| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 91.0% | 100.0% |
| Cumulative Return | 11.38% | 16.08% |
| CAGR﹪ | 4.03% | 5.62% |
| Sharpe | -0.08 | 0.04 |
| Prob. Sharpe Ratio | 16.31% | 42.43% |
| Smart Sharpe | -0.06 | 0.03 |
| Sortino | -0.1 | 0.04 |
| Smart Sortino | -0.08 | 0.03 |
| Sortino/√2 | -0.07 | 0.03 |
| Smart Sortino/√2 | -0.06 | 0.02 |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -14.73% | -13.71% |
| Longest DD Days | 287 | 286 |
| Volatility (ann.) | 13.23% | 7.32% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.27 | 0.41 |
| Skew | -1.41 | -5.35 |
| Kurtosis | 15.82 | 67.85 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.33% | 0.45% |
| Expected Yearly | 2.73% | 3.8% |
| Kelly Criterion | 3.72% | 8.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.35% | -0.73% |
| Expected Shortfall (cVaR) | -1.35% | -0.73% |
| Max Consecutive Wins | 11 | 16 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.09 | 0.32 |
| Gain/Pain (1M) | 0.41 | 0.69 |
| Payoff Ratio | 0.88 | 0.74 |
| Profit Factor | 1.09 | 1.32 |
| Common Sense Ratio | 1.12 | 2.19 |
| CPC Index | 0.53 | 0.6 |
| Tail Ratio | 1.02 | 1.66 |
| Outlier Win Ratio | 3.59 | 8.6 |
| Outlier Loss Ratio | 2.43 | 6.5 |
| MTD | -3.82% | 0.77% |
| 3M | -2.58% | 0.44% |
| 6M | 0.98% | 4.37% |
| YTD | -2.99% | 1.01% |
| 1Y | 0.09% | 3.41% |
| 3Y (ann.) | 4.03% | 5.62% |
| 5Y (ann.) | 4.03% | 5.62% |
| 10Y (ann.) | 4.03% | 5.62% |
| All-time (ann.) | 4.03% | 5.62% |
| Best Day | 4.07% | 2.33% |
| Worst Day | -7.71% | -5.94% |
| Best Month | 10.12% | 7.52% |
| Worst Month | -11.7% | -9.94% |
| Best Year | 11.65% | 10.94% |
| Worst Year | -2.99% | -0.96% |
| Avg. Drawdown | -1.2% | -0.59% |
| Avg. Drawdown Days | 15 | 14 |
| Recovery Factor | 0.77 | 1.17 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 0.22 | 0.31 |
| Avg. Up Month | 2.23% | 1.94% |
| Avg. Down Month | -2.51% | -2.19% |
| Win Days | 55.05% | 60.9% |
| Win Month | 60.61% | 66.67% |
| Win Quarter | 50.0% | 58.33% |
| Win Year | 50.0% | 75.0% |
| Beta | 0.96 | - |
| Alpha | -0.01 | - |
| Correlation | 53.34% | - |
| Treynor Ratio | 4.55% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.96 | -0.89 | 0.93 | + |
| 2022 | 10.94 | 11.65 | 1.06 | + |
| 2023 | 4.59 | 3.77 | 0.82 | - |
| 2024 | 1.01 | -2.99 | -2.96 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-08-26 | 2022-06-09 | -14.73 | 287 |
| 2022-09-15 | 2022-11-08 | -5.87 | 54 |
| 2023-08-01 | 2024-03-01 | -4.76 | 213 |
| 2024-04-02 | 2024-04-09 | -3.82 | 7 |
| 2022-12-16 | 2022-12-27 | -2.10 | 11 |
| 2023-01-09 | 2023-02-06 | -2.03 | 28 |
| 2022-11-15 | 2022-11-29 | -1.89 | 14 |
| 2022-12-07 | 2022-12-12 | -1.88 | 5 |
| 2022-12-05 | 2022-12-06 | -1.75 | 1 |
| 2022-06-14 | 2022-06-24 | -1.33 | 10 |