| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 98.0% |
| Cumulative Return | 8.76% | -16.25% |
| CAGR﹪ | 4.32% | -8.55% |
| Sharpe | -0.01 | -0.12 |
| Prob. Sharpe Ratio | 22.28% | 9.4% |
| Smart Sharpe | -0.01 | -0.08 |
| Sortino | -0.02 | -0.15 |
| Smart Sortino | -0.01 | -0.1 |
| Sortino/√2 | -0.01 | -0.11 |
| Smart Sortino/√2 | -0.01 | -0.07 |
| Omega | 1.0 | 1.0 |
| Max Drawdown | -9.44% | -47.22% |
| Longest DD Days | 149 | 608 |
| Volatility (ann.) | 13.09% | 48.82% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.46 | -0.18 |
| Skew | 2.95 | -3.35 |
| Kurtosis | 47.28 | 39.44 |
| Expected Daily | 0.02% | -0.05% |
| Expected Monthly | 0.38% | -0.8% |
| Expected Yearly | 2.84% | -5.74% |
| Kelly Criterion | -2.04% | 9.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.33% | -5.06% |
| Expected Shortfall (cVaR) | -1.33% | -5.06% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 9 |
| Gain/Pain Ratio | 0.11 | 0.0 |
| Gain/Pain (1M) | 0.65 | 0.01 |
| Payoff Ratio | 0.87 | 1.13 |
| Profit Factor | 1.11 | 1.0 |
| Common Sense Ratio | 1.26 | 1.19 |
| CPC Index | 0.51 | 0.59 |
| Tail Ratio | 1.13 | 1.19 |
| Outlier Win Ratio | 8.43 | 2.32 |
| Outlier Loss Ratio | 7.75 | 2.12 |
| MTD | 0.37% | -18.52% |
| 3M | -2.83% | -20.72% |
| 6M | -3.01% | 6.3% |
| YTD | -0.6% | 20.55% |
| 1Y | 0.98% | 31.62% |
| 3Y (ann.) | 4.32% | -8.55% |
| 5Y (ann.) | 4.32% | -8.55% |
| 10Y (ann.) | 4.32% | -8.55% |
| All-time (ann.) | 4.32% | -8.55% |
| Best Day | 9.24% | 17.22% |
| Worst Day | -5.57% | -32.26% |
| Best Month | 9.44% | 18.79% |
| Worst Month | -7.25% | -34.26% |
| Best Year | 8.15% | 20.55% |
| Worst Year | -0.6% | -30.92% |
| Avg. Drawdown | -1.22% | -12.36% |
| Avg. Drawdown Days | 16 | 87 |
| Recovery Factor | 0.93 | -0.34 |
| Ulcer Index | 0.02 | 0.27 |
| Serenity Index | 0.25 | -0.06 |
| Avg. Up Month | 1.42% | 9.0% |
| Avg. Down Month | -0.64% | -5.28% |
| Win Days | 52.6% | 51.81% |
| Win Month | 50.0% | 59.09% |
| Win Quarter | 77.78% | 77.78% |
| Win Year | 66.67% | 66.67% |
| Beta | -0.12 | - |
| Alpha | 0.07 | - |
| Correlation | -44.53% | - |
| Treynor Ratio | -14.75% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.57 | 1.17 | 2.05 | + |
| 2022 | -30.92 | 8.15 | -0.26 | + |
| 2023 | 20.55 | -0.60 | -0.03 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-06-03 | -9.44 | 149 |
| 2023-07-11 | 2023-11-02 | -4.50 | 114 |
| 2022-09-19 | 2022-11-16 | -4.26 | 58 |
| 2023-01-09 | 2023-01-31 | -1.50 | 22 |
| 2023-02-02 | 2023-04-17 | -1.46 | 74 |
| 2022-12-01 | 2022-12-13 | -1.38 | 12 |
| 2021-11-11 | 2021-12-20 | -1.28 | 39 |
| 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 |