| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 22.81% | 31.91% |
| CAGR﹪ | 5.24% | 7.13% |
| Sharpe | 0.43 | 3.25 |
| Prob. Sharpe Ratio | 80.37% | 100.0% |
| Smart Sharpe | 0.25 | 1.92 |
| Sortino | 0.61 | 82.18 |
| Smart Sortino | 0.36 | 48.4 |
| Sortino/√2 | 0.43 | 58.11 |
| Smart Sortino/√2 | 0.26 | 34.23 |
| Omega | 1.16 | 1.16 |
| Max Drawdown | -27.13% | -1.25% |
| Longest DD Days | 784 | 209 |
| Volatility (ann.) | 14.76% | 2.17% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.19 | 5.68 |
| Skew | 1.97 | 17.34 |
| Kurtosis | 197.79 | 308.05 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.41% | 0.56% |
| Expected Yearly | 4.2% | 5.7% |
| Kelly Criterion | 23.54% | 80.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.5% | -0.2% |
| Expected Shortfall (cVaR) | -1.5% | -0.2% |
| Max Consecutive Wins | 9 | 395 |
| Max Consecutive Losses | 10 | 65 |
| Gain/Pain Ratio | 0.16 | 15.67 |
| Gain/Pain (1M) | 0.83 | 15.67 |
| Payoff Ratio | 1.5 | 3.21 |
| Profit Factor | 1.16 | 16.67 |
| Common Sense Ratio | 1.42 | 52.52 |
| CPC Index | 0.94 | 45.37 |
| Tail Ratio | 1.22 | 3.15 |
| Outlier Win Ratio | 2.61 | 24.04 |
| Outlier Loss Ratio | 2.52 | 73.58 |
| MTD | -0.02% | 0.04% |
| 3M | 1.83% | 1.94% |
| 6M | -0.88% | 1.65% |
| YTD | 0.55% | 0.78% |
| 1Y | 8.21% | 11.69% |
| 3Y (ann.) | 1.77% | 8.63% |
| 5Y (ann.) | 5.24% | 7.13% |
| 10Y (ann.) | 5.24% | 7.13% |
| All-time (ann.) | 5.24% | 7.13% |
| Best Day | 17.61% | 2.47% |
| Worst Day | -14.34% | -0.02% |
| Best Month | 9.16% | 7.61% |
| Worst Month | -5.81% | -0.52% |
| Best Year | 16.54% | 11.92% |
| Worst Year | -5.45% | 0.78% |
| Avg. Drawdown | -1.41% | -0.59% |
| Avg. Drawdown Days | 32 | 132 |
| Recovery Factor | 0.84 | 25.43 |
| Ulcer Index | 0.04 | 0.0 |
| Serenity Index | 0.58 | 19.88 |
| Avg. Up Month | 1.77% | 0.48% |
| Avg. Down Month | -0.58% | -0.21% |
| Win Days | 54.13% | 84.75% |
| Win Month | 60.0% | 86.0% |
| Win Quarter | 64.71% | 88.24% |
| Win Year | 80.0% | 100.0% |
| Beta | -0.5 | - |
| Alpha | 0.1 | - |
| Correlation | -7.3% | - |
| Treynor Ratio | -46.04% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 2.84 | 16.54 | 5.83 | + |
| 2020 | 4.91 | 7.29 | 1.48 | + |
| 2021 | 8.39 | -5.45 | -0.65 | - |
| 2022 | 11.92 | 3.31 | 0.28 | - |
| 2023 | 0.78 | 0.55 | 0.71 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-12-09 | 2023-02-01 | -27.13 | 784 |
| 2020-02-25 | 2020-04-23 | -10.79 | 58 |
| 2019-05-06 | 2019-06-19 | -3.34 | 44 |
| 2020-06-22 | 2020-11-12 | -2.42 | 143 |
| 2019-02-07 | 2019-03-11 | -1.33 | 32 |
| 2019-03-22 | 2019-04-15 | -1.15 | 24 |
| 2020-05-27 | 2020-06-18 | -1.13 | 22 |
| 2019-09-11 | 2019-10-07 | -1.09 | 26 |
| 2019-07-26 | 2019-08-21 | -0.97 | 26 |
| 2019-11-06 | 2019-11-21 | -0.90 | 15 |