| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 14.25% | 17.9% |
| CAGR﹪ | 6.86% | 8.55% |
| Sharpe | 0.43 | 18.62 |
| Prob. Sharpe Ratio | 69.57% | 100.0% |
| Smart Sharpe | 0.43 | 18.49 |
| Sortino | 0.54 | - |
| Smart Sortino | 0.54 | - |
| Sortino/√2 | 0.38 | - |
| Smart Sortino/√2 | 0.38 | - |
| Omega | 1.1 | 1.1 |
| Max Drawdown | -45.06% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 42.89% | 0.55% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.15 | - |
| Skew | -4.43 | 8.49 |
| Kurtosis | 56.92 | 83.79 |
| Expected Daily | 0.03% | 0.04% |
| Expected Monthly | 0.58% | 0.72% |
| Expected Yearly | 4.54% | 5.64% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.37% | -0.02% |
| Expected Shortfall (cVaR) | -4.37% | -0.02% |
| Max Consecutive Wins | 6 | 401 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.1 | - |
| Gain/Pain (1M) | 0.45 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.1 | - |
| Common Sense Ratio | 1.26 | - |
| CPC Index | - | - |
| Tail Ratio | 1.14 | 3.27 |
| Outlier Win Ratio | 1.93 | 71.11 |
| Outlier Loss Ratio | 1.61 | - |
| MTD | -3.36% | 1.21% |
| 3M | 0.85% | 4.17% |
| 6M | 12.7% | 6.43% |
| YTD | 44.42% | 9.98% |
| 1Y | 58.1% | 10.66% |
| 3Y (ann.) | 6.86% | 8.55% |
| 5Y (ann.) | 6.86% | 8.55% |
| 10Y (ann.) | 6.86% | 8.55% |
| All-time (ann.) | 6.86% | 8.55% |
| Best Day | 9.89% | 0.41% |
| Worst Day | -33.14% | 0.0% |
| Best Month | 18.32% | 1.21% |
| Worst Month | -28.25% | 0.55% |
| Best Year | 44.42% | 9.98% |
| Worst Year | -20.45% | 0.59% |
| Avg. Drawdown | -8.13% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.32 | - |
| Ulcer Index | 0.24 | 0.0 |
| Serenity Index | 0.04 | - |
| Avg. Up Month | 6.19% | 0.71% |
| Avg. Down Month | - | - |
| Win Days | 53.35% | 100.0% |
| Win Month | 65.22% | 100.0% |
| Win Quarter | 77.78% | 100.0% |
| Win Year | 33.33% | 100.0% |
| Beta | -6.58 | - |
| Alpha | 0.86 | - |
| Correlation | -8.5% | - |
| Treynor Ratio | -2.17% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.59 | -0.55 | -0.93 | - |
| 2022 | 6.57 | -20.45 | -3.11 | - |
| 2023 | 9.98 | 44.42 | 4.45 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2023-07-17 | -45.06 | 507 |
| 2023-08-16 | 2023-11-28 | -8.88 | 104 |
| 2022-01-26 | 2022-02-24 | -5.97 | 29 |
| 2021-12-09 | 2022-01-24 | -5.49 | 46 |
| 2023-11-29 | 2023-12-05 | -4.60 | 6 |
| 2021-12-03 | 2021-12-07 | -4.11 | 4 |
| 2023-07-18 | 2023-07-27 | -2.82 | 9 |
| 2023-07-28 | 2023-08-02 | -1.57 | 5 |
| 2023-08-11 | 2023-08-15 | -1.50 | 4 |
| 2023-08-03 | 2023-08-08 | -1.33 | 5 |