| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 71.73% | 90.56% |
| CAGR﹪ | 20.77% | 25.23% |
| Sharpe | 0.66 | 1.0 |
| Prob. Sharpe Ratio | 41.18% | 68.4% |
| Smart Sharpe | 0.52 | 0.79 |
| Sortino | 0.92 | 1.5 |
| Smart Sortino | 0.72 | 1.19 |
| Sortino/√2 | 0.65 | 1.06 |
| Smart Sortino/√2 | 0.51 | 0.84 |
| Omega | 1.15 | 1.15 |
| Max Drawdown | -22.08% | -17.81% |
| Longest DD Days | 108 | 105 |
| Volatility (ann.) | 21.9% | 17.16% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.94 | 1.42 |
| Skew | -1.36 | 0.07 |
| Kurtosis | 53.5 | 5.0 |
| Expected Daily | 0.07% | 0.09% |
| Expected Monthly | 1.56% | 1.86% |
| Expected Yearly | 14.48% | 17.49% |
| Kelly Criterion | 12.13% | 9.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.18% | -1.68% |
| Expected Shortfall (cVaR) | -2.18% | -1.68% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.23 | 0.29 |
| Gain/Pain (1M) | 1.97 | 2.65 |
| Payoff Ratio | 1.03 | 1.06 |
| Profit Factor | 1.23 | 1.29 |
| Common Sense Ratio | 1.44 | 1.46 |
| CPC Index | 0.7 | 0.72 |
| Tail Ratio | 1.17 | 1.14 |
| Outlier Win Ratio | 3.83 | 3.87 |
| Outlier Loss Ratio | 3.2 | 3.68 |
| MTD | -5.99% | 3.72% |
| 3M | -7.25% | 2.47% |
| 6M | -2.29% | 8.39% |
| YTD | -9.67% | -0.04% |
| 1Y | 12.89% | 25.33% |
| 3Y (ann.) | 20.77% | 25.23% |
| 5Y (ann.) | 20.77% | 25.23% |
| 10Y (ann.) | 20.77% | 25.23% |
| All-time (ann.) | 20.77% | 25.23% |
| Best Day | 14.69% | 5.91% |
| Worst Day | -17.35% | -6.46% |
| Best Month | 10.45% | 10.39% |
| Worst Month | -6.59% | -6.71% |
| Best Year | 39.15% | 39.02% |
| Worst Year | -9.67% | -0.04% |
| Avg. Drawdown | -2.67% | -2.2% |
| Avg. Drawdown Days | 18 | 16 |
| Recovery Factor | 3.25 | 5.09 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 4.11 | 4.43 |
| Avg. Up Month | 3.77% | 3.75% |
| Avg. Down Month | -3.12% | -2.92% |
| Win Days | 55.42% | 53.39% |
| Win Month | 71.43% | 71.43% |
| Win Quarter | 83.33% | 83.33% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.78 | - |
| Alpha | 0.03 | - |
| Correlation | 61.41% | - |
| Treynor Ratio | 82.6% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 6.75 | 6.49 | 0.96 | - |
| 2020 | 39.02 | 39.15 | 1.00 | + |
| 2021 | 28.45 | 28.31 | 0.99 | - |
| 2022 | -0.04 | -9.67 | 251.89 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2022-02-25 | -22.08 | 50 |
| 2020-02-21 | 2020-06-08 | -17.10 | 108 |
| 2020-09-03 | 2020-10-12 | -7.56 | 39 |
| 2021-08-26 | 2021-11-03 | -6.58 | 69 |
| 2019-05-06 | 2019-07-29 | -6.07 | 84 |
| 2021-11-23 | 2021-12-29 | -5.89 | 36 |
| 2021-04-13 | 2021-07-05 | -5.62 | 83 |
| 2020-10-19 | 2020-11-06 | -5.46 | 18 |
| 2020-06-11 | 2020-07-02 | -4.32 | 21 |
| 2021-01-26 | 2021-03-18 | -4.20 | 51 |