| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 97.0% |
| Cumulative Return | 6.3% | -8.81% |
| CAGR﹪ | 33.09% | -35.06% |
| Sharpe | 1.32 | -2.12 |
| Prob. Sharpe Ratio | 60.87% | 5.27% |
| Smart Sharpe | 1.3 | -2.08 |
| Sortino | 2.1 | -2.33 |
| Smart Sortino | 2.07 | -2.29 |
| Sortino/√2 | 1.49 | -1.65 |
| Smart Sortino/√2 | 1.46 | -1.62 |
| Omega | 1.23 | 1.23 |
| Max Drawdown | -6.37% | -14.64% |
| Longest DD Days | 50 | 50 |
| Volatility (ann.) | 17.62% | 22.33% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | 0.17 | 0.17 |
| Calmar | 5.2 | -2.39 |
| Skew | 0.21 | -3.19 |
| Kurtosis | -0.49 | 16.47 |
| Expected Daily | 0.11% | -0.17% |
| Expected Monthly | 2.06% | -3.03% |
| Expected Yearly | 3.1% | -4.51% |
| Kelly Criterion | 2.94% | -2.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.71% | -2.47% |
| Expected Shortfall (cVaR) | -1.71% | -2.47% |
| Max Consecutive Wins | 3 | 11 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.3 | -0.32 |
| Gain/Pain (1M) | 570.03 | -0.71 |
| Payoff Ratio | 1.1 | 0.89 |
| Profit Factor | 1.3 | 0.68 |
| Common Sense Ratio | 1.45 | 0.46 |
| CPC Index | 0.71 | 0.31 |
| Tail Ratio | 1.11 | 0.67 |
| Outlier Win Ratio | 2.16 | 3.5 |
| Outlier Loss Ratio | 4.42 | 3.22 |
| MTD | 2.31% | -11.84% |
| 3M | 6.3% | -8.81% |
| 6M | 6.3% | -8.81% |
| YTD | 2.16% | -11.0% |
| 1Y | 6.3% | -8.81% |
| 3Y (ann.) | 33.09% | -35.06% |
| 5Y (ann.) | 33.09% | -35.06% |
| 10Y (ann.) | 33.09% | -35.06% |
| All-time (ann.) | 33.09% | -35.06% |
| Best Day | 2.71% | 2.01% |
| Worst Day | -1.95% | -7.87% |
| Best Month | 4.05% | 2.46% |
| Worst Month | -0.15% | -11.84% |
| Best Year | 4.05% | 2.46% |
| Worst Year | 2.16% | -11.0% |
| Avg. Drawdown | -1.59% | -8.1% |
| Avg. Drawdown Days | 12 | 30 |
| Recovery Factor | 0.99 | -0.6 |
| Ulcer Index | 0.03 | 0.04 |
| Serenity Index | -0.04 | -0.65 |
| Avg. Up Month | 4.05% | 2.46% |
| Avg. Down Month | - | - |
| Win Days | 49.06% | 51.92% |
| Win Month | 66.67% | 66.67% |
| Win Quarter | 100.0% | 50.0% |
| Win Year | 100.0% | 50.0% |
| Beta | 0.14 | - |
| Alpha | 0.36 | - |
| Correlation | 17.92% | - |
| Treynor Ratio | -4.95% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.46 | 4.05 | 1.65 | + |
| 2022 | -11.00 | 2.16 | -0.20 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2022-02-25 | -6.37 | 50 |
| 2021-12-14 | 2021-12-23 | -1.87 | 9 |
| 2021-12-24 | 2021-12-27 | -0.68 | 3 |
| 2021-12-28 | 2021-12-29 | -0.20 | 1 |
| 2021-12-10 | 2021-12-13 | -0.20 | 3 |
| 2021-12-30 | 2022-01-03 | -0.20 | 4 |