| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 76.0% | 100.0% |
| Cumulative Return | 20.66% | 12.28% |
| CAGR﹪ | 7.14% | 4.34% |
| Sharpe | 0.16 | -0.31 |
| Prob. Sharpe Ratio | 11.29% | 27.41% |
| Smart Sharpe | 0.1 | -0.19 |
| Sortino | 0.25 | -0.36 |
| Smart Sortino | 0.15 | -0.22 |
| Sortino/√2 | 0.18 | -0.26 |
| Smart Sortino/√2 | 0.11 | -0.15 |
| Omega | 1.08 | 1.08 |
| Max Drawdown | -33.93% | -14.59% |
| Longest DD Days | 278 | 274 |
| Volatility (ann.) | 30.05% | 7.0% |
| R^2 | 0.43 | 0.43 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.21 | 0.3 |
| Skew | 2.91 | -10.32 |
| Kurtosis | 193.39 | 217.25 |
| Expected Daily | 0.03% | 0.02% |
| Expected Monthly | 0.55% | 0.34% |
| Expected Yearly | 4.81% | 2.94% |
| Kelly Criterion | 12.87% | 10.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.07% | -0.71% |
| Expected Shortfall (cVaR) | -3.07% | -0.71% |
| Max Consecutive Wins | 7 | 24 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.2 | 0.25 |
| Gain/Pain (1M) | 1.85 | 0.6 |
| Payoff Ratio | 1.19 | 0.83 |
| Profit Factor | 1.2 | 1.25 |
| Common Sense Ratio | 1.31 | 1.69 |
| CPC Index | 0.75 | 0.62 |
| Tail Ratio | 1.1 | 1.35 |
| Outlier Win Ratio | 3.4 | 9.76 |
| Outlier Loss Ratio | 2.2 | 8.05 |
| MTD | 7.19% | 0.12% |
| 3M | 9.01% | 0.69% |
| 6M | 11.5% | 4.49% |
| YTD | 8.82% | 1.22% |
| 1Y | 10.89% | 2.55% |
| 3Y (ann.) | 7.14% | 4.34% |
| 5Y (ann.) | 7.14% | 4.34% |
| 10Y (ann.) | 7.14% | 4.34% |
| All-time (ann.) | 7.14% | 4.34% |
| Best Day | 31.45% | 2.78% |
| Worst Day | -27.99% | -8.56% |
| Best Month | 7.19% | 5.72% |
| Worst Month | -8.07% | -8.76% |
| Best Year | 11.16% | 8.69% |
| Worst Year | -1.76% | -0.6% |
| Avg. Drawdown | -2.54% | -0.73% |
| Avg. Drawdown Days | 31 | 20 |
| Recovery Factor | 0.61 | 0.84 |
| Ulcer Index | 0.03 | 0.02 |
| Serenity Index | 1.44 | 0.27 |
| Avg. Up Month | 2.16% | 1.61% |
| Avg. Down Month | -3.09% | -2.61% |
| Win Days | 52.66% | 59.43% |
| Win Month | 70.59% | 67.65% |
| Win Quarter | 58.33% | 66.67% |
| Win Year | 75.0% | 75.0% |
| Beta | 2.81 | - |
| Alpha | -0.01 | - |
| Correlation | 65.6% | - |
| Treynor Ratio | 4.85% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.60 | -1.76 | 2.92 | - |
| 2022 | 8.69 | 11.16 | 1.28 | + |
| 2023 | 2.67 | 1.54 | 0.58 | - |
| 2024 | 1.22 | 8.82 | 7.20 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-01 | 2022-06-06 | -33.93 | 278 |
| 2024-03-12 | 2024-04-09 | -8.33 | 28 |
| 2022-09-15 | 2022-11-17 | -5.22 | 63 |
| 2023-07-04 | 2024-03-01 | -4.86 | 241 |
| 2022-12-16 | 2022-12-30 | -2.13 | 14 |
| 2022-12-02 | 2022-12-15 | -2.00 | 13 |
| 2023-01-10 | 2023-01-17 | -1.89 | 7 |
| 2022-11-22 | 2022-12-01 | -1.87 | 9 |
| 2023-01-19 | 2023-03-29 | -1.76 | 69 |
| 2023-03-30 | 2023-04-19 | -1.17 | 20 |