| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 98.0% |
| Cumulative Return | 13.35% | -7.88% |
| CAGR﹪ | 9.89% | -5.99% |
| Sharpe | 1.17 | -0.04 |
| Prob. Sharpe Ratio | 63.9% | 22.01% |
| Smart Sharpe | 0.85 | -0.03 |
| Sortino | 1.6 | -0.06 |
| Smart Sortino | 1.16 | -0.04 |
| Sortino/√2 | 1.13 | -0.04 |
| Smart Sortino/√2 | 0.82 | -0.03 |
| Omega | 1.27 | 1.27 |
| Max Drawdown | -7.89% | -45.88% |
| Longest DD Days | 75 | 473 |
| Volatility (ann.) | 14.57% | 61.34% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.25 | -0.13 |
| Skew | -1.43 | -0.46 |
| Kurtosis | 12.76 | 4.73 |
| Expected Daily | 0.09% | -0.06% |
| Expected Monthly | 0.79% | -0.51% |
| Expected Yearly | 6.47% | -4.02% |
| Kelly Criterion | 15.9% | -10.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.42% | -6.34% |
| Expected Shortfall (cVaR) | -1.42% | -6.34% |
| Max Consecutive Wins | 5 | 5 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.39 | 0.01 |
| Gain/Pain (1M) | 1.61 | 0.04 |
| Payoff Ratio | 0.83 | 0.85 |
| Profit Factor | 1.39 | 1.01 |
| Common Sense Ratio | 1.86 | 0.93 |
| CPC Index | 0.71 | 0.43 |
| Tail Ratio | 1.34 | 0.92 |
| Outlier Win Ratio | 11.42 | 2.29 |
| Outlier Loss Ratio | 9.87 | 2.53 |
| MTD | 0.45% | 12.19% |
| 3M | 2.43% | 29.81% |
| 6M | 3.57% | 33.63% |
| YTD | 2.76% | 29.92% |
| 1Y | 12.08% | 33.69% |
| 3Y (ann.) | 9.89% | -5.99% |
| 5Y (ann.) | 9.89% | -5.99% |
| 10Y (ann.) | 9.89% | -5.99% |
| All-time (ann.) | 9.89% | -5.99% |
| Best Day | 3.87% | 15.03% |
| Worst Day | -5.57% | -17.74% |
| Best Month | 8.3% | 17.42% |
| Worst Month | -7.05% | -25.14% |
| Best Year | 10.3% | 29.92% |
| Worst Year | 2.76% | -29.09% |
| Avg. Drawdown | -1.04% | -45.88% |
| Avg. Drawdown Days | 12 | 473 |
| Recovery Factor | 1.69 | -0.17 |
| Ulcer Index | 0.01 | 0.33 |
| Serenity Index | 1.39 | -0.04 |
| Avg. Up Month | 0.99% | 7.98% |
| Avg. Down Month | -2.7% | -14.96% |
| Win Days | 61.83% | 49.26% |
| Win Month | 73.33% | 46.67% |
| Win Quarter | 83.33% | 50.0% |
| Win Year | 100.0% | 50.0% |
| Beta | 0.1 | - |
| Alpha | 0.23 | - |
| Correlation | 41.64% | - |
| Treynor Ratio | 64.21% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -29.09 | 10.30 | -0.35 | + |
| 2023 | 29.92 | 2.76 | 0.09 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-11 | 2022-04-27 | -7.89 | 75 |
| 2022-09-19 | 2022-11-16 | -3.87 | 58 |
| 2023-01-12 | 2023-01-31 | -1.50 | 19 |
| 2023-02-02 | 2023-03-06 | -1.46 | 32 |
| 2022-08-23 | 2022-09-06 | -1.01 | 14 |
| 2022-12-26 | 2023-01-06 | -1.01 | 11 |
| 2022-06-16 | 2022-06-24 | -0.97 | 8 |
| 2022-04-28 | 2022-05-27 | -0.86 | 29 |
| 2023-05-23 | 2023-05-26 | -0.85 | 3 |
| 2023-03-13 | 2023-03-17 | -0.82 | 4 |