| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 10.78% | 18.98% |
| CAGR﹪ | 2.89% | 4.95% |
| Sharpe | 0.41 | 0.36 |
| Prob. Sharpe Ratio | 76.7% | 74.7% |
| Smart Sharpe | 0.29 | 0.25 |
| Sortino | 0.56 | 0.55 |
| Smart Sortino | 0.4 | 0.39 |
| Sortino/√2 | 0.4 | 0.39 |
| Smart Sortino/√2 | 0.28 | 0.28 |
| Omega | 1.08 | 1.08 |
| Max Drawdown | -9.84% | -39.24% |
| Longest DD Days | 511 | 479 |
| Volatility (ann.) | 8.45% | 20.32% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.29 | 0.13 |
| Skew | -1.24 | 1.99 |
| Kurtosis | 15.39 | 27.41 |
| Expected Daily | 0.01% | 0.02% |
| Expected Monthly | 0.23% | 0.4% |
| Expected Yearly | 2.07% | 3.54% |
| Kelly Criterion | 5.08% | 6.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.86% | -2.08% |
| Expected Shortfall (cVaR) | -0.86% | -2.08% |
| Max Consecutive Wins | 7 | 8 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.08 | 0.08 |
| Gain/Pain (1M) | 0.57 | 0.32 |
| Payoff Ratio | 0.99 | 1.16 |
| Profit Factor | 1.08 | 1.08 |
| Common Sense Ratio | 1.19 | 1.03 |
| CPC Index | 0.57 | 0.62 |
| Tail Ratio | 1.1 | 0.95 |
| Outlier Win Ratio | 7.25 | 2.98 |
| Outlier Loss Ratio | 5.85 | 3.0 |
| MTD | -0.49% | 0.62% |
| 3M | 0.23% | 4.58% |
| 6M | 3.16% | -1.14% |
| YTD | -1.03% | 2.98% |
| 1Y | -0.31% | 15.95% |
| 3Y (ann.) | 3.37% | 8.6% |
| 5Y (ann.) | 2.89% | 4.95% |
| 10Y (ann.) | 2.89% | 4.95% |
| All-time (ann.) | 2.89% | 4.95% |
| Best Day | 2.45% | 14.68% |
| Worst Day | -5.57% | -6.67% |
| Best Month | 4.36% | 18.96% |
| Worst Month | -7.25% | -15.77% |
| Best Year | 8.15% | 29.27% |
| Worst Year | -1.03% | -6.4% |
| Avg. Drawdown | -0.94% | -7.97% |
| Avg. Drawdown Days | 22 | 125 |
| Recovery Factor | 1.1 | 0.48 |
| Ulcer Index | 0.02 | 0.14 |
| Serenity Index | 1.04 | 0.07 |
| Avg. Up Month | 1.14% | 4.41% |
| Avg. Down Month | -0.6% | -1.96% |
| Win Days | 52.69% | 50.0% |
| Win Month | 54.55% | 56.82% |
| Win Quarter | 56.25% | 62.5% |
| Win Year | 60.0% | 60.0% |
| Beta | -0.04 | - |
| Alpha | 0.04 | - |
| Correlation | -9.57% | - |
| Treynor Ratio | -270.91% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | -4.85 | 1.07 | -0.22 | + |
| 2021 | 0.36 | -0.80 | -2.25 | - |
| 2022 | -6.40 | 8.15 | -1.27 | + |
| 2023 | 29.27 | 3.22 | 0.11 | - |
| 2024 | 2.98 | -1.03 | -0.34 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-01-11 | 2022-06-06 | -9.84 | 511 |
| 2023-07-11 | 2024-04-30 | -4.50 | 294 |
| 2022-09-19 | 2022-11-16 | -4.26 | 58 |
| 2023-01-09 | 2023-03-07 | -1.50 | 57 |
| 2022-12-01 | 2022-12-13 | -1.38 | 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 | 2023-06-29 | -1.07 | 16 |
| 2022-08-22 | 2022-09-01 | -1.01 | 10 |