| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 91.0% | 100.0% |
| Cumulative Return | 13.07% | 19.05% |
| CAGR﹪ | 4.55% | 6.53% |
| Sharpe | 0.48 | 17.62 |
| Prob. Sharpe Ratio | 75.94% | 100.0% |
| Smart Sharpe | 0.38 | 13.92 |
| Sortino | 0.65 | 65.14 |
| Smart Sortino | 0.52 | 51.46 |
| Sortino/√2 | 0.46 | 46.06 |
| Smart Sortino/√2 | 0.37 | 36.39 |
| Omega | 1.1 | 1.1 |
| Max Drawdown | -14.73% | -1.25% |
| Longest DD Days | 287 | 210 |
| Volatility (ann.) | 13.23% | 0.44% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.31 | 5.2 |
| Skew | -1.38 | 0.12 |
| Kurtosis | 15.67 | 0.87 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.37% | 0.53% |
| Expected Yearly | 3.12% | 4.46% |
| Kelly Criterion | 17.78% | 83.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.35% | -0.01% |
| Expected Shortfall (cVaR) | -1.35% | -0.01% |
| Max Consecutive Wins | 11 | 331 |
| Max Consecutive Losses | 6 | 53 |
| Gain/Pain Ratio | 0.1 | 13.82 |
| Gain/Pain (1M) | 0.46 | 13.82 |
| Payoff Ratio | 1.22 | 1.43 |
| Profit Factor | 1.1 | 14.82 |
| Common Sense Ratio | 1.14 | 46.89 |
| CPC Index | 0.74 | 19.18 |
| Tail Ratio | 1.03 | 3.16 |
| Outlier Win Ratio | 2.36 | 29.32 |
| Outlier Loss Ratio | 1.65 | 41.1 |
| MTD | -3.82% | 0.5% |
| 3M | -2.58% | 2.29% |
| 6M | 0.98% | 4.96% |
| YTD | -2.99% | 2.45% |
| 1Y | 0.09% | 8.13% |
| 3Y (ann.) | 4.55% | 6.53% |
| 5Y (ann.) | 4.55% | 6.53% |
| 10Y (ann.) | 4.55% | 6.53% |
| All-time (ann.) | 4.55% | 6.53% |
| Best Day | 4.07% | 0.11% |
| Worst Day | -7.71% | -0.03% |
| Best Month | 10.12% | 1.56% |
| Worst Month | -11.7% | -0.52% |
| Best Year | 11.65% | 7.42% |
| Worst Year | -2.99% | 2.45% |
| Avg. Drawdown | -1.21% | -1.25% |
| Avg. Drawdown Days | 16 | 210 |
| Recovery Factor | 0.89 | 15.19 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.65 | 1.96 |
| Avg. Up Month | 1.89% | 0.54% |
| Avg. Down Month | - | - |
| Win Days | 54.88% | 90.57% |
| Win Month | 63.64% | 90.91% |
| Win Quarter | 58.33% | 91.67% |
| Win Year | 75.0% | 100.0% |
| Beta | -1.45 | - |
| Alpha | 0.18 | - |
| Correlation | -4.86% | - |
| Treynor Ratio | -9.01% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.01 | 0.61 | 0.15 | - |
| 2022 | 4.01 | 11.65 | 2.91 | + |
| 2023 | 7.42 | 3.77 | 0.51 | - |
| 2024 | 2.45 | -2.99 | -1.22 | - |
| 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 |