| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 92.0% | 92.0% |
| Cumulative Return | -7.68% | -7.44% |
| CAGR﹪ | -3.19% | -3.09% |
| Sharpe | -0.54 | -0.46 |
| Prob. Sharpe Ratio | 3.13% | 3.54% |
| Smart Sharpe | -0.48 | -0.41 |
| Sortino | -0.72 | -0.62 |
| Smart Sortino | -0.64 | -0.55 |
| Sortino/√2 | -0.51 | -0.44 |
| Smart Sortino/√2 | -0.45 | -0.39 |
| Omega | 0.9 | 0.9 |
| Max Drawdown | -16.85% | -16.36% |
| Longest DD Days | 890 | 890 |
| Volatility (ann.) | 16.6% | 18.38% |
| R^2 | 0.65 | 0.65 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | -0.19 | -0.19 |
| Skew | -0.28 | -0.23 |
| Kurtosis | 6.69 | 9.49 |
| Expected Daily | -0.01% | -0.01% |
| Expected Monthly | -0.29% | -0.28% |
| Expected Yearly | -1.98% | -1.92% |
| Kelly Criterion | -4.66% | -2.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.91% |
| Expected Shortfall (cVaR) | -1.73% | -1.91% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | -0.02 | -0.02 |
| Gain/Pain (1M) | -0.09 | -0.08 |
| Payoff Ratio | 0.86 | 0.88 |
| Profit Factor | 0.98 | 0.98 |
| Common Sense Ratio | 0.8 | 0.87 |
| CPC Index | 0.43 | 0.45 |
| Tail Ratio | 0.81 | 0.89 |
| Outlier Win Ratio | 3.92 | 3.6 |
| Outlier Loss Ratio | 3.79 | 3.51 |
| MTD | -5.93% | -6.05% |
| 3M | 3.76% | 2.47% |
| 6M | 3.19% | 4.19% |
| YTD | 0.4% | -0.53% |
| 1Y | -5.58% | -4.11% |
| 3Y (ann.) | -3.19% | -3.09% |
| 5Y (ann.) | -3.19% | -3.09% |
| 10Y (ann.) | -3.19% | -3.09% |
| All-time (ann.) | -3.19% | -3.09% |
| Best Day | 6.31% | 7.57% |
| Worst Day | -5.58% | -7.46% |
| Best Month | 7.8% | 7.67% |
| Worst Month | -7.23% | -7.25% |
| Best Year | 0.4% | 0.94% |
| Worst Year | -5.1% | -5.11% |
| Avg. Drawdown | -4.55% | -4.4% |
| Avg. Drawdown Days | 224 | 224 |
| Recovery Factor | -0.46 | -0.45 |
| Ulcer Index | 0.1 | 0.1 |
| Serenity Index | -0.11 | -0.12 |
| Avg. Up Month | 3.91% | 3.81% |
| Avg. Down Month | -3.62% | -3.39% |
| Win Days | 51.65% | 51.93% |
| Win Month | 46.43% | 42.86% |
| Win Quarter | 54.55% | 36.36% |
| Win Year | 25.0% | 25.0% |
| Beta | 0.73 | - |
| Alpha | -0.01 | - |
| Correlation | 80.9% | - |
| Treynor Ratio | -20.1% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | -2.85 | -2.85 | 1.00 | + |
| 2021 | -5.11 | -5.10 | 1.00 | + |
| 2022 | 0.94 | -0.27 | -0.29 | - |
| 2023 | -0.53 | 0.40 | -0.76 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-09-17 | 2023-02-24 | -16.85 | 890 |
| 2020-09-11 | 2020-09-14 | -0.73 | 3 |
| 2020-09-15 | 2020-09-16 | -0.37 | 1 |
| 2020-09-08 | 2020-09-09 | -0.25 | 1 |