| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 8.7% | -9.48% |
| CAGR﹪ | 5.94% | -6.65% |
| Sharpe | 0.19 | -0.04 |
| Prob. Sharpe Ratio | 27.45% | 16.77% |
| Smart Sharpe | 0.13 | -0.03 |
| Sortino | 0.37 | -0.04 |
| Smart Sortino | 0.26 | -0.03 |
| Sortino/√2 | 0.26 | -0.03 |
| Smart Sortino/√2 | 0.19 | -0.02 |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -9.44% | -43.12% |
| Longest DD Days | 190 | 225 |
| Volatility (ann.) | 17.85% | 49.26% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.63 | -0.15 |
| Skew | 6.56 | -8.93 |
| Kurtosis | 86.05 | 117.21 |
| Expected Daily | 0.03% | -0.04% |
| Expected Monthly | 0.6% | -0.71% |
| Expected Yearly | 2.82% | -3.27% |
| Kelly Criterion | -2.42% | 11.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.81% | -5.08% |
| Expected Shortfall (cVaR) | -1.81% | -5.08% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.16 | 0.03 |
| Gain/Pain (1M) | 0.83 | 0.1 |
| Payoff Ratio | 0.95 | 1.16 |
| Profit Factor | 1.16 | 1.03 |
| Common Sense Ratio | 1.36 | 1.17 |
| CPC Index | 0.55 | 0.63 |
| Tail Ratio | 1.17 | 1.14 |
| Outlier Win Ratio | 5.04 | 2.02 |
| Outlier Loss Ratio | 5.11 | 1.78 |
| MTD | -0.23% | 6.2% |
| 3M | 2.48% | 21.15% |
| 6M | 3.72% | 20.57% |
| YTD | 0.69% | 9.42% |
| 1Y | 12.83% | -13.55% |
| 3Y (ann.) | 5.94% | -6.65% |
| 5Y (ann.) | 5.94% | -6.65% |
| 10Y (ann.) | 5.94% | -6.65% |
| All-time (ann.) | 5.94% | -6.65% |
| Best Day | 13.48% | 8.1% |
| Worst Day | -5.57% | -40.25% |
| Best Month | 15.36% | 13.32% |
| Worst Month | -7.25% | -31.41% |
| Best Year | 8.15% | 9.86% |
| Worst Year | -0.18% | -24.7% |
| Avg. Drawdown | -1.52% | -8.96% |
| Avg. Drawdown Days | 23 | 52 |
| Recovery Factor | 0.92 | -0.22 |
| Ulcer Index | 0.01 | 0.25 |
| Serenity Index | 0.48 | -0.05 |
| Avg. Up Month | 1.25% | 6.72% |
| Avg. Down Month | -0.88% | -6.78% |
| Win Days | 50.21% | 52.48% |
| Win Month | 50.0% | 64.29% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 66.67% | 66.67% |
| Beta | -0.27 | - |
| Alpha | 0.12 | - |
| Correlation | -75.03% | - |
| Treynor Ratio | -6.27% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 9.86 | -0.18 | -0.02 | - |
| 2022 | -24.70 | 8.15 | -0.33 | + |
| 2023 | 9.42 | 0.69 | 0.07 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-07-14 | -9.44 | 190 |
| 2022-09-19 | 2022-11-16 | -4.26 | 58 |
| 2021-09-23 | 2022-01-03 | -2.57 | 102 |
| 2023-01-09 | 2023-01-31 | -1.50 | 22 |
| 2023-02-02 | 2023-02-24 | -1.46 | 22 |
| 2022-12-01 | 2022-12-13 | -1.38 | 12 |
| 2022-12-15 | 2023-01-03 | -1.28 | 19 |
| 2022-07-28 | 2022-08-18 | -1.13 | 21 |
| 2022-08-22 | 2022-09-01 | -1.01 | 10 |
| 2022-11-23 | 2022-11-24 | -0.97 | 1 |