| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 5.33% | 48.27% |
| CAGR﹪ | 6.2% | 57.84% |
| Sharpe | 0.14 | 2.82 |
| Prob. Sharpe Ratio | 39.21% | 95.6% |
| Smart Sharpe | 0.09 | 1.78 |
| Sortino | 0.2 | 4.61 |
| Smart Sortino | 0.12 | 2.91 |
| Sortino/√2 | 0.14 | 3.26 |
| Smart Sortino/√2 | 0.09 | 2.06 |
| Omega | 1.03 | 1.03 |
| Max Drawdown | -3.89% | -7.24% |
| Longest DD Days | 36 | 62 |
| Volatility (ann.) | 10.8% | 19.07% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.15 | -0.15 |
| Calmar | 1.59 | 7.99 |
| Skew | -0.57 | 0.18 |
| Kurtosis | 4.14 | 2.49 |
| Expected Daily | 0.03% | 0.23% |
| Expected Monthly | 0.43% | 3.34% |
| Expected Yearly | 2.63% | 21.77% |
| Kelly Criterion | 9.05% | 30.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.09% | -1.74% |
| Expected Shortfall (cVaR) | -1.09% | -1.74% |
| Max Consecutive Wins | 5 | 8 |
| Max Consecutive Losses | 3 | 6 |
| Gain/Pain Ratio | 0.15 | 0.81 |
| Gain/Pain (1M) | 3.35 | 8.22 |
| Payoff Ratio | 0.89 | 1.35 |
| Profit Factor | 1.15 | 1.81 |
| Common Sense Ratio | 1.23 | 1.68 |
| CPC Index | 0.58 | 1.47 |
| Tail Ratio | 1.07 | 0.93 |
| Outlier Win Ratio | 6.28 | 2.99 |
| Outlier Loss Ratio | 3.99 | 2.92 |
| MTD | -0.8% | -0.42% |
| 3M | 1.55% | 13.49% |
| 6M | 2.25% | 29.36% |
| YTD | 2.25% | 29.36% |
| 1Y | 5.33% | 48.27% |
| 3Y (ann.) | 6.2% | 57.84% |
| 5Y (ann.) | 6.2% | 57.84% |
| 10Y (ann.) | 6.2% | 57.84% |
| All-time (ann.) | 6.2% | 57.84% |
| Best Day | 2.45% | 4.74% |
| Worst Day | -3.49% | -3.15% |
| Best Month | 2.22% | 13.52% |
| Worst Month | -0.83% | -3.04% |
| Best Year | 3.01% | 29.36% |
| Worst Year | 2.25% | 14.62% |
| Avg. Drawdown | -0.92% | -2.22% |
| Avg. Drawdown Days | 9 | 16 |
| Recovery Factor | 1.37 | 6.67 |
| Ulcer Index | 0.01 | 0.03 |
| Serenity Index | -0.84 | 3.62 |
| Avg. Up Month | 0.86% | 7.02% |
| Avg. Down Month | -0.82% | -1.73% |
| Win Days | 57.23% | 60.12% |
| Win Month | 75.0% | 58.33% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -0.01 | - |
| Alpha | 0.09 | - |
| Correlation | -1.67% | - |
| Treynor Ratio | 176.34% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 14.62 | 3.01 | 0.21 | - |
| 2023 | 29.36 | 2.25 | 0.08 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-09-21 | 2022-10-27 | -3.89 | 36 |
| 2023-01-09 | 2023-02-01 | -1.50 | 23 |
| 2023-02-03 | 2023-03-02 | -1.46 | 27 |
| 2022-12-01 | 2022-12-13 | -1.38 | 12 |
| 2022-12-15 | 2023-01-06 | -1.28 | 22 |
| 2022-10-31 | 2022-11-07 | -1.03 | 7 |
| 2022-11-23 | 2022-11-28 | -0.97 | 5 |
| 2023-03-30 | 2023-04-07 | -0.91 | 8 |
| 2022-08-26 | 2022-09-01 | -0.90 | 6 |
| 2023-05-05 | 2023-05-11 | -0.85 | 6 |