| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 90.0% | 91.0% |
| Cumulative Return | -5.01% | -2.71% |
| CAGR﹪ | -1.6% | -0.86% |
| Sharpe | -0.72 | -0.8 |
| Prob. Sharpe Ratio | 2.01% | 2.46% |
| Smart Sharpe | -0.54 | -0.6 |
| Sortino | -0.92 | -1.01 |
| Smart Sortino | -0.7 | -0.77 |
| Sortino/√2 | -0.65 | -0.72 |
| Smart Sortino/√2 | -0.49 | -0.54 |
| Omega | 0.87 | 0.87 |
| Max Drawdown | -16.67% | -14.41% |
| Longest DD Days | 459 | 459 |
| Volatility (ann.) | 11.11% | 9.18% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.1 | -0.06 |
| Skew | -1.09 | -1.22 |
| Kurtosis | 13.51 | 11.47 |
| Expected Daily | -0.01% | -0.0% |
| Expected Monthly | -0.15% | -0.08% |
| Expected Yearly | -1.02% | -0.55% |
| Kelly Criterion | -7.51% | -6.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.16% | -0.95% |
| Expected Shortfall (cVaR) | -1.16% | -0.95% |
| Max Consecutive Wins | 7 | 12 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | -0.02 | -0.01 |
| Gain/Pain (1M) | -0.11 | -0.05 |
| Payoff Ratio | 0.73 | 0.76 |
| Profit Factor | 0.98 | 0.99 |
| Common Sense Ratio | 0.84 | 0.85 |
| CPC Index | 0.39 | 0.41 |
| Tail Ratio | 0.86 | 0.86 |
| Outlier Win Ratio | 4.27 | 4.71 |
| Outlier Loss Ratio | 3.35 | 3.88 |
| MTD | -2.27% | -1.32% |
| 3M | -2.97% | -1.92% |
| 6M | -4.81% | -3.67% |
| YTD | 0.64% | 2.21% |
| 1Y | -8.84% | -6.55% |
| 3Y (ann.) | 1.33% | 2.13% |
| 5Y (ann.) | -1.6% | -0.86% |
| 10Y (ann.) | -1.6% | -0.86% |
| All-time (ann.) | -1.6% | -0.86% |
| Best Day | 4.05% | 2.57% |
| Worst Day | -5.86% | -5.03% |
| Best Month | 3.38% | 3.58% |
| Worst Month | -4.82% | -4.92% |
| Best Year | 4.3% | 4.72% |
| Worst Year | -11.7% | -11.23% |
| Avg. Drawdown | -2.33% | -2.47% |
| Avg. Drawdown Days | 52 | 56 |
| Recovery Factor | -0.3 | -0.19 |
| Ulcer Index | 0.07 | 0.06 |
| Serenity Index | -0.1 | -0.09 |
| Avg. Up Month | 1.75% | 1.78% |
| Avg. Down Month | -2.03% | -2.1% |
| Win Days | 54.72% | 54.19% |
| Win Month | 50.0% | 51.43% |
| Win Quarter | 58.33% | 53.85% |
| Win Year | 75.0% | 60.0% |
| Beta | 0.65 | - |
| Alpha | -0.01 | - |
| Correlation | 53.56% | - |
| Treynor Ratio | -18.53% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | -0.10 | 0.00 | -0.00 | + |
| 2020 | 4.72 | 4.30 | 0.91 | - |
| 2021 | 2.49 | 2.50 | 1.00 | + |
| 2022 | -11.23 | -11.70 | 1.04 | - |
| 2023 | 2.21 | 0.64 | 0.29 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-22 | 2023-02-24 | -16.67 | 459 |
| 2020-02-25 | 2020-08-10 | -14.29 | 167 |
| 2021-01-06 | 2021-06-08 | -4.46 | 153 |
| 2020-08-11 | 2021-01-04 | -3.74 | 146 |
| 2021-08-06 | 2021-10-28 | -2.96 | 83 |
| 2021-06-14 | 2021-07-07 | -1.23 | 23 |
| 2021-07-16 | 2021-07-22 | -0.94 | 6 |
| 2020-01-09 | 2020-01-20 | -0.69 | 11 |
| 2021-07-08 | 2021-07-13 | -0.66 | 5 |
| 2021-10-29 | 2021-11-05 | -0.65 | 7 |