| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 14.25% | 10.83% |
| CAGR﹪ | 6.86% | 5.25% |
| Sharpe | 0.43 | 12.44 |
| Prob. Sharpe Ratio | 69.57% | 100.0% |
| Smart Sharpe | 0.43 | 12.35 |
| Sortino | 0.54 | 50.37 |
| Smart Sortino | 0.54 | 50.0 |
| Sortino/√2 | 0.38 | 35.62 |
| Smart Sortino/√2 | 0.38 | 35.36 |
| Omega | 1.1 | 1.1 |
| Max Drawdown | -45.06% | -1.25% |
| Longest DD Days | 507 | 209 |
| Volatility (ann.) | 42.89% | 0.52% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.15 | 4.19 |
| Skew | -4.43 | 2.12 |
| Kurtosis | 56.92 | 12.97 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.58% | 0.45% |
| Expected Yearly | 4.54% | 3.49% |
| Kelly Criterion | 4.43% | 75.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.37% | -0.03% |
| Expected Shortfall (cVaR) | -4.37% | -0.03% |
| Max Consecutive Wins | 6 | 286 |
| Max Consecutive Losses | 7 | 62 |
| Gain/Pain Ratio | 0.1 | 8.15 |
| Gain/Pain (1M) | 0.45 | 8.15 |
| Payoff Ratio | 0.95 | 1.66 |
| Profit Factor | 1.1 | 9.15 |
| Common Sense Ratio | 1.26 | 27.63 |
| CPC Index | 0.56 | 12.85 |
| Tail Ratio | 1.14 | 3.02 |
| Outlier Win Ratio | 1.92 | 85.21 |
| Outlier Loss Ratio | 1.63 | 134.29 |
| MTD | -3.36% | 0.73% |
| 3M | 0.85% | 3.49% |
| 6M | 12.7% | 4.88% |
| YTD | 44.42% | 7.42% |
| 1Y | 58.1% | 8.18% |
| 3Y (ann.) | 6.86% | 5.25% |
| 5Y (ann.) | 6.86% | 5.25% |
| 10Y (ann.) | 6.86% | 5.25% |
| All-time (ann.) | 6.86% | 5.25% |
| Best Day | 9.89% | 0.24% |
| Worst Day | -33.14% | -0.02% |
| Best Month | 18.32% | 1.17% |
| Worst Month | -28.25% | -0.52% |
| Best Year | 44.42% | 7.42% |
| Worst Year | -20.45% | 0.75% |
| Avg. Drawdown | -8.13% | -1.25% |
| Avg. Drawdown Days | 72 | 209 |
| Recovery Factor | 0.32 | 8.63 |
| Ulcer Index | 0.24 | 0.0 |
| Serenity Index | 0.04 | 0.79 |
| Avg. Up Month | 5.32% | 0.63% |
| Avg. Down Month | -11.87% | -0.43% |
| Win Days | 53.35% | 84.54% |
| Win Month | 65.22% | 86.96% |
| Win Quarter | 77.78% | 77.78% |
| Win Year | 33.33% | 100.0% |
| Beta | 0.85 | - |
| Alpha | 0.13 | - |
| Correlation | 1.03% | - |
| Treynor Ratio | 16.67% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.75 | -0.55 | -0.73 | - |
| 2022 | 2.41 | -20.45 | -8.49 | - |
| 2023 | 7.42 | 44.42 | 5.99 | + |
| 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 |