| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | 14.2% | -13.29% |
| CAGR﹪ | 22.49% | -19.57% |
| Sharpe | 0.68 | -0.99 |
| Prob. Sharpe Ratio | 45.14% | 6.92% |
| Smart Sharpe | 0.46 | -0.66 |
| Sortino | 1.19 | -1.37 |
| Smart Sortino | 0.8 | -0.91 |
| Sortino/√2 | 0.84 | -0.97 |
| Smart Sortino/√2 | 0.56 | -0.65 |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -10.7% | -20.66% |
| Longest DD Days | 83 | 238 |
| Volatility (ann.) | 23.15% | 25.26% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 2.1 | -0.95 |
| Skew | 3.0 | 0.3 |
| Kurtosis | 37.56 | 1.04 |
| Expected Daily | 0.08% | -0.08% |
| Expected Monthly | 1.67% | -1.77% |
| Expected Yearly | 6.87% | -6.88% |
| Kelly Criterion | 19.79% | -12.76% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.31% | -2.69% |
| Expected Shortfall (cVaR) | -2.31% | -2.69% |
| Max Consecutive Wins | 8 | 6 |
| Max Consecutive Losses | 12 | 6 |
| Gain/Pain Ratio | 0.26 | -0.11 |
| Gain/Pain (1M) | 4.62 | -0.6 |
| Payoff Ratio | 1.55 | 0.81 |
| Profit Factor | 1.26 | 0.89 |
| Common Sense Ratio | 1.39 | 0.75 |
| CPC Index | 1.0 | 0.36 |
| Tail Ratio | 1.1 | 0.85 |
| Outlier Win Ratio | 4.24 | 3.08 |
| Outlier Loss Ratio | 4.08 | 2.23 |
| MTD | 4.7% | 5.1% |
| 3M | 7.93% | -5.4% |
| 6M | 11.44% | -9.86% |
| YTD | 4.46% | -3.54% |
| 1Y | 14.2% | -13.29% |
| 3Y (ann.) | 22.49% | -19.57% |
| 5Y (ann.) | 22.49% | -19.57% |
| 10Y (ann.) | 22.49% | -19.57% |
| All-time (ann.) | 22.49% | -19.57% |
| Best Day | 12.69% | 5.91% |
| Worst Day | -7.84% | -4.0% |
| Best Month | 6.61% | 5.1% |
| Worst Month | -3.19% | -8.23% |
| Best Year | 9.33% | -3.54% |
| Worst Year | 4.46% | -10.11% |
| Avg. Drawdown | -2.98% | -20.66% |
| Avg. Drawdown Days | 18 | 238 |
| Recovery Factor | 1.33 | -0.64 |
| Ulcer Index | 0.03 | 0.11 |
| Serenity Index | 0.57 | -0.16 |
| Avg. Up Month | 5.65% | 3.83% |
| Avg. Down Month | -1.71% | -6.0% |
| Win Days | 51.2% | 49.4% |
| Win Month | 75.0% | 25.0% |
| Win Quarter | 66.67% | 0.0% |
| Win Year | 100.0% | 0.0% |
| Beta | 0.07 | - |
| Alpha | 0.24 | - |
| Correlation | 7.25% | - |
| Treynor Ratio | 108.35% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -10.11 | 9.33 | -0.92 | + |
| 2022 | -3.54 | 4.46 | -1.26 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-14 | 2022-02-25 | -10.70 | 42 |
| 2021-08-24 | 2021-11-15 | -6.12 | 83 |
| 2021-11-23 | 2021-12-16 | -5.27 | 23 |
| 2022-01-10 | 2022-01-13 | -2.70 | 3 |
| 2021-07-13 | 2021-08-10 | -2.58 | 28 |
| 2021-12-17 | 2021-12-27 | -1.92 | 10 |
| 2021-11-17 | 2021-11-22 | -1.59 | 5 |
| 2021-07-06 | 2021-07-07 | -0.73 | 1 |
| 2021-07-08 | 2021-07-12 | -0.57 | 4 |
| 2021-08-19 | 2021-08-20 | -0.54 | 1 |