| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | 13.32% | 4.83% |
| CAGR﹪ | 21.74% | 7.7% |
| Sharpe | 0.65 | 0.19 |
| Prob. Sharpe Ratio | 44.09% | 27.81% |
| Smart Sharpe | 0.44 | 0.13 |
| Sortino | 1.14 | 0.28 |
| Smart Sortino | 0.76 | 0.19 |
| Sortino/√2 | 0.8 | 0.2 |
| Smart Sortino/√2 | 0.54 | 0.13 |
| Omega | 1.17 | 1.17 |
| Max Drawdown | -10.7% | -20.65% |
| Longest DD Days | 83 | 108 |
| Volatility (ann.) | 23.39% | 35.55% |
| R^2 | 0.49 | 0.49 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 2.03 | 0.37 |
| Skew | 3.0 | 0.54 |
| Kurtosis | 37.17 | 18.75 |
| Expected Daily | 0.08% | 0.03% |
| Expected Monthly | 1.58% | 0.59% |
| Expected Yearly | 6.45% | 2.39% |
| Kelly Criterion | 14.16% | 1.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.34% | -3.63% |
| Expected Shortfall (cVaR) | -2.34% | -3.63% |
| Max Consecutive Wins | 8 | 7 |
| Max Consecutive Losses | 12 | 6 |
| Gain/Pain Ratio | 0.25 | 0.1 |
| Gain/Pain (1M) | 3.69 | 1.01 |
| Payoff Ratio | 1.33 | 1.12 |
| Profit Factor | 1.25 | 1.1 |
| Common Sense Ratio | 1.37 | 1.08 |
| CPC Index | 0.85 | 0.59 |
| Tail Ratio | 1.1 | 0.99 |
| Outlier Win Ratio | 6.67 | 4.59 |
| Outlier Loss Ratio | 6.38 | 4.24 |
| MTD | 4.7% | -2.27% |
| 3M | 7.93% | -3.8% |
| 6M | 11.44% | 2.16% |
| YTD | 4.46% | -5.9% |
| 1Y | 13.32% | 4.83% |
| 3Y (ann.) | 21.74% | 7.7% |
| 5Y (ann.) | 21.74% | 7.7% |
| 10Y (ann.) | 21.74% | 7.7% |
| All-time (ann.) | 21.74% | 7.7% |
| Best Day | 12.69% | 14.12% |
| Worst Day | -7.84% | -12.97% |
| Best Month | 6.61% | 5.1% |
| Worst Month | -3.19% | -5.38% |
| Best Year | 8.48% | 11.4% |
| Worst Year | 4.46% | -5.9% |
| Avg. Drawdown | -3.5% | -5.11% |
| Avg. Drawdown Days | 22 | 27 |
| Recovery Factor | 1.25 | 0.23 |
| Ulcer Index | 0.03 | 0.07 |
| Serenity Index | 0.5 | -0.05 |
| Avg. Up Month | 3.08% | 4.21% |
| Avg. Down Month | -1.35% | -3.08% |
| Win Days | 50.93% | 48.12% |
| Win Month | 62.5% | 50.0% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 50.0% |
| Beta | 0.46 | - |
| Alpha | 0.16 | - |
| Correlation | 70.31% | - |
| Treynor Ratio | 13.66% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 11.40 | 8.48 | 0.74 | - |
| 2022 | -5.90 | 4.46 | -0.76 | + |
| 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 |
| 2021-08-19 | 2021-08-20 | -0.54 | 1 |
| 2021-08-16 | 2021-08-18 | -0.11 | 2 |