| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 99.0% |
| Cumulative Return | 11.43% | -20.35% |
| CAGR﹪ | 6.05% | -11.61% |
| Sharpe | 0.06 | -0.62 |
| Prob. Sharpe Ratio | 31.5% | 2.69% |
| Smart Sharpe | 0.04 | -0.44 |
| Sortino | 0.07 | -0.74 |
| Smart Sortino | 0.05 | -0.53 |
| Sortino/√2 | 0.05 | -0.53 |
| Smart Sortino/√2 | 0.04 | -0.38 |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -9.45% | -47.79% |
| Longest DD Days | 278 | 552 |
| Volatility (ann.) | 10.25% | 27.69% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.64 | -0.24 |
| Skew | -1.45 | -2.7 |
| Kurtosis | 14.29 | 23.1 |
| Expected Daily | 0.03% | -0.06% |
| Expected Monthly | 0.45% | -0.94% |
| Expected Yearly | 3.67% | -7.3% |
| Kelly Criterion | 5.1% | -14.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.03% | -2.91% |
| Expected Shortfall (cVaR) | -1.03% | -2.91% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.15 | -0.08 |
| Gain/Pain (1M) | 0.94 | -0.21 |
| Payoff Ratio | 0.91 | 0.7 |
| Profit Factor | 1.15 | 0.92 |
| Common Sense Ratio | 1.41 | 0.75 |
| CPC Index | 0.57 | 0.34 |
| Tail Ratio | 1.23 | 0.82 |
| Outlier Win Ratio | 6.22 | 2.65 |
| Outlier Loss Ratio | 6.88 | 2.78 |
| MTD | -0.04% | -2.44% |
| 3M | 1.5% | 14.25% |
| 6M | 4.07% | 20.09% |
| YTD | 2.44% | 19.03% |
| 1Y | 12.24% | 8.08% |
| 3Y (ann.) | 6.05% | -11.61% |
| 5Y (ann.) | 6.05% | -11.61% |
| 10Y (ann.) | 6.05% | -11.61% |
| All-time (ann.) | 6.05% | -11.61% |
| Best Day | 2.45% | 6.76% |
| Worst Day | -5.57% | -16.26% |
| Best Month | 4.36% | 17.94% |
| Worst Month | -7.25% | -22.36% |
| Best Year | 8.15% | 19.03% |
| Worst Year | 0.58% | -33.79% |
| Avg. Drawdown | -0.97% | -6.05% |
| Avg. Drawdown Days | 13 | 65 |
| Recovery Factor | 1.21 | -0.43 |
| Ulcer Index | 0.02 | 0.28 |
| Serenity Index | 0.54 | -0.04 |
| Avg. Up Month | 1.44% | 5.82% |
| Avg. Down Month | -1.75% | -9.83% |
| Win Days | 54.67% | 52.91% |
| Win Month | 58.33% | 50.0% |
| Win Quarter | 77.78% | 44.44% |
| Win Year | 100.0% | 66.67% |
| Beta | 0.16 | - |
| Alpha | 0.09 | - |
| Correlation | 43.14% | - |
| Treynor Ratio | 27.77% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.07 | 0.58 | 0.54 | - |
| 2022 | -33.79 | 8.15 | -0.24 | + |
| 2023 | 19.03 | 2.44 | 0.13 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-01 | 2022-06-06 | -9.45 | 278 |
| 2022-09-19 | 2022-11-16 | -4.26 | 58 |
| 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 |
| 2022-08-22 | 2022-09-01 | -1.01 | 10 |
| 2022-11-23 | 2022-11-24 | -0.97 | 1 |