| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | 7.92% | 2.55% |
| CAGR﹪ | 32.82% | 9.84% |
| Sharpe | 1.51 | 41.64 |
| Prob. Sharpe Ratio | 79.61% | 100.0% |
| Smart Sharpe | 1.27 | 34.96 |
| Sortino | 2.72 | - |
| Smart Sortino | 2.29 | - |
| Sortino/√2 | 1.92 | - |
| Smart Sortino/√2 | 1.62 | - |
| Omega | 1.32 | 1.32 |
| Max Drawdown | -7.04% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 20.25% | 0.23% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 4.66 | - |
| Skew | 1.4 | 1.56 |
| Kurtosis | 5.58 | 3.01 |
| Expected Daily | 0.11% | 0.04% |
| Expected Monthly | 1.92% | 0.63% |
| Expected Yearly | 3.88% | 1.27% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.98% | -0.01% |
| Expected Shortfall (cVaR) | -1.98% | -0.01% |
| Max Consecutive Wins | 5 | 66 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.32 | - |
| Gain/Pain (1M) | 4.59 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.32 | - |
| Common Sense Ratio | 1.48 | - |
| CPC Index | - | - |
| Tail Ratio | 1.12 | 2.56 |
| Outlier Win Ratio | 2.02 | 52.18 |
| Outlier Loss Ratio | 1.4 | - |
| MTD | 5.76% | 0.71% |
| 3M | 7.83% | 2.32% |
| 6M | 7.92% | 2.55% |
| YTD | 6.61% | 1.36% |
| 1Y | 7.92% | 2.55% |
| 3Y (ann.) | 32.82% | 9.84% |
| 5Y (ann.) | 32.82% | 9.84% |
| 10Y (ann.) | 32.82% | 9.84% |
| All-time (ann.) | 32.82% | 9.84% |
| Best Day | 5.93% | 0.07% |
| Worst Day | -2.47% | 0.0% |
| Best Month | 5.76% | 0.71% |
| Worst Month | -1.79% | 0.53% |
| Best Year | 6.61% | 1.36% |
| Worst Year | 1.22% | 1.17% |
| Avg. Drawdown | -3.61% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.12 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.6 | - |
| Avg. Up Month | 3.21% | 0.67% |
| Avg. Down Month | - | - |
| Win Days | 51.52% | 100.0% |
| Win Month | 75.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -4.94 | - |
| Alpha | 0.77 | - |
| Correlation | -5.55% | - |
| Treynor Ratio | -1.6% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.17 | 1.22 | 1.04 | + |
| 2022 | 1.36 | 6.61 | 4.85 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-27 | 2022-02-25 | -7.04 | 29 |
| 2022-01-06 | 2022-01-26 | -3.94 | 20 |
| 2021-11-23 | 2021-12-30 | -3.01 | 37 |
| 2022-01-03 | 2022-01-04 | -0.46 | 1 |