| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 4.36% | 6.27% |
| CAGR﹪ | 6.91% | 10.0% |
| Sharpe | 0.36 | 32.86 |
| Prob. Sharpe Ratio | 61.46% | - |
| Smart Sharpe | 0.21 | 18.93 |
| Sortino | 0.54 | - |
| Smart Sortino | 0.31 | - |
| Sortino/√2 | 0.38 | - |
| Smart Sortino/√2 | 0.22 | - |
| Omega | 1.09 | 1.09 |
| Max Drawdown | -20.65% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 35.44% | 0.28% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.33 | - |
| Skew | 0.55 | -0.28 |
| Kurtosis | 18.87 | -1.01 |
| Expected Daily | 0.03% | 0.04% |
| Expected Monthly | 0.53% | 0.76% |
| Expected Yearly | 2.16% | 3.09% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.62% | -0.01% |
| Expected Shortfall (cVaR) | -3.62% | -0.01% |
| Max Consecutive Wins | 7 | 163 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.09 | - |
| Gain/Pain (1M) | 0.91 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.09 | - |
| Common Sense Ratio | 1.08 | - |
| CPC Index | - | - |
| Tail Ratio | 0.99 | 8.37 |
| Outlier Win Ratio | 3.45 | 113.01 |
| Outlier Loss Ratio | 3.23 | - |
| MTD | -2.27% | 1.17% |
| 3M | -3.8% | 3.2% |
| 6M | 2.16% | 5.82% |
| YTD | -5.9% | 2.17% |
| 1Y | 4.36% | 6.27% |
| 3Y (ann.) | 6.91% | 10.0% |
| 5Y (ann.) | 6.91% | 10.0% |
| 10Y (ann.) | 6.91% | 10.0% |
| All-time (ann.) | 6.91% | 10.0% |
| Best Day | 14.12% | 0.06% |
| Worst Day | -12.97% | 0.0% |
| Best Month | 5.1% | 1.17% |
| Worst Month | -5.38% | 0.17% |
| Best Year | 10.9% | 4.01% |
| Worst Year | -5.9% | 2.17% |
| Avg. Drawdown | -4.59% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.21 | - |
| Ulcer Index | 0.07 | 0.0 |
| Serenity Index | 0.1 | - |
| Avg. Up Month | 4.21% | 0.76% |
| Avg. Down Month | - | - |
| Win Days | 47.83% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 33.33% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 0.36 | - |
| Alpha | 0.09 | - |
| Correlation | 0.29% | - |
| Treynor Ratio | 12.25% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.01 | 10.90 | 2.72 | + |
| 2022 | 2.17 | -5.90 | -2.72 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-27 | 2022-02-25 | -20.65 | 60 |
| 2021-09-07 | 2021-12-24 | -13.78 | 108 |
| 2021-07-13 | 2021-08-09 | -3.26 | 27 |
| 2021-08-13 | 2021-08-20 | -1.34 | 7 |
| 2021-08-31 | 2021-09-06 | -0.89 | 6 |
| 2021-08-11 | 2021-08-12 | -0.50 | 1 |
| 2021-07-08 | 2021-07-09 | -0.45 | 1 |
| 2021-08-24 | 2021-08-26 | -0.37 | 2 |
| 2021-08-27 | 2021-08-30 | -0.10 | 3 |