| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 99.0% |
| Cumulative Return | 8.76% | -15.21% |
| CAGR﹪ | 4.32% | -7.98% |
| Sharpe | 0.16 | -0.13 |
| Prob. Sharpe Ratio | 29.59% | 12.64% |
| Smart Sharpe | 0.1 | -0.09 |
| Sortino | 0.26 | -0.19 |
| Smart Sortino | 0.17 | -0.12 |
| Sortino/√2 | 0.18 | -0.13 |
| Smart Sortino/√2 | 0.12 | -0.09 |
| Omega | 1.04 | 1.04 |
| Max Drawdown | -9.44% | -41.97% |
| Longest DD Days | 273 | 476 |
| Volatility (ann.) | 14.91% | 54.99% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.46 | -0.19 |
| Skew | 3.02 | 0.48 |
| Kurtosis | 42.01 | 37.08 |
| Expected Daily | 0.03% | -0.06% |
| Expected Monthly | 0.5% | -0.97% |
| Expected Yearly | 2.84% | -5.35% |
| Kelly Criterion | 4.61% | 5.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.51% | -5.7% |
| Expected Shortfall (cVaR) | -1.51% | -5.7% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 9 |
| Gain/Pain Ratio | 0.14 | -0.0 |
| Gain/Pain (1M) | 0.79 | -0.01 |
| Payoff Ratio | 0.95 | 1.27 |
| Profit Factor | 1.14 | 1.0 |
| Common Sense Ratio | 1.27 | 1.05 |
| CPC Index | 0.58 | 0.59 |
| Tail Ratio | 1.11 | 1.06 |
| Outlier Win Ratio | 7.34 | 1.98 |
| Outlier Loss Ratio | 6.44 | 2.12 |
| MTD | 0.37% | -19.6% |
| 3M | -1.28% | -3.75% |
| 6M | -1.28% | -3.75% |
| YTD | -0.6% | 5.57% |
| 1Y | 0.98% | 22.36% |
| 3Y (ann.) | 4.32% | -7.98% |
| 5Y (ann.) | 4.32% | -7.98% |
| 10Y (ann.) | 4.32% | -7.98% |
| All-time (ann.) | 4.32% | -7.98% |
| Best Day | 9.44% | 30.41% |
| Worst Day | -5.57% | -25.6% |
| Best Month | 9.44% | 30.73% |
| Worst Month | -7.25% | -25.6% |
| Best Year | 8.15% | 5.57% |
| Worst Year | -0.6% | -18.31% |
| Avg. Drawdown | -1.33% | -12.51% |
| Avg. Drawdown Days | 24 | 88 |
| Recovery Factor | 0.93 | -0.36 |
| Ulcer Index | 0.01 | 0.24 |
| Serenity Index | 0.46 | -0.07 |
| Avg. Up Month | 1.45% | 7.51% |
| Avg. Down Month | -0.46% | -7.04% |
| Win Days | 53.63% | 47.1% |
| Win Month | 52.94% | 64.71% |
| Win Quarter | 75.0% | 62.5% |
| Win Year | 66.67% | 33.33% |
| Beta | -0.11 | - |
| Alpha | 0.09 | - |
| Correlation | -41.32% | - |
| Treynor Ratio | -15.72% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -1.69 | 1.17 | -0.69 | + |
| 2022 | -18.31 | 8.15 | -0.45 | + |
| 2023 | 5.57 | -0.60 | -0.11 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-06-03 | -9.44 | 149 |
| 2022-09-19 | 2022-11-16 | -4.26 | 58 |
| 2023-02-02 | 2023-11-02 | -2.23 | 273 |
| 2023-01-09 | 2023-01-31 | -1.50 | 22 |
| 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 |
| 2022-08-22 | 2022-09-01 | -1.01 | 10 |