| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 199.45% | 301.02% |
| CAGR﹪ | 10.08% | 12.93% |
| Sharpe | 0.69 | 0.79 |
| Smart Sharpe | 0.64 | 0.74 |
| Sortino | 0.99 | 1.1 |
| Smart Sortino | 0.91 | 1.02 |
| Sortino/√2 | 0.7 | 0.78 |
| Smart Sortino/√2 | 0.65 | 0.72 |
| Omega | 1.15 | 1.15 |
| Max Drawdown | -33.75% | -33.72% |
| Longest DD Days | 681 | 277 |
| Volatility (ann.) | 15.82% | 17.19% |
| R^2 | 0.35 | 0.35 |
| Calmar | 0.3 | 0.38 |
| Skew | 0.08 | -0.64 |
| Kurtosis | 23.09 | 13.07 |
| Expected Daily % | 0.04% | 0.05% |
| Expected Monthly % | 0.8% | 1.01% |
| Expected Yearly % | 9.57% | 12.27% |
| Kelly Criterion | 3.48% | 8.08% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.6% | -1.73% |
| Expected Shortfall (cVaR) | -1.6% | -1.73% |
| Gain/Pain Ratio | 0.15 | 0.17 |
| Gain/Pain (1M) | 0.88 | 1.15 |
| Payoff Ratio | 0.9 | 0.94 |
| Profit Factor | 1.15 | 1.17 |
| Common Sense Ratio | 1.19 | 1.07 |
| CPC Index | 0.56 | 0.61 |
| Tail Ratio | 1.04 | 0.92 |
| Outlier Win Ratio | 4.5 | 4.06 |
| Outlier Loss Ratio | 4.57 | 3.94 |
| MTD | -0.0% | -0.58% |
| 3M | -11.97% | -5.95% |
| 6M | -20.54% | -8.27% |
| YTD | -19.53% | -13.29% |
| 1Y | -14.87% | -1.04% |
| 3Y (ann.) | 6.86% | 16.24% |
| 5Y (ann.) | 6.87% | 12.91% |
| 10Y (ann.) | 9.17% | 14.51% |
| All-time (ann.) | 10.08% | 12.93% |
| Best Day | 13.68% | 9.06% |
| Worst Day | -9.17% | -10.94% |
| Best Month | 19.89% | 12.7% |
| Worst Month | -9.38% | -12.49% |
| Best Year | 37.92% | 32.31% |
| Worst Year | -19.53% | -13.29% |
| Avg. Drawdown | -1.72% | -1.63% |
| Avg. Drawdown Days | 21 | 15 |
| Recovery Factor | 5.91 | 8.93 |
| Ulcer Index | 0.07 | 0.05 |
| Serenity Index | 2.29 | 6.43 |
| Avg. Up Month | 3.09% | 3.26% |
| Avg. Down Month | -3.9% | -3.73% |
| Win Days % | 54.18% | 55.55% |
| Win Month % | 63.04% | 69.57% |
| Win Quarter % | 65.22% | 80.43% |
| Win Year % | 75.0% | 83.33% |
| Beta | 0.54 | - |
| Alpha | 0.03 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2011 | 0.91 | 37.66 | 41.48 | + |
| 2012 | 15.99 | 1.93 | 0.12 | - |
| 2013 | 32.31 | 13.37 | 0.41 | - |
| 2014 | 13.46 | 4.11 | 0.31 | - |
| 2015 | 1.23 | -12.89 | -10.44 | - |
| 2016 | 12.00 | 37.92 | 3.16 | + |
| 2017 | 21.71 | 14.01 | 0.65 | - |
| 2018 | -4.57 | -2.67 | 0.58 | + |
| 2019 | 31.22 | 28.97 | 0.93 | - |
| 2020 | 18.33 | 30.25 | 1.65 | + |
| 2021 | 28.73 | 0.32 | 0.01 | - |
| 2022 | -13.29 | -19.53 | 1.47 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2014-09-02 | 2016-07-14 | -33.75 | 681 |
| 2020-02-20 | 2020-04-29 | -28.91 | 69 |
| 2021-12-06 | 2022-06-03 | -21.38 | 179 |
| 2012-02-01 | 2012-09-07 | -13.67 | 219 |
| 2020-12-29 | 2021-08-03 | -10.15 | 217 |
| 2012-09-17 | 2013-02-08 | -8.19 | 144 |
| 2013-05-21 | 2013-09-18 | -7.56 | 120 |
| 2020-09-03 | 2020-11-13 | -7.45 | 71 |
| 2017-12-18 | 2019-01-09 | -7.26 | 387 |
| 2020-06-09 | 2020-07-10 | -5.52 | 31 |