| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 11.45% | 46.74% |
| CAGR﹪ | 4.2% | 15.68% |
| Sharpe | 0.06 | 0.5 |
| Prob. Sharpe Ratio | 11.26% | 30.84% |
| Smart Sharpe | 0.06 | 0.45 |
| Sortino | 0.08 | 0.7 |
| Smart Sortino | 0.07 | 0.63 |
| Sortino/√2 | 0.06 | 0.49 |
| Smart Sortino/√2 | 0.05 | 0.44 |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -33.99% | -34.3% |
| Longest DD Days | 186 | 180 |
| Volatility (ann.) | 27.99% | 24.3% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.12 | 0.46 |
| Skew | -2.53 | -0.54 |
| Kurtosis | 31.27 | 14.81 |
| Expected Daily | 0.02% | 0.06% |
| Expected Monthly | 0.34% | 1.21% |
| Expected Yearly | 2.75% | 10.06% |
| Kelly Criterion | -1.89% | 5.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.87% | -2.44% |
| Expected Shortfall (cVaR) | -2.87% | -2.44% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.07 | 0.17 |
| Gain/Pain (1M) | 0.3 | 1.07 |
| Payoff Ratio | 0.79 | 0.84 |
| Profit Factor | 1.07 | 1.17 |
| Common Sense Ratio | 1.02 | 1.03 |
| CPC Index | 0.47 | 0.56 |
| Tail Ratio | 0.95 | 0.88 |
| Outlier Win Ratio | 4.61 | 4.85 |
| Outlier Loss Ratio | 4.26 | 4.74 |
| MTD | -24.3% | -2.74% |
| 3M | -27.99% | -6.76% |
| 6M | -24.91% | -2.31% |
| YTD | -29.74% | -8.09% |
| 1Y | -13.02% | 11.72% |
| 3Y (ann.) | 4.2% | 15.68% |
| 5Y (ann.) | 4.2% | 15.68% |
| 10Y (ann.) | 4.2% | 15.68% |
| All-time (ann.) | 4.2% | 15.68% |
| Best Day | 10.58% | 9.54% |
| Worst Day | -19.48% | -11.74% |
| Best Month | 10.66% | 12.79% |
| Worst Month | -24.3% | -12.85% |
| Best Year | 29.06% | 28.06% |
| Worst Year | -29.74% | -8.09% |
| Avg. Drawdown | -2.47% | -2.02% |
| Avg. Drawdown Days | 13 | 12 |
| Recovery Factor | 0.34 | 1.36 |
| Ulcer Index | 0.07 | 0.07 |
| Serenity Index | 0.08 | 0.66 |
| Avg. Up Month | 4.21% | 4.43% |
| Avg. Down Month | -7.66% | -4.91% |
| Win Days | 54.95% | 56.93% |
| Win Month | 71.88% | 62.5% |
| Win Quarter | 72.73% | 72.73% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.43 | - |
| Alpha | 0.0 | - |
| Correlation | 37.09% | - |
| Treynor Ratio | 10.42% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 8.19 | 7.78 | 0.95 | - |
| 2020 | 15.23 | 14.03 | 0.92 | - |
| 2021 | 28.06 | 29.06 | 1.04 | + |
| 2022 | -8.09 | -29.74 | 3.68 | - |
| 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 |