| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 6.63% | 10.88% |
| CAGR﹪ | 5.54% | 9.07% |
| Sharpe | 0.08 | 0.21 |
| Prob. Sharpe Ratio | 20.1% | 25.13% |
| Smart Sharpe | 0.08 | 0.2 |
| Sortino | 0.11 | 0.27 |
| Smart Sortino | 0.1 | 0.26 |
| Sortino/√2 | 0.08 | 0.19 |
| Smart Sortino/√2 | 0.07 | 0.18 |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -21.41% | -23.06% |
| Longest DD Days | 132 | 94 |
| Volatility (ann.) | 26.08% | 24.81% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.26 | 0.39 |
| Skew | -0.12 | -1.58 |
| Kurtosis | 2.22 | 19.2 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.43% | 0.69% |
| Expected Yearly | 2.16% | 3.5% |
| Kelly Criterion | 0.85% | 4.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.67% | -2.52% |
| Expected Shortfall (cVaR) | -2.67% | -2.52% |
| Max Consecutive Wins | 8 | 11 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.06 | 0.1 |
| Gain/Pain (1M) | 0.4 | 0.51 |
| Payoff Ratio | 0.83 | 0.96 |
| Profit Factor | 1.06 | 1.1 |
| Common Sense Ratio | 1.01 | 1.26 |
| CPC Index | 0.48 | 0.56 |
| Tail Ratio | 0.96 | 1.15 |
| Outlier Win Ratio | 3.3 | 3.68 |
| Outlier Loss Ratio | 2.97 | 3.71 |
| MTD | 0.86% | -8.7% |
| 3M | -11.65% | -14.28% |
| 6M | -10.68% | -8.34% |
| YTD | -9.2% | -15.71% |
| 1Y | 4.24% | 7.6% |
| 3Y (ann.) | 5.54% | 9.07% |
| 5Y (ann.) | 5.54% | 9.07% |
| 10Y (ann.) | 5.54% | 9.07% |
| All-time (ann.) | 5.54% | 9.07% |
| Best Day | 7.39% | 8.6% |
| Worst Day | -5.79% | -13.01% |
| Best Month | 8.86% | 9.13% |
| Worst Month | -9.98% | -8.7% |
| Best Year | 14.31% | 28.14% |
| Worst Year | -9.2% | -15.71% |
| Avg. Drawdown | -5.16% | -4.72% |
| Avg. Drawdown Days | 29 | 25 |
| Recovery Factor | 0.31 | 0.47 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | -0.0 | 0.12 |
| Avg. Up Month | 5.04% | 4.96% |
| Avg. Down Month | -5.33% | -5.05% |
| Win Days | 55.07% | 53.04% |
| Win Month | 53.33% | 66.67% |
| Win Quarter | 66.67% | 83.33% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.48 | - |
| Alpha | 0.03 | - |
| Correlation | 45.95% | - |
| Treynor Ratio | -0.77% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 2.65 | 2.73 | 1.03 | + |
| 2021 | 28.14 | 14.31 | 0.51 | - |
| 2022 | -15.71 | -9.20 | 0.59 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2022-02-25 | -21.41 | 94 |
| 2021-02-17 | 2021-06-29 | -14.37 | 132 |
| 2021-09-08 | 2021-11-12 | -9.77 | 65 |
| 2020-12-24 | 2021-02-02 | -7.67 | 40 |
| 2021-07-08 | 2021-07-23 | -3.82 | 15 |
| 2021-08-10 | 2021-08-20 | -2.84 | 10 |
| 2021-07-26 | 2021-08-05 | -2.30 | 10 |
| 2021-11-17 | 2021-11-19 | -1.82 | 2 |
| 2021-02-10 | 2021-02-12 | -1.07 | 2 |
| 2021-08-31 | 2021-09-06 | -0.92 | 6 |