Drawdown Days | 12 | 14 |
| Recovery Factor | 1.04 | 1.52 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 1.65 | 1.25 |
| Avg. Up Month | 1.4% | 1.5% |
| Avg. Down Month | -2.08% | -2.29% |
| Win Days | 53.9% | 69.38% |
| Win Month | 71.05% | 76.32% |
| Win Quarter | 85.71% | 84.62% |
| Win Year | 100.0% | 100.0% |
| Beta | 1.16 | - |
| Alpha | -0.01 | - |
| Correlation | 65.54% | - |
| Treynor Ratio | 12.37% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.80 | 0.34 | 0.42 | - |
| 2022 | 9.82 | 9.30 | 0.95 | - |
| 2023 | 8.29 | 7.43 | 0.90 | - |
| 2024 | 4.49 | 3.02 | 0.67 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-10 | 2022-06-08 | -20.51 | 149 |
| 2022-09-19 | 2022-10-18 | -6.58 | 29 |
| 2022-06-21 | 2022-08-08 | -4.44 | 48 |
| 2021-09-15 | 2022-01-03 | -3.02 | 110 |
| 2024-08-15 | 2024-10-01 | -2.78 | 47 |
| 2024-05-10 | 2024-07-02 | -2.40 | 53 |
| 2023-08-14 | 2023-11-13 | -2.37 | 91 |
| 2022-06-16 | 2022-06-20 | -2.21 | 4 |
| 2022-06-09 | 2022-06-15 | -2.14 | 6 |
| 2024-07-09 | 2024-08-09 | -1.67 | 31 |