| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 26.75% | 27.91% |
| CAGR﹪ | 5.67% | 5.89% |
| Sharpe | 0.07 | 0.12 |
| Prob. Sharpe Ratio | 6.28% | 7.09% |
| Smart Sharpe | 0.07 | 0.12 |
| Sortino | 0.09 | 0.16 |
| Smart Sortino | 0.09 | 0.15 |
| Sortino/√2 | 0.07 | 0.11 |
| Smart Sortino/√2 | 0.06 | 0.1 |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -52.41% | -52.82% |
| Longest DD Days | 1071 | 1071 |
| Volatility (ann.) | 23.89% | 28.98% |
| R^2 | 0.64 | 0.64 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.11 | 0.11 |
| Skew | -1.34 | -4.62 |
| Kurtosis | 17.31 | 112.03 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.46% | 0.47% |
| Expected Yearly | 4.86% | 5.05% |
| Kelly Criterion | -0.03% | 1.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.44% | -2.96% |
| Expected Shortfall (cVaR) | -2.44% | -2.96% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | 0.07 | 0.09 |
| Gain/Pain (1M) | 0.28 | 0.37 |
| Payoff Ratio | 0.85 | 0.81 |
| Profit Factor | 1.07 | 1.09 |
| Common Sense Ratio | 0.97 | 1.03 |
| CPC Index | 0.49 | 0.49 |
| Tail Ratio | 0.91 | 0.94 |
| Outlier Win Ratio | 3.85 | 3.97 |
| Outlier Loss Ratio | 4.11 | 4.03 |
| MTD | 8.68% | 7.63% |
| 3M | -4.79% | -3.79% |
| 6M | -10.25% | -9.78% |
| YTD | -1.72% | -0.64% |
| 1Y | 3.09% | 3.57% |
| 3Y (ann.) | -6.58% | -6.38% |
| 5Y (ann.) | 5.67% | 5.89% |
| 10Y (ann.) | 5.67% | 5.89% |
| All-time (ann.) | 5.67% | 5.89% |
| Best Day | 11.38% | 19.5% |
| Worst Day | -15.34% | -32.79% |
| Best Month | 15.01% | 15.13% |
| Worst Month | -29.84% | -29.8% |
| Best Year | 47.81% | 47.7% |
| Worst Year | -38.05% | -37.96% |
| Avg. Drawdown | -3.23% | -3.82% |
| Avg. Drawdown Days | 43 | 50 |
| Recovery Factor | 0.51 | 0.53 |
| Ulcer Index | 0.25 | 0.25 |
| Serenity Index | 0.03 | 0.03 |
| Avg. Up Month | 5.28% | 5.34% |
| Avg. Down Month | -6.19% | -6.22% |
| Win Days | 53.98% | 56.04% |
| Win Month | 61.54% | 59.62% |
| Win Quarter | 61.11% | 61.11% |
| Win Year | 60.0% | 60.0% |
| Beta | 0.66 | - |
| Alpha | 0.02 | - |
| Correlation | 80.03% | - |
| Treynor Ratio | 29.95% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 22.85 | 23.00 | 1.01 | + |
| 2021 | 14.35 | 14.51 | 1.01 | + |
| 2022 | -37.96 | -38.05 | 1.00 | - |
| 2023 | 47.70 | 47.81 | 1.00 | + |
| 2024 | -0.64 | -1.72 | 2.69 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2024-09-26 | -52.41 | 1071 |
| 2020-08-14 | 2020-11-16 | -11.45 | 94 |
| 2021-01-15 | 2021-03-15 | -7.04 | 59 |
| 2021-03-16 | 2021-05-07 | -4.55 | 52 |
| 2021-07-08 | 2021-08-17 | -3.97 | 40 |
| 2020-07-07 | 2020-07-17 | -2.80 | 10 |
| 2020-06-10 | 2020-06-23 | -2.63 | 13 |
| 2020-12-18 | 2020-12-29 | -2.50 | 11 |
| 2021-08-18 | 2021-09-01 | -2.33 | 14 |
| 2021-09-15 | 2021-09-27 | -2.11 | 12 |