| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 94.0% | 90.0% |
| Cumulative Return | 11.62% | 20.66% |
| CAGR﹪ | 4.12% | 7.14% |
| Sharpe | -0.11 | 0.21 |
| Prob. Sharpe Ratio | 23.58% | 20.64% |
| Smart Sharpe | -0.08 | 0.16 |
| Sortino | -0.15 | 0.36 |
| Smart Sortino | -0.11 | 0.27 |
| Sortino/√2 | -0.1 | 0.26 |
| Smart Sortino/√2 | -0.08 | 0.19 |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -9.45% | -13.15% |
| Longest DD Days | 278 | 278 |
| Volatility (ann.) | 9.57% | 17.48% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.44 | 0.54 |
| Skew | -1.38 | 5.89 |
| Kurtosis | 14.42 | 107.82 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.32% | 0.55% |
| Expected Yearly | 2.79% | 4.81% |
| Kelly Criterion | 2.78% | 1.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.97% | -1.77% |
| Expected Shortfall (cVaR) | -0.97% | -1.77% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.12 | 0.17 |
| Gain/Pain (1M) | 0.69 | 0.88 |
| Payoff Ratio | 0.97 | 0.88 |
| Profit Factor | 1.12 | 1.17 |
| Common Sense Ratio | 1.34 | 1.21 |
| CPC Index | 0.57 | 0.56 |
| Tail Ratio | 1.2 | 1.03 |
| Outlier Win Ratio | 4.42 | 3.59 |
| Outlier Loss Ratio | 3.67 | 2.74 |
| MTD | 1.0% | 7.19% |
| 3M | 0.31% | 9.01% |
| 6M | 3.81% | 11.5% |
| YTD | -0.49% | 8.82% |
| 1Y | 1.18% | 10.89% |
| 3Y (ann.) | 4.12% | 7.14% |
| 5Y (ann.) | 4.12% | 7.14% |
| 10Y (ann.) | 4.12% | 7.14% |
| All-time (ann.) | 4.12% | 7.14% |
| Best Day | 2.45% | 16.83% |
| Worst Day | -5.57% | -7.76% |
| Best Month | 4.36% | 7.19% |
| Worst Month | -7.25% | -8.07% |
| Best Year | 8.15% | 11.16% |
| Worst Year | -0.49% | -1.76% |
| Avg. Drawdown | -1.16% | -1.79% |
| Avg. Drawdown Days | 22 | 31 |
| Recovery Factor | 1.23 | 1.57 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | 0.44 | 0.99 |
| Avg. Up Month | 1.78% | 2.54% |
| Avg. Down Month | -1.48% | -2.63% |
| Win Days | 52.14% | 53.81% |
| Win Month | 50.0% | 70.59% |
| Win Quarter | 66.67% | 58.33% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.11 | - |
| Alpha | 0.05 | - |
| Correlation | 20.03% | - |
| Treynor Ratio | 42.16% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -1.76 | 0.48 | -0.27 | + |
| 2022 | 11.16 | 8.15 | 0.73 | - |
| 2023 | 1.54 | 3.22 | 2.10 | + |
| 2024 | 8.82 | -0.49 | -0.06 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-01 | 2022-06-06 | -9.45 | 278 |
| 2023-07-11 | 2024-04-09 | -4.50 | 273 |
| 2022-09-22 | 2022-11-16 | -4.26 | 55 |
| 2023-02-02 | 2023-03-02 | -1.46 | 28 |
| 2022-12-01 | 2022-12-13 | -1.34 | 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 | 2023-06-30 | -1.07 | 17 |
| 2023-01-09 | 2023-01-17 | -1.05 | 8 |