| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | 9.48% | 20.98% |
| CAGR﹪ | 4.13% | 8.88% |
| Sharpe | 0.31 | 3.27 |
| Prob. Sharpe Ratio | 66.74% | 100.0% |
| Smart Sharpe | 0.19 | 2.04 |
| Sortino | 0.47 | 81.2 |
| Smart Sortino | 0.29 | 50.55 |
| Sortino/√2 | 0.33 | 57.42 |
| Smart Sortino/√2 | 0.21 | 35.74 |
| Omega | 1.15 | 1.15 |
| Max Drawdown | -33.93% | -1.25% |
| Longest DD Days | 278 | 210 |
| Volatility (ann.) | 32.8% | 3.12% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.12 | 7.08 |
| Skew | 2.17 | 12.17 |
| Kurtosis | 184.19 | 149.19 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.32% | 0.68% |
| Expected Yearly | 3.07% | 6.55% |
| Kelly Criterion | 31.92% | 83.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.36% | -0.28% |
| Expected Shortfall (cVaR) | -3.36% | -0.28% |
| Max Consecutive Wins | 7 | 216 |
| Max Consecutive Losses | 5 | 56 |
| Gain/Pain Ratio | 0.15 | 15.16 |
| Gain/Pain (1M) | 1.27 | 15.16 |
| Payoff Ratio | 2.3 | 2.78 |
| Profit Factor | 1.15 | 16.16 |
| Common Sense Ratio | 1.3 | 50.79 |
| CPC Index | 1.39 | 39.62 |
| Tail Ratio | 1.14 | 3.14 |
| Outlier Win Ratio | 1.93 | 22.24 |
| Outlier Loss Ratio | 1.6 | 44.88 |
| MTD | 0.0% | 0.01% |
| 3M | -2.83% | 1.13% |
| 6M | -0.99% | 2.21% |
| YTD | -0.72% | 3.92% |
| 1Y | 5.58% | 5.31% |
| 3Y (ann.) | 4.13% | 8.88% |
| 5Y (ann.) | 4.13% | 8.88% |
| 10Y (ann.) | 4.13% | 8.88% |
| All-time (ann.) | 4.13% | 8.88% |
| Best Day | 31.45% | 2.47% |
| Worst Day | -27.99% | -0.03% |
| Best Month | 5.68% | 7.61% |
| Worst Month | -8.07% | -0.52% |
| Best Year | 11.16% | 11.92% |
| Worst Year | -0.79% | 3.92% |
| Avg. Drawdown | -2.05% | -1.25% |
| Avg. Drawdown Days | 21 | 210 |
| Recovery Factor | 0.28 | 16.72 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.9 | 12.67 |
| Avg. Up Month | 1.66% | 0.93% |
| Avg. Down Month | -0.51% | -0.52% |
| Win Days | 52.52% | 88.14% |
| Win Month | 66.67% | 89.29% |
| Win Quarter | 44.44% | 90.0% |
| Win Year | 33.33% | 100.0% |
| Beta | 0.68 | - |
| Alpha | 0.03 | - |
| Correlation | 6.44% | - |
| Treynor Ratio | 13.99% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.01 | -0.79 | -0.20 | - |
| 2022 | 11.92 | 11.16 | 0.94 | - |
| 2023 | 3.92 | -0.72 | -0.18 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-01 | 2022-06-06 | -33.93 | 278 |
| 2022-09-15 | 2022-11-17 | -5.22 | 63 |
| 2023-07-04 | 2023-10-02 | -4.60 | 90 |
| 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 |
| 2021-07-20 | 2021-07-22 | -1.29 | 2 |