| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 98.0% | 98.0% |
| Cumulative Return | 21.91% | 22.45% |
| CAGR﹪ | 14.27% | 14.61% |
| Sharpe | 0.38 | 0.38 |
| Prob. Sharpe Ratio | 28.26% | 28.18% |
| Smart Sharpe | 0.36 | 0.37 |
| Sortino | 0.53 | 0.53 |
| Smart Sortino | 0.5 | 0.51 |
| Sortino/√2 | 0.37 | 0.38 |
| Smart Sortino/√2 | 0.35 | 0.36 |
| Omega | 1.07 | 1.07 |
| Max Drawdown | -22.2% | -21.94% |
| Longest DD Days | 128 | 127 |
| Volatility (ann.) | 25.73% | 26.67% |
| R^2 | 0.74 | 0.74 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.64 | 0.67 |
| Skew | -0.12 | -0.15 |
| Kurtosis | 1.49 | 1.72 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.11% | 1.13% |
| Expected Yearly | 6.83% | 6.98% |
| Kelly Criterion | 7.07% | 6.38% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.6% | -2.7% |
| Expected Shortfall (cVaR) | -2.6% | -2.7% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.11 | 0.12 |
| Gain/Pain (1M) | 0.87 | 0.96 |
| Payoff Ratio | 0.82 | 0.86 |
| Profit Factor | 1.11 | 1.12 |
| Common Sense Ratio | 0.95 | 0.93 |
| CPC Index | 0.53 | 0.54 |
| Tail Ratio | 0.85 | 0.84 |
| Outlier Win Ratio | 3.59 | 3.45 |
| Outlier Loss Ratio | 2.86 | 2.87 |
| MTD | -4.78% | -3.55% |
| 3M | -14.67% | -14.65% |
| 6M | -10.62% | -10.89% |
| YTD | -16.19% | -16.92% |
| 1Y | 1.27% | 1.18% |
| 3Y (ann.) | 14.27% | 14.61% |
| 5Y (ann.) | 14.27% | 14.61% |
| 10Y (ann.) | 14.27% | 14.61% |
| All-time (ann.) | 14.27% | 14.61% |
| Best Day | 6.51% | 7.01% |
| Worst Day | -5.82% | -6.0% |
| Best Month | 12.06% | 12.9% |
| Worst Month | -11.98% | -13.86% |
| Best Year | 28.38% | 29.14% |
| Worst Year | -16.19% | -16.92% |
| Avg. Drawdown | -4.71% | -4.03% |
| Avg. Drawdown Days | 22 | 18 |
| Recovery Factor | 0.99 | 1.02 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | 0.31 | 0.34 |
| Avg. Up Month | 4.75% | 4.54% |
| Avg. Down Month | -4.9% | -4.65% |
| Win Days | 58.22% | 56.79% |
| Win Month | 61.11% | 66.67% |
| Win Quarter | 57.14% | 71.43% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.83 | - |
| Alpha | 0.02 | - |
| Correlation | 86.21% | - |
| Treynor Ratio | 17.92% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 14.13 | 13.31 | 0.94 | - |
| 2021 | 29.14 | 28.38 | 0.97 | - |
| 2022 | -16.92 | -16.19 | 0.96 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-22 | 2022-02-25 | -22.20 | 95 |
| 2021-02-17 | 2021-06-25 | -14.27 | 128 |
| 2021-09-07 | 2021-11-02 | -9.87 | 56 |
| 2020-09-03 | 2020-10-12 | -9.32 | 39 |
| 2020-10-14 | 2020-11-06 | -9.05 | 23 |
| 2020-11-10 | 2020-11-27 | -5.82 | 17 |
| 2021-01-21 | 2021-02-08 | -4.98 | 18 |
| 2021-07-01 | 2021-07-23 | -3.67 | 22 |
| 2021-08-06 | 2021-08-27 | -3.53 | 21 |
| 2021-07-27 | 2021-07-29 | -2.58 | 2 |