| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 43.46% | 43.71% |
| CAGR﹪ | 10.7% | 10.75% |
| Sharpe | -8.72 | -7.46 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -7.71 | -6.6 |
| Sortino | -8.11 | -7.43 |
| Smart Sortino | -7.17 | -6.58 |
| Sortino/√2 | -5.73 | -5.26 |
| Smart Sortino/√2 | -5.07 | -4.65 |
| Omega | 0.16 | 0.16 |
| Max Drawdown | -46.65% | -46.32% |
| Longest DD Days | 908 | 904 |
| Volatility (ann.) | 22.47% | 26.11% |
| R^2 | 0.67 | 0.67 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.23 | 0.23 |
| Skew | -3.13 | -3.88 |
| Kurtosis | 36.23 | 102.91 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.84% | 0.85% |
| Expected Yearly | 7.48% | 7.52% |
| Kelly Criterion | 3.61% | 6.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.28% | -2.65% |
| Expected Shortfall (cVaR) | -2.28% | -2.65% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.13 | 0.14 |
| Gain/Pain (1M) | 0.65 | 0.69 |
| Payoff Ratio | 0.86 | 0.87 |
| Profit Factor | 1.13 | 1.14 |
| Common Sense Ratio | 1.1 | 1.08 |
| CPC Index | 0.54 | 0.56 |
| Tail Ratio | 0.98 | 0.95 |
| Outlier Win Ratio | 3.41 | 3.37 |
| Outlier Loss Ratio | 4.91 | 4.77 |
| MTD | 3.79% | 3.54% |
| 3M | 7.91% | 7.93% |
| 6M | 7.37% | 7.0% |
| YTD | 13.54% | 12.77% |
| 1Y | 30.3% | 29.94% |
| 3Y (ann.) | 3.32% | 3.41% |
| 5Y (ann.) | 10.7% | 10.75% |
| 10Y (ann.) | 10.7% | 10.75% |
| All-time (ann.) | 10.7% | 10.75% |
| Best Day | 8.06% | 18.71% |
| Worst Day | -17.25% | -26.96% |
| Best Month | 17.87% | 17.16% |
| Worst Month | -20.75% | -22.0% |
| Best Year | 34.84% | 35.36% |
| Worst Year | -28.61% | -28.38% |
| Avg. Drawdown | -2.97% | -3.08% |
| Avg. Drawdown Days | 41 | 43 |
| Recovery Factor | 0.93 | 0.94 |
| Ulcer Index | 0.21 | 0.21 |
| Serenity Index | -1.12 | -1.3 |
| Avg. Up Month | 4.03% | 3.96% |
| Avg. Down Month | -5.3% | -6.22% |
| Win Days | 55.53% | 56.61% |
| Win Month | 67.44% | 72.09% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 80.0% | 80.0% |
| Beta | 0.71 | - |
| Alpha | 0.03 | - |
| Correlation | 82.0% | - |
| Treynor Ratio | -930.44% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 16.96 | 17.33 | 1.02 | + |
| 2021 | 12.38 | 11.86 | 0.96 | - |
| 2022 | -28.38 | -28.61 | 1.01 | - |
| 2023 | 35.36 | 34.84 | 0.99 | - |
| 2024 | 12.77 | 13.54 | 1.06 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2024-04-15 | -46.65 | 908 |
| 2021-06-15 | 2021-08-30 | -5.07 | 76 |
| 2021-01-15 | 2021-03-11 | -4.68 | 55 |
| 2020-10-26 | 2020-11-05 | -4.40 | 10 |
| 2021-09-09 | 2021-10-05 | -3.44 | 26 |
| 2021-04-27 | 2021-06-01 | -2.94 | 35 |
| 2021-03-16 | 2021-03-31 | -2.58 | 15 |
| 2020-10-07 | 2020-10-23 | -2.37 | 16 |
| 2020-12-21 | 2020-12-22 | -1.84 | 1 |
| 2020-11-30 | 2020-12-02 | -1.77 | 2 |