| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 96.0% | 96.0% |
| Cumulative Return | 32.38% | 31.23% |
| CAGR﹪ | 6.3% | 6.1% |
| Sharpe | -24.08 | -45.99 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -16.88 | -32.23 |
| Sortino | -13.69 | -15.02 |
| Smart Sortino | -9.6 | -10.53 |
| Sortino/√2 | -9.68 | -10.62 |
| Smart Sortino/√2 | -6.79 | -7.44 |
| Omega | 0.01 | 0.01 |
| Max Drawdown | -14.75% | -10.92% |
| Longest DD Days | 193 | 222 |
| Volatility (ann.) | 8.4% | 4.41% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.43 | 0.56 |
| Skew | -4.62 | -6.91 |
| Kurtosis | 246.19 | 101.83 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.5% | 0.49% |
| Expected Yearly | 4.79% | 4.63% |
| Kelly Criterion | 2.68% | 16.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.84% | -0.43% |
| Expected Shortfall (cVaR) | -0.84% | -0.43% |
| Max Consecutive Wins | 8 | 15 |
| Max Consecutive Losses | 5 | 9 |
| Gain/Pain Ratio | 0.27 | 0.52 |
| Gain/Pain (1M) | 1.87 | 1.66 |
| Payoff Ratio | 0.83 | 0.82 |
| Profit Factor | 1.27 | 1.52 |
| Common Sense Ratio | 1.49 | 2.39 |
| CPC Index | 0.59 | 0.78 |
| Tail Ratio | 1.17 | 1.57 |
| Outlier Win Ratio | 3.71 | 7.14 |
| Outlier Loss Ratio | 3.14 | 5.51 |
| MTD | 0.45% | 0.39% |
| 3M | 2.13% | 1.69% |
| 6M | 4.07% | 3.78% |
| YTD | 3.56% | 1.85% |
| 1Y | 3.89% | 3.32% |
| 3Y (ann.) | 6.06% | 5.84% |
| 5Y (ann.) | 6.3% | 6.1% |
| 10Y (ann.) | 6.3% | 6.1% |
| All-time (ann.) | 6.3% | 6.1% |
| Best Day | 8.83% | 1.64% |
| Worst Day | -11.2% | -4.52% |
| Best Month | 4.76% | 5.98% |
| Worst Month | -6.05% | -5.69% |
| Best Year | 10.37% | 10.13% |
| Worst Year | 1.48% | 1.67% |
| Avg. Drawdown | -0.47% | -0.34% |
| Avg. Drawdown Days | 10 | 11 |
| Recovery Factor | 2.2 | 2.86 |
| Ulcer Index | 0.01 | 0.01 |
| Serenity Index | -84.13 | -46.57 |
| Avg. Up Month | 1.21% | 1.14% |
| Avg. Down Month | -1.37% | -1.37% |
| Win Days | 55.94% | 62.27% |
| Win Month | 72.73% | 73.21% |
| Win Quarter | 85.0% | 75.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 1.11 | - |
| Alpha | -0.0 | - |
| Correlation | 58.51% | - |
| Treynor Ratio | -598.84% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 2.91 | 5.37 | 1.85 | + |
| 2020 | 7.73 | 5.22 | 0.68 | - |
| 2021 | 1.67 | 1.48 | 0.89 | - |
| 2022 | 10.13 | 10.37 | 1.02 | + |
| 2023 | 3.79 | 2.93 | 0.77 | - |
| 2024 | 1.85 | 3.56 | 1.92 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2022-06-03 | -14.75 | 148 |
| 2020-02-21 | 2020-04-30 | -5.36 | 69 |
| 2022-09-20 | 2022-10-21 | -4.78 | 31 |
| 2023-08-04 | 2024-02-13 | -3.74 | 193 |
| 2021-08-31 | 2021-12-29 | -1.78 | 120 |
| 2020-01-03 | 2020-02-17 | -1.21 | 45 |
| 2021-05-26 | 2021-08-04 | -1.05 | 70 |
| 2021-01-26 | 2021-05-07 | -0.99 | 101 |
| 2022-06-27 | 2022-07-06 | -0.92 | 9 |
| 2024-03-13 | 2024-04-04 | -0.85 | 22 |