| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 23.42% | 34.29% |
| CAGR﹪ | 5.62% | 7.97% |
| Sharpe | 0.34 | 0.63 |
| Prob. Sharpe Ratio | 74.49% | 90.14% |
| Smart Sharpe | 0.32 | 0.6 |
| Sortino | 0.45 | 1.05 |
| Smart Sortino | 0.43 | 1.0 |
| Sortino/√2 | 0.32 | 0.75 |
| Smart Sortino/√2 | 0.3 | 0.71 |
| Omega | 1.07 | 1.07 |
| Max Drawdown | -52.75% | -15.67% |
| Longest DD Days | 309 | 707 |
| Volatility (ann.) | 26.45% | 13.45% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.11 | 0.51 |
| Skew | -1.4 | 1.83 |
| Kurtosis | 21.07 | 14.87 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.45% | 0.63% |
| Expected Yearly | 4.3% | 6.07% |
| Kelly Criterion | 7.68% | -11.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.71% | -1.36% |
| Expected Shortfall (cVaR) | -2.71% | -1.36% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.07 | 0.12 |
| Gain/Pain (1M) | 0.37 | 0.67 |
| Payoff Ratio | 1.01 | 0.82 |
| Profit Factor | 1.07 | 1.12 |
| Common Sense Ratio | 0.97 | 1.3 |
| CPC Index | 0.58 | 0.46 |
| Tail Ratio | 0.9 | 1.15 |
| Outlier Win Ratio | 3.51 | 5.41 |
| Outlier Loss Ratio | 3.65 | 7.02 |
| MTD | -26.35% | 7.35% |
| 3M | -34.28% | 10.68% |
| 6M | -34.6% | 12.57% |
| YTD | -28.89% | 11.14% |
| 1Y | -21.36% | 12.86% |
| 3Y (ann.) | 3.45% | 8.91% |
| 5Y (ann.) | 5.62% | 7.97% |
| 10Y (ann.) | 5.62% | 7.97% |
| All-time (ann.) | 5.62% | 7.97% |
| Best Day | 10.19% | 8.19% |
| Worst Day | -15.17% | -3.01% |
| Best Month | 21.99% | 17.19% |
| Worst Month | -26.35% | -6.33% |
| Best Year | 27.98% | 20.05% |
| Worst Year | -28.89% | -11.22% |
| Avg. Drawdown | -3.66% | -4.51% |
| Avg. Drawdown Days | 26 | 138 |
| Recovery Factor | 0.44 | 2.19 |
| Ulcer Index | 0.13 | 0.08 |
| Serenity Index | 0.11 | 0.28 |
| Avg. Up Month | 2.86% | 2.08% |
| Avg. Down Month | -0.47% | -2.26% |
| Win Days | 53.56% | 49.74% |
| Win Month | 65.96% | 55.32% |
| Win Quarter | 68.75% | 56.25% |
| Win Year | 80.0% | 80.0% |
| Beta | -0.55 | - |
| Alpha | 0.14 | - |
| Correlation | -28.06% | - |
| Treynor Ratio | -42.44% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | 12.96 | 7.99 | 0.62 | - |
| 2019 | -11.22 | 27.98 | -2.49 | + |
| 2020 | 20.05 | 10.17 | 0.51 | - |
| 2021 | 0.36 | 14.00 | 39.31 | + |
| 2022 | 11.14 | -28.89 | -2.59 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-07-09 | 2022-02-25 | -52.75 | 231 |
| 2020-01-21 | 2020-11-25 | -33.57 | 309 |
| 2018-10-04 | 2019-02-05 | -9.87 | 124 |
| 2021-06-18 | 2021-07-05 | -9.05 | 17 |
| 2021-01-15 | 2021-03-12 | -6.84 | 56 |
| 2019-07-10 | 2019-09-04 | -5.77 | 56 |
| 2018-05-15 | 2018-07-02 | -4.97 | 48 |
| 2019-02-06 | 2019-04-10 | -4.52 | 63 |
| 2019-11-08 | 2020-01-13 | -4.45 | 66 |
| 2021-03-16 | 2021-05-05 | -4.25 | 50 |