| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 3.9% | 7.91% |
| CAGR﹪ | 1.78% | 3.56% |
| Sharpe | -0.12 | -0.02 |
| Prob. Sharpe Ratio | 12.1% | 15.37% |
| Smart Sharpe | -0.1 | -0.01 |
| Sortino | -0.15 | -0.02 |
| Smart Sortino | -0.13 | -0.02 |
| Sortino/√2 | -0.11 | -0.02 |
| Smart Sortino/√2 | -0.09 | -0.01 |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -27.75% | -25.41% |
| Longest DD Days | 421 | 416 |
| Volatility (ann.) | 20.51% | 20.21% |
| R^2 | 0.45 | 0.45 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.06 | 0.14 |
| Skew | -2.55 | -2.7 |
| Kurtosis | 28.16 | 30.24 |
| Expected Daily | 0.01% | 0.02% |
| Expected Monthly | 0.17% | 0.33% |
| Expected Yearly | 0.96% | 1.92% |
| Kelly Criterion | 2.15% | -3.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.11% | -2.07% |
| Expected Shortfall (cVaR) | -2.11% | -2.07% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 8 | 6 |
| Gain/Pain Ratio | 0.04 | 0.06 |
| Gain/Pain (1M) | 0.21 | 0.27 |
| Payoff Ratio | 0.87 | 0.89 |
| Profit Factor | 1.04 | 1.06 |
| Common Sense Ratio | 1.13 | 1.0 |
| CPC Index | 0.49 | 0.48 |
| Tail Ratio | 1.09 | 0.94 |
| Outlier Win Ratio | 3.46 | 3.17 |
| Outlier Loss Ratio | 2.79 | 3.16 |
| MTD | -2.28% | -2.47% |
| 3M | -2.09% | -1.52% |
| 6M | -5.47% | -3.91% |
| YTD | 1.55% | 3.67% |
| 1Y | -10.29% | -7.77% |
| 3Y (ann.) | 1.78% | 3.56% |
| 5Y (ann.) | 1.78% | 3.56% |
| 10Y (ann.) | 1.78% | 3.56% |
| All-time (ann.) | 1.78% | 3.56% |
| Best Day | 5.35% | 5.47% |
| Worst Day | -13.61% | -13.65% |
| Best Month | 5.96% | 8.12% |
| Worst Month | -9.4% | -9.6% |
| Best Year | 26.22% | 28.06% |
| Worst Year | -20.03% | -19.74% |
| Avg. Drawdown | -2.35% | -1.94% |
| Avg. Drawdown Days | 23 | 19 |
| Recovery Factor | 0.14 | 0.31 |
| Ulcer Index | 0.12 | 0.11 |
| Serenity Index | -0.01 | 0.01 |
| Avg. Up Month | 3.14% | 4.07% |
| Avg. Down Month | -4.58% | -5.18% |
| Win Days | 54.37% | 51.36% |
| Win Month | 65.22% | 56.52% |
| Win Quarter | 77.78% | 77.78% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.68 | - |
| Alpha | -0.0 | - |
| Correlation | 66.9% | - |
| Treynor Ratio | -4.56% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 1.28 | 1.37 | 1.07 | + |
| 2021 | 28.06 | 26.22 | 0.93 | - |
| 2022 | -19.74 | -20.03 | 1.01 | - |
| 2023 | 3.67 | 1.55 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-30 | 2023-02-24 | -27.75 | 421 |
| 2021-09-07 | 2021-10-26 | -5.86 | 49 |
| 2021-02-17 | 2021-04-01 | -5.45 | 43 |
| 2021-11-23 | 2021-12-27 | -4.38 | 34 |
| 2021-05-10 | 2021-06-02 | -3.45 | 23 |
| 2021-01-22 | 2021-02-05 | -3.24 | 14 |
| 2021-07-14 | 2021-07-23 | -2.51 | 9 |
| 2021-04-27 | 2021-05-07 | -1.69 | 10 |
| 2021-08-16 | 2021-08-23 | -1.67 | 7 |
| 2021-06-16 | 2021-06-24 | -1.57 | 8 |