| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 98.0% |
| Cumulative Return | 8.76% | -12.41% |
| CAGR﹪ | 4.32% | -6.46% |
| Sharpe | 0.01 | -0.11 |
| Prob. Sharpe Ratio | 23.04% | 10.58% |
| Smart Sharpe | 0.01 | -0.07 |
| Sortino | 0.02 | -0.13 |
| Smart Sortino | 0.01 | -0.08 |
| Sortino/√2 | 0.01 | -0.09 |
| Smart Sortino/√2 | 0.01 | -0.06 |
| Omega | 1.0 | 1.0 |
| Max Drawdown | -9.44% | -49.8% |
| Longest DD Days | 149 | 524 |
| Volatility (ann.) | 13.48% | 44.97% |
| R^2 | 0.19 | 0.19 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.46 | -0.13 |
| Skew | 3.1 | -5.47 |
| Kurtosis | 47.47 | 61.7 |
| Expected Daily | 0.02% | -0.04% |
| Expected Monthly | 0.4% | -0.63% |
| Expected Yearly | 2.84% | -4.32% |
| Kelly Criterion | 0.48% | 8.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.37% | -4.65% |
| Expected Shortfall (cVaR) | -1.37% | -4.65% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 4 | 7 |
| Gain/Pain Ratio | 0.12 | 0.01 |
| Gain/Pain (1M) | 0.67 | 0.02 |
| Payoff Ratio | 0.92 | 1.04 |
| Profit Factor | 1.12 | 1.01 |
| Common Sense Ratio | 1.28 | 1.1 |
| CPC Index | 0.54 | 0.56 |
| Tail Ratio | 1.14 | 1.08 |
| Outlier Win Ratio | 7.27 | 2.53 |
| Outlier Loss Ratio | 6.5 | 2.09 |
| MTD | 0.37% | -21.81% |
| 3M | -2.83% | -29.66% |
| 6M | -1.28% | -1.54% |
| YTD | -0.6% | 9.55% |
| 1Y | 0.98% | 35.69% |
| 3Y (ann.) | 4.32% | -6.46% |
| 5Y (ann.) | 4.32% | -6.46% |
| 10Y (ann.) | 4.32% | -6.46% |
| All-time (ann.) | 4.32% | -6.46% |
| Best Day | 9.44% | 12.85% |
| Worst Day | -5.57% | -32.81% |
| Best Month | 9.44% | 25.42% |
| Worst Month | -7.25% | -32.81% |
| Best Year | 8.15% | 9.55% |
| Worst Year | -0.6% | -24.1% |
| Avg. Drawdown | -1.33% | -7.04% |
| Avg. Drawdown Days | 19 | 49 |
| Recovery Factor | 0.93 | -0.25 |
| Ulcer Index | 0.02 | 0.25 |
| Serenity Index | 0.25 | -0.05 |
| Avg. Up Month | 1.38% | 12.25% |
| Avg. Down Month | -0.83% | -6.68% |
| Win Days | 52.27% | 53.35% |
| Win Month | 52.38% | 61.9% |
| Win Quarter | 77.78% | 66.67% |
| Win Year | 66.67% | 66.67% |
| Beta | -0.13 | - |
| Alpha | 0.07 | - |
| Correlation | -43.79% | - |
| Treynor Ratio | -13.42% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 5.34 | 1.17 | 0.22 | - |
| 2022 | -24.10 | 8.15 | -0.34 | + |
| 2023 | 9.55 | -0.60 | -0.06 | - |
| 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 | 2023-05-12 | -1.46 | 99 |
| 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 |