| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 11.45% | 46.49% |
| CAGR﹪ | 4.2% | 15.61% |
| Sharpe | -2.17 | -2.07 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -1.96 | -1.87 |
| Sortino | -2.57 | -2.61 |
| Smart Sortino | -2.32 | -2.35 |
| Sortino/√2 | -1.82 | -1.84 |
| Smart Sortino/√2 | -1.64 | -1.66 |
| Omega | 0.62 | 0.62 |
| Max Drawdown | -33.99% | -33.92% |
| Longest DD Days | 186 | 180 |
| Volatility (ann.) | 27.99% | 24.35% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.12 | 0.46 |
| Skew | -2.53 | -0.58 |
| Kurtosis | 31.27 | 14.77 |
| Expected Daily | 0.02% | 0.06% |
| Expected Monthly | 0.34% | 1.2% |
| Expected Yearly | 2.75% | 10.02% |
| Kelly Criterion | -1.97% | 6.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.87% | -2.45% |
| Expected Shortfall (cVaR) | -2.87% | -2.45% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.07 | 0.17 |
| Gain/Pain (1M) | 0.3 | 1.06 |
| Payoff Ratio | 0.79 | 0.86 |
| Profit Factor | 1.07 | 1.17 |
| Common Sense Ratio | 1.02 | 1.03 |
| CPC Index | 0.47 | 0.57 |
| Tail Ratio | 0.95 | 0.87 |
| Outlier Win Ratio | 4.59 | 4.78 |
| Outlier Loss Ratio | 4.22 | 4.73 |
| MTD | -24.3% | -2.9% |
| 3M | -27.99% | -6.74% |
| 6M | -24.91% | -2.26% |
| YTD | -29.74% | -8.25% |
| 1Y | -13.02% | 11.7% |
| 3Y (ann.) | 4.2% | 15.61% |
| 5Y (ann.) | 4.2% | 15.61% |
| 10Y (ann.) | 4.2% | 15.61% |
| All-time (ann.) | 4.2% | 15.61% |
| Best Day | 10.58% | 9.38% |
| Worst Day | -19.48% | -11.98% |
| Best Month | 10.66% | 12.68% |
| Worst Month | -24.3% | -12.51% |
| Best Year | 29.06% | 28.05% |
| Worst Year | -29.74% | -8.25% |
| Avg. Drawdown | -2.47% | -2.02% |
| Avg. Drawdown Days | 13 | 12 |
| Recovery Factor | 0.34 | 1.37 |
| Ulcer Index | 0.07 | 0.07 |
| Serenity Index | -1.55 | -0.9 |
| Avg. Up Month | 4.21% | 4.43% |
| Avg. Down Month | -7.66% | -4.92% |
| Win Days | 54.95% | 56.64% |
| Win Month | 71.88% | 62.5% |
| Win Quarter | 72.73% | 72.73% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.42 | - |
| Alpha | 0.01 | - |
| Correlation | 36.97% | - |
| Treynor Ratio | -208.4% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 8.25 | 7.78 | 0.94 | - |
| 2020 | 15.19 | 14.03 | 0.92 | - |
| 2021 | 28.05 | 29.06 | 1.04 | + |
| 2022 | -8.25 | -29.74 | 3.61 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-20 | 2020-08-24 | -33.99 | 186 |
| 2022-01-04 | 2022-02-25 | -30.26 | 52 |
| 2020-09-03 | 2020-11-06 | -8.42 | 64 |
| 2019-07-30 | 2019-10-28 | -6.84 | 90 |
| 2021-09-03 | 2021-10-25 | -5.39 | 52 |
| 2021-02-17 | 2021-03-16 | -4.77 | 27 |
| 2021-11-23 | 2021-12-27 | -4.41 | 34 |
| 2021-05-10 | 2021-06-09 | -3.38 | 30 |
| 2021-01-26 | 2021-02-05 | -3.12 | 10 |
| 2020-11-10 | 2020-11-16 | -2.82 | 6 |