| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | 5.1% | 1.98% |
| CAGR﹪ | 25.48% | 9.37% |
| Sharpe | 1.37 | 99.58 |
| Prob. Sharpe Ratio | 74.18% | 99.64% |
| Smart Sharpe | 1.36 | 98.84 |
| Sortino | 2.22 | - |
| Smart Sortino | 2.2 | - |
| Sortino/√2 | 1.57 | - |
| Smart Sortino/√2 | 1.56 | - |
| Omega | 1.24 | 1.24 |
| Max Drawdown | -6.37% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 17.42% | 0.09% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 4.0 | - |
| Skew | 0.27 | -4.53 |
| Kurtosis | -0.45 | 28.39 |
| Expected Daily | 0.09% | 0.04% |
| Expected Monthly | 1.67% | 0.66% |
| Expected Yearly | 2.52% | 0.99% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.71% | -0.03% |
| Expected Shortfall (cVaR) | -1.71% | -0.03% |
| Max Consecutive Wins | 3 | 55 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.24 | - |
| Gain/Pain (1M) | 469.9 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.24 | - |
| Common Sense Ratio | 1.4 | - |
| CPC Index | - | - |
| Tail Ratio | 1.13 | 1.22 |
| Outlier Win Ratio | 1.31 | 38.24 |
| Outlier Loss Ratio | 1.26 | - |
| MTD | 2.31% | 0.71% |
| 3M | 5.1% | 1.98% |
| 6M | 5.1% | 1.98% |
| YTD | 2.16% | 1.36% |
| 1Y | 5.1% | 1.98% |
| 3Y (ann.) | 25.48% | 9.37% |
| 5Y (ann.) | 25.48% | 9.37% |
| 10Y (ann.) | 25.48% | 9.37% |
| All-time (ann.) | 25.48% | 9.37% |
| Best Day | 2.71% | 0.04% |
| Worst Day | -1.95% | 0.0% |
| Best Month | 2.87% | 0.71% |
| Worst Month | -0.15% | 0.61% |
| Best Year | 2.87% | 1.36% |
| Worst Year | 2.16% | 0.61% |
| Avg. Drawdown | -2.31% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.8 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.29 | - |
| Avg. Up Month | 2.59% | 0.66% |
| Avg. Down Month | - | - |
| Win Days | 47.27% | 100.0% |
| Win Month | 66.67% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 5.68 | - |
| Alpha | -0.26 | - |
| Correlation | 2.89% | - |
| Treynor Ratio | 0.9% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.61 | 2.87 | 4.72 | + |
| 2022 | 1.36 | 2.16 | 1.59 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2022-02-25 | -6.37 | 50 |
| 2021-12-08 | 2021-12-27 | -2.49 | 19 |
| 2021-12-28 | 2021-12-29 | -0.20 | 1 |
| 2021-12-30 | 2022-01-03 | -0.20 | 4 |