| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 87.0% | 100.0% |
| Cumulative Return | 8.57% | 9.45% |
| CAGR﹪ | 3.4% | 3.74% |
| Sharpe | -24.29 | -31.5 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -18.65 | -24.18 |
| Sortino | -13.38 | -14.33 |
| Smart Sortino | -10.27 | -11.0 |
| Sortino/√2 | -9.46 | -10.14 |
| Smart Sortino/√2 | -7.26 | -7.78 |
| Omega | 0.03 | 0.03 |
| Max Drawdown | -9.84% | -12.96% |
| Longest DD Days | 511 | 513 |
| Volatility (ann.) | 8.44% | 6.5% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.35 | 0.29 |
| Skew | -1.66 | -7.5 |
| Kurtosis | 21.48 | 161.94 |
| Expected Daily | 0.01% | 0.01% |
| Expected Monthly | 0.27% | 0.3% |
| Expected Yearly | 2.08% | 2.28% |
| Kelly Criterion | 12.58% | 18.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.86% | -0.66% |
| Expected Shortfall (cVaR) | -0.86% | -0.66% |
| Max Consecutive Wins | 7 | 14 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.1 | 0.25 |
| Gain/Pain (1M) | 0.64 | 0.67 |
| Payoff Ratio | 1.15 | 0.94 |
| Profit Factor | 1.1 | 1.25 |
| Common Sense Ratio | 1.3 | 1.6 |
| CPC Index | 0.67 | 0.71 |
| Tail Ratio | 1.18 | 1.29 |
| Outlier Win Ratio | 3.83 | 8.3 |
| Outlier Loss Ratio | 2.67 | 6.18 |
| MTD | -0.46% | 0.45% |
| 3M | 0.09% | 1.16% |
| 6M | 3.91% | 4.26% |
| YTD | 0.23% | 1.22% |
| 1Y | 18.94% | 19.74% |
| 3Y (ann.) | 3.4% | 3.74% |
| 5Y (ann.) | 3.4% | 3.74% |
| 10Y (ann.) | 3.4% | 3.74% |
| All-time (ann.) | 3.4% | 3.74% |
| Best Day | 2.45% | 3.39% |
| Worst Day | -5.57% | -7.11% |
| Best Month | 4.36% | 5.12% |
| Worst Month | -7.25% | -6.06% |
| Best Year | 8.15% | 9.43% |
| Worst Year | -0.8% | -2.46% |
| Avg. Drawdown | -1.03% | -0.65% |
| Avg. Drawdown Days | 21 | 24 |
| Recovery Factor | 0.87 | 0.73 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | -58.89 | -22.6 |
| Avg. Up Month | 1.42% | 1.46% |
| Avg. Down Month | -1.23% | -1.24% |
| Win Days | 53.23% | 60.57% |
| Win Month | 56.67% | 60.0% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.08 | - |
| Alpha | 0.03 | - |
| Correlation | 6.02% | - |
| Treynor Ratio | -8844.87% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.31 | 0.97 | 0.74 | - |
| 2021 | -2.46 | -0.80 | 0.33 | + |
| 2022 | 9.43 | 8.15 | 0.86 | - |
| 2023 | 1.22 | 0.23 | 0.19 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-01-11 | 2022-06-06 | -9.84 | 511 |
| 2022-09-19 | 2022-11-16 | -4.26 | 58 |
| 2023-01-09 | 2023-01-31 | -1.50 | 22 |
| 2023-02-02 | 2023-03-07 | -1.46 | 33 |
| 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 |
| 2022-08-22 | 2022-09-01 | -1.01 | 10 |
| 2022-11-23 | 2022-11-24 | -0.97 | 1 |