| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 90.0% | 100.0% |
| Cumulative Return | 19.95% | 11.59% |
| CAGR﹪ | 6.88% | 4.09% |
| Sharpe | 0.2 | -0.21 |
| Prob. Sharpe Ratio | 14.02% | 28.01% |
| Smart Sharpe | 0.12 | -0.12 |
| Sortino | 0.31 | -0.25 |
| Smart Sortino | 0.19 | -0.15 |
| Sortino/√2 | 0.22 | -0.18 |
| Smart Sortino/√2 | 0.14 | -0.11 |
| Omega | 1.09 | 1.09 |
| Max Drawdown | -33.93% | -16.04% |
| Longest DD Days | 278 | 274 |
| Volatility (ann.) | 32.59% | 7.83% |
| R^2 | 0.44 | 0.44 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.2 | 0.26 |
| Skew | 2.68 | -7.46 |
| Kurtosis | 164.02 | 143.23 |
| Expected Daily | 0.03% | 0.02% |
| Expected Monthly | 0.54% | 0.32% |
| Expected Yearly | 4.65% | 2.78% |
| Kelly Criterion | 11.55% | 11.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.32% | -0.79% |
| Expected Shortfall (cVaR) | -3.32% | -0.79% |
| Max Consecutive Wins | 7 | 19 |
| Max Consecutive Losses | 5 | 9 |
| Gain/Pain Ratio | 0.19 | 0.24 |
| Gain/Pain (1M) | 1.81 | 0.54 |
| Payoff Ratio | 1.15 | 0.87 |
| Profit Factor | 1.19 | 1.24 |
| Common Sense Ratio | 1.29 | 1.38 |
| CPC Index | 0.72 | 0.64 |
| Tail Ratio | 1.08 | 1.12 |
| Outlier Win Ratio | 3.15 | 9.89 |
| Outlier Loss Ratio | 2.32 | 7.26 |
| MTD | 7.19% | 0.16% |
| 3M | 9.01% | 0.53% |
| 6M | 11.5% | 4.41% |
| YTD | 8.82% | 1.12% |
| 1Y | 10.89% | 2.34% |
| 3Y (ann.) | 6.88% | 4.09% |
| 5Y (ann.) | 6.88% | 4.09% |
| 10Y (ann.) | 6.88% | 4.09% |
| All-time (ann.) | 6.88% | 4.09% |
| Best Day | 31.45% | 3.04% |
| Worst Day | -27.99% | -8.25% |
| Best Month | 7.19% | 6.53% |
| Worst Month | -8.07% | -8.35% |
| Best Year | 11.16% | 10.49% |
| Worst Year | -2.34% | -2.4% |
| Avg. Drawdown | -2.22% | -0.93% |
| Avg. Drawdown Days | 25 | 25 |
| Recovery Factor | 0.59 | 0.72 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 1.37 | 0.16 |
| Avg. Up Month | 2.25% | 1.84% |
| Avg. Down Month | -3.09% | -2.79% |
| Win Days | 52.65% | 58.77% |
| Win Month | 70.59% | 61.76% |
| Win Quarter | 58.33% | 58.33% |
| Win Year | 75.0% | 75.0% |
| Beta | 2.77 | - |
| Alpha | -0.01 | - |
| Correlation | 66.64% | - |
| Treynor Ratio | 4.67% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -2.40 | -2.34 | 0.97 | + |
| 2022 | 10.49 | 11.16 | 1.06 | + |
| 2023 | 2.34 | 1.54 | 0.66 | - |
| 2024 | 1.12 | 8.82 | 7.88 | + |
| 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 | 2024-02-19 | -4.86 | 230 |
| 2022-12-16 | 2022-12-26 | -2.13 | 10 |
| 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 | 2023-02-13 | -1.76 | 25 |
| 2023-02-14 | 2023-03-02 | -1.71 | 16 |