| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | 26.98% | 27.64% |
| CAGR﹪ | 7.23% | 7.4% |
| Sharpe | -8.72 | -8.92 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -8.39 | -8.58 |
| Sortino | -8.13 | -8.29 |
| Smart Sortino | -7.82 | -7.97 |
| Sortino/√2 | -5.75 | -5.86 |
| Smart Sortino/√2 | -5.53 | -5.64 |
| Omega | 0.17 | 0.17 |
| Max Drawdown | -38.96% | -38.18% |
| Longest DD Days | 302 | 308 |
| Volatility (ann.) | 22.83% | 22.33% |
| R^2 | 0.83 | 0.83 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.19 | 0.19 |
| Skew | -2.33 | -1.68 |
| Kurtosis | 22.36 | 15.78 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.57% | 0.58% |
| Expected Yearly | 4.89% | 5.0% |
| Kelly Criterion | 2.41% | 1.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.33% | -2.28% |
| Expected Shortfall (cVaR) | -2.33% | -2.28% |
| Max Consecutive Wins | 9 | 11 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.09 | 0.09 |
| Gain/Pain (1M) | 0.44 | 0.44 |
| Payoff Ratio | 0.87 | 0.87 |
| Profit Factor | 1.09 | 1.09 |
| Common Sense Ratio | 1.11 | 1.03 |
| CPC Index | 0.52 | 0.51 |
| Tail Ratio | 1.02 | 0.94 |
| Outlier Win Ratio | 3.64 | 3.6 |
| Outlier Loss Ratio | 4.91 | 4.87 |
| MTD | -26.92% | -26.79% |
| 3M | -33.67% | -32.68% |
| 6M | -32.28% | -31.59% |
| YTD | -31.21% | -30.75% |
| 1Y | -19.8% | -19.18% |
| 3Y (ann.) | 7.1% | 7.26% |
| 5Y (ann.) | 7.23% | 7.4% |
| 10Y (ann.) | 7.23% | 7.4% |
| All-time (ann.) | 7.23% | 7.4% |
| Best Day | 7.45% | 7.78% |
| Worst Day | -14.14% | -13.29% |
| Best Month | 15.26% | 14.67% |
| Worst Month | -26.92% | -26.79% |
| Best Year | 37.44% | 37.05% |
| Worst Year | -31.21% | -30.75% |
| Avg. Drawdown | -2.73% | -2.58% |
| Avg. Drawdown Days | 19 | 18 |
| Recovery Factor | 0.69 | 0.72 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | -7.46 | -7.55 |
| Avg. Up Month | 4.0% | 4.03% |
| Avg. Down Month | -5.75% | -5.72% |
| Win Days | 54.73% | 54.39% |
| Win Month | 69.05% | 64.29% |
| Win Quarter | 73.33% | 73.33% |
| Win Year | 60.0% | 60.0% |
| Beta | 0.93 | - |
| Alpha | 0.01 | - |
| Correlation | 90.88% | - |
| Treynor Ratio | -724.23% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | -1.58 | -1.17 | 0.74 | + |
| 2019 | 37.05 | 37.44 | 1.01 | + |
| 2020 | 13.63 | 13.38 | 0.98 | - |
| 2021 | 20.25 | 19.85 | 0.98 | - |
| 2022 | -30.75 | -31.21 | 1.02 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2022-02-25 | -38.96 | 127 |
| 2020-01-21 | 2020-11-18 | -34.16 | 302 |
| 2018-10-04 | 2019-01-21 | -7.56 | 109 |
| 2021-01-15 | 2021-03-11 | -6.27 | 55 |
| 2019-07-05 | 2019-09-03 | -5.61 | 60 |
| 2019-11-08 | 2019-12-18 | -4.72 | 40 |
| 2019-09-17 | 2019-10-23 | -4.54 | 36 |
| 2021-07-08 | 2021-08-10 | -4.16 | 33 |
| 2019-02-06 | 2019-04-09 | -4.00 | 62 |
| 2021-03-16 | 2021-04-16 | -3.86 | 31 |