| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 11.13% | 1.09% |
| CAGR﹪ | 6.17% | 0.62% |
| Sharpe | 0.16 | 0.29 |
| Prob. Sharpe Ratio | 29.98% | 21.98% |
| Smart Sharpe | 0.1 | 0.19 |
| Sortino | 0.24 | 0.36 |
| Smart Sortino | 0.16 | 0.23 |
| Sortino/√2 | 0.17 | 0.26 |
| Smart Sortino/√2 | 0.11 | 0.16 |
| Omega | 1.03 | 1.03 |
| Max Drawdown | -9.44% | -56.67% |
| Longest DD Days | 149 | 581 |
| Volatility (ann.) | 13.09% | 64.48% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.65 | 0.01 |
| Skew | 2.22 | -4.57 |
| Kurtosis | 37.19 | 58.67 |
| Expected Daily | 0.03% | 0.0% |
| Expected Monthly | 0.5% | 0.05% |
| Expected Yearly | 3.58% | 0.36% |
| Kelly Criterion | 7.27% | 9.76% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.32% | -6.58% |
| Expected Shortfall (cVaR) | -1.32% | -6.58% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.15 | 0.1 |
| Gain/Pain (1M) | 0.89 | 0.38 |
| Payoff Ratio | 0.97 | 1.02 |
| Profit Factor | 1.15 | 1.1 |
| Common Sense Ratio | 1.33 | 1.09 |
| CPC Index | 0.61 | 0.61 |
| Tail Ratio | 1.15 | 0.99 |
| Outlier Win Ratio | 11.71 | 2.64 |
| Outlier Loss Ratio | 8.81 | 2.06 |
| MTD | 0.64% | -6.03% |
| 3M | -1.65% | 19.45% |
| 6M | 0.37% | 54.17% |
| YTD | 1.2% | 84.91% |
| 1Y | 3.16% | 98.5% |
| 3Y (ann.) | 6.17% | 0.62% |
| 5Y (ann.) | 6.17% | 0.62% |
| 10Y (ann.) | 6.17% | 0.62% |
| All-time (ann.) | 6.17% | 0.62% |
| Best Day | 8.41% | 17.54% |
| Worst Day | -5.57% | -47.31% |
| Best Month | 9.44% | 26.36% |
| Worst Month | -7.25% | -40.86% |
| Best Year | 8.15% | 84.91% |
| Worst Year | 1.2% | -43.58% |
| Avg. Drawdown | -1.04% | -20.83% |
| Avg. Drawdown Days | 11 | 158 |
| Recovery Factor | 1.18 | 0.02 |
| Ulcer Index | 0.01 | 0.36 |
| Serenity Index | 1.21 | -0.01 |
| Avg. Up Month | 1.44% | 11.65% |
| Avg. Down Month | -0.88% | -8.28% |
| Win Days | 54.29% | 54.38% |
| Win Month | 55.0% | 65.0% |
| Win Quarter | 75.0% | 62.5% |
| Win Year | 100.0% | 33.33% |
| Beta | -0.08 | - |
| Alpha | 0.11 | - |
| Correlation | -39.27% | - |
| Treynor Ratio | -51.76% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -3.10 | 1.54 | -0.50 | + |
| 2022 | -43.58 | 8.15 | -0.19 | + |
| 2023 | 84.91 | 1.20 | 0.01 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-06-03 | -9.44 | 149 |
| 2022-09-19 | 2022-11-16 | -4.26 | 58 |
| 2023-07-11 | 2023-09-04 | -2.72 | 55 |
| 2023-01-09 | 2023-01-31 | -1.50 | 22 |
| 2023-02-02 | 2023-03-02 | -1.46 | 28 |
| 2022-12-01 | 2022-12-13 | -1.38 | 12 |
| 2022-12-15 | 2023-01-03 | -1.28 | 19 |
| 2022-06-14 | 2022-06-21 | -1.17 | 7 |
| 2022-07-28 | 2022-08-18 | -1.13 | 21 |
| 2023-06-13 | 2023-06-29 | -1.07 | 16 |