| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 10.19% | 12.32% |
| CAGR﹪ | 8.63% | 10.42% |
| Sharpe | 0.46 | 0.79 |
| Prob. Sharpe Ratio | 68.61% | 82.13% |
| Smart Sharpe | 0.37 | 0.64 |
| Sortino | 0.61 | 1.46 |
| Smart Sortino | 0.5 | 1.2 |
| Sortino/√2 | 0.43 | 1.04 |
| Smart Sortino/√2 | 0.35 | 0.85 |
| Omega | 1.09 | 1.09 |
| Max Drawdown | -23.06% | -10.2% |
| Longest DD Days | 94 | 284 |
| Volatility (ann.) | 24.69% | 13.66% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.37 | 1.02 |
| Skew | -1.61 | 3.14 |
| Kurtosis | 19.63 | 27.23 |
| Expected Daily | 0.03% | 0.04% |
| Expected Monthly | 0.65% | 0.78% |
| Expected Yearly | 3.29% | 3.95% |
| Kelly Criterion | 5.93% | 3.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.51% | -1.37% |
| Expected Shortfall (cVaR) | -2.51% | -1.37% |
| Max Consecutive Wins | 8 | 5 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.09 | 0.17 |
| Gain/Pain (1M) | 0.48 | 1.61 |
| Payoff Ratio | 1.0 | 1.18 |
| Profit Factor | 1.09 | 1.17 |
| Common Sense Ratio | 1.23 | 1.54 |
| CPC Index | 0.58 | 0.65 |
| Tail Ratio | 1.13 | 1.32 |
| Outlier Win Ratio | 2.72 | 4.3 |
| Outlier Loss Ratio | 2.53 | 5.36 |
| MTD | -8.7% | 7.35% |
| 3M | -14.28% | 10.68% |
| 6M | -8.34% | 12.57% |
| YTD | -15.71% | 11.14% |
| 1Y | 7.6% | 12.86% |
| 3Y (ann.) | 8.63% | 10.42% |
| 5Y (ann.) | 8.63% | 10.42% |
| 10Y (ann.) | 8.63% | 10.42% |
| All-time (ann.) | 8.63% | 10.42% |
| Best Day | 8.6% | 8.19% |
| Worst Day | -13.01% | -2.64% |
| Best Month | 9.13% | 7.35% |
| Worst Month | -8.7% | -2.45% |
| Best Year | 28.14% | 11.14% |
| Worst Year | -15.71% | 0.36% |
| Avg. Drawdown | -4.62% | -2.32% |
| Avg. Drawdown Days | 25 | 31 |
| Recovery Factor | 0.44 | 1.21 |
| Ulcer Index | 0.05 | 0.05 |
| Serenity Index | 0.32 | 0.29 |
| Avg. Up Month | 3.6% | 1.32% |
| Avg. Down Month | -4.18% | -1.5% |
| Win Days | 53.04% | 47.47% |
| Win Month | 66.67% | 60.0% |
| Win Quarter | 83.33% | 66.67% |
| Win Year | 66.67% | 100.0% |
| Beta | -0.28 | - |
| Alpha | 0.14 | - |
| Correlation | -15.43% | - |
| Treynor Ratio | -36.55% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 0.70 | 2.01 | 2.86 | + |
| 2021 | 0.36 | 28.14 | 79.02 | + |
| 2022 | 11.14 | -15.71 | -1.41 | - |
| 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 |
| 2021-07-08 | 2021-07-13 | -1.00 | 5 |