| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.97% | 11.6% |
| CAGR﹪ | 12.24% | 9.51% |
| Sharpe | 0.59 | 38.18 |
| Prob. Sharpe Ratio | 73.61% | - |
| Smart Sharpe | 0.49 | 31.35 |
| Sortino | 0.79 | - |
| Smart Sortino | 0.65 | - |
| Sortino/√2 | 0.56 | - |
| Smart Sortino/√2 | 0.46 | - |
| Omega | 1.12 | 1.12 |
| Max Drawdown | -23.06% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 24.52% | 0.24% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.53 | - |
| Skew | -1.61 | -0.03 |
| Kurtosis | 19.64 | -0.35 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 0.93% | 0.73% |
| Expected Yearly | 4.76% | 3.73% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.48% | -0.01% |
| Expected Shortfall (cVaR) | -2.48% | -0.01% |
| Max Consecutive Wins | 8 | 306 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.12 | - |
| Gain/Pain (1M) | 0.64 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.12 | - |
| Common Sense Ratio | 1.29 | - |
| CPC Index | - | - |
| Tail Ratio | 1.15 | 8.37 |
| Outlier Win Ratio | 1.68 | 46.62 |
| Outlier Loss Ratio | 1.64 | - |
| MTD | -8.7% | 1.17% |
| 3M | -14.28% | 3.2% |
| 6M | -8.34% | 5.82% |
| YTD | -15.71% | 2.17% |
| 1Y | 7.6% | 9.24% |
| 3Y (ann.) | 12.24% | 9.51% |
| 5Y (ann.) | 12.24% | 9.51% |
| 10Y (ann.) | 12.24% | 9.51% |
| All-time (ann.) | 12.24% | 9.51% |
| Best Day | 8.6% | 0.06% |
| Worst Day | -13.01% | 0.0% |
| Best Month | 9.13% | 1.17% |
| Worst Month | -8.7% | 0.17% |
| Best Year | 28.14% | 8.39% |
| Worst Year | -15.71% | 0.77% |
| Avg. Drawdown | -4.44% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.65 | - |
| Ulcer Index | 0.05 | 0.0 |
| Serenity Index | 0.48 | - |
| Avg. Up Month | 4.51% | 0.67% |
| Avg. Down Month | - | - |
| Win Days | 53.44% | 100.0% |
| Win Month | 66.67% | 100.0% |
| Win Quarter | 83.33% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -3.78 | - |
| Alpha | 0.49 | - |
| Correlation | -3.64% | - |
| Treynor Ratio | -3.96% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 0.77 | 6.44 | 8.36 | + |
| 2021 | 8.39 | 28.14 | 3.35 | + |
| 2022 | 2.17 | -15.71 | -7.23 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2022-02-25 | -23.06 | 94 |
| 2021-01-26 | 2021-04-05 | -10.45 | 69 |
| 2021-04-13 | 2021-07-02 | -9.41 | 80 |
| 2021-09-08 | 2021-11-03 | -8.47 | 56 |
| 2021-11-08 | 2021-11-15 | -3.98 | 7 |
| 2021-07-14 | 2021-07-26 | -3.03 | 12 |
| 2021-01-04 | 2021-01-08 | -2.40 | 4 |
| 2021-07-27 | 2021-08-20 | -2.38 | 24 |
| 2021-01-12 | 2021-01-21 | -2.20 | 9 |
| 2020-12-23 | 2020-12-30 | -2.13 | 7 |