| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 18.32% | 41.44% |
| CAGR﹪ | 28.1% | 66.57% |
| Sharpe | 0.82 | 1.83 |
| Prob. Sharpe Ratio | 48.74% | 79.91% |
| Smart Sharpe | 0.79 | 1.77 |
| Sortino | 1.05 | 2.97 |
| Smart Sortino | 1.01 | 2.88 |
| Sortino/√2 | 0.74 | 2.1 |
| Smart Sortino/√2 | 0.72 | 2.03 |
| Omega | 1.16 | 1.16 |
| Max Drawdown | -21.36% | -10.91% |
| Longest DD Days | 45 | 46 |
| Volatility (ann.) | 26.5% | 26.15% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 1.32 | 6.1 |
| Skew | -1.79 | 1.55 |
| Kurtosis | 8.22 | 26.9 |
| Expected Daily | 0.1% | 0.2% |
| Expected Monthly | 1.7% | 3.53% |
| Expected Yearly | 8.78% | 18.93% |
| Kelly Criterion | 7.32% | 32.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.63% | -2.49% |
| Expected Shortfall (cVaR) | -2.63% | -2.49% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.22 | 0.6 |
| Gain/Pain (1M) | 1.14 | 27.24 |
| Payoff Ratio | 0.81 | 1.39 |
| Profit Factor | 1.22 | 1.6 |
| Common Sense Ratio | 1.5 | 1.92 |
| CPC Index | 0.58 | 1.35 |
| Tail Ratio | 1.23 | 1.2 |
| Outlier Win Ratio | 2.97 | 3.29 |
| Outlier Loss Ratio | 3.6 | 5.12 |
| MTD | -6.16% | -0.12% |
| 3M | -6.67% | 8.6% |
| 6M | 3.17% | 21.24% |
| YTD | 18.32% | 41.44% |
| 1Y | 18.32% | 41.44% |
| 3Y (ann.) | 28.1% | 66.57% |
| 5Y (ann.) | 28.1% | 66.57% |
| 10Y (ann.) | 28.1% | 66.57% |
| All-time (ann.) | 28.1% | 66.57% |
| Best Day | 3.88% | 13.03% |
| Worst Day | -9.59% | -9.25% |
| Best Month | 11.86% | 12.01% |
| Worst Month | -10.82% | -1.26% |
| Best Year | 18.32% | 41.44% |
| Worst Year | 0.0% | 0.0% |
| Avg. Drawdown | -3.22% | -2.33% |
| Avg. Drawdown Days | 10 | 9 |
| Recovery Factor | 0.86 | 3.8 |
| Ulcer Index | 0.04 | 0.03 |
| Serenity Index | 0.72 | 4.51 |
| Avg. Up Month | 5.13% | 5.35% |
| Avg. Down Month | -8.49% | -0.69% |
| Win Days | 58.54% | 60.59% |
| Win Month | 77.78% | 77.78% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.3 | - |
| Alpha | 0.12 | - |
| Correlation | 29.82% | - |
| Treynor Ratio | 37.46% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 0.00 | 0.00 | nan | + |
| 2023 | 41.44 | 18.32 | 0.44 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-07-25 | 2023-09-04 | -21.36 | 41 |
| 2023-06-19 | 2023-07-11 | -8.02 | 22 |
| 2023-04-26 | 2023-05-29 | -7.32 | 33 |
| 2023-02-17 | 2023-04-03 | -4.89 | 45 |
| 2023-02-15 | 2023-02-16 | -2.50 | 1 |
| 2023-04-13 | 2023-04-25 | -2.36 | 12 |
| 2023-01-09 | 2023-01-16 | -2.02 | 7 |
| 2023-05-31 | 2023-06-02 | -1.63 | 2 |
| 2023-01-18 | 2023-01-23 | -1.48 | 5 |
| 2023-01-25 | 2023-01-26 | -1.12 | 1 |