| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | 8.56% | -6.84% |
| CAGR﹪ | 39.01% | -24.75% |
| Sharpe | 0.92 | -0.35 |
| Prob. Sharpe Ratio | 50.02% | 25.56% |
| Smart Sharpe | 0.55 | -0.21 |
| Sortino | 1.62 | -0.57 |
| Smart Sortino | 0.98 | -0.34 |
| Sortino/√2 | 1.14 | -0.4 |
| Smart Sortino/√2 | 0.69 | -0.24 |
| Omega | 1.24 | 1.24 |
| Max Drawdown | -10.7% | -14.53% |
| Longest DD Days | 42 | 87 |
| Volatility (ann.) | 34.75% | 56.49% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 3.65 | -1.7 |
| Skew | 2.3 | 1.93 |
| Kurtosis | 19.36 | 20.33 |
| Expected Daily | 0.13% | -0.11% |
| Expected Monthly | 2.07% | -1.76% |
| Expected Yearly | 4.19% | -3.48% |
| Kelly Criterion | 16.23% | -9.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.45% | -5.91% |
| Expected Shortfall (cVaR) | -3.45% | -5.91% |
| Max Consecutive Wins | 8 | 6 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.3 | -0.06 |
| Gain/Pain (1M) | 3.74 | -0.38 |
| Payoff Ratio | 1.17 | 0.95 |
| Profit Factor | 1.3 | 0.94 |
| Common Sense Ratio | 1.42 | 1.04 |
| CPC Index | 0.84 | 0.42 |
| Tail Ratio | 1.09 | 1.1 |
| Outlier Win Ratio | 7.14 | 4.65 |
| Outlier Loss Ratio | 5.65 | 3.66 |
| MTD | 4.7% | -0.47% |
| 3M | 8.56% | -6.84% |
| 6M | 8.56% | -6.84% |
| YTD | 4.46% | -6.58% |
| 1Y | 8.56% | -6.84% |
| 3Y (ann.) | 39.01% | -24.75% |
| 5Y (ann.) | 39.01% | -24.75% |
| 10Y (ann.) | 39.01% | -24.75% |
| All-time (ann.) | 39.01% | -24.75% |
| Best Day | 12.69% | 20.14% |
| Worst Day | -7.84% | -14.53% |
| Best Month | 6.61% | 2.57% |
| Worst Month | -2.51% | -6.14% |
| Best Year | 4.46% | -0.28% |
| Worst Year | 3.93% | -6.58% |
| Avg. Drawdown | -4.9% | -12.49% |
| Avg. Drawdown Days | 18 | 44 |
| Recovery Factor | 0.8 | -0.47 |
| Ulcer Index | 0.03 | 0.06 |
| Serenity Index | 0.17 | -0.73 |
| Avg. Up Month | 6.61% | 2.57% |
| Avg. Down Month | -1.37% | -4.46% |
| Win Days | 54.84% | 46.77% |
| Win Month | 50.0% | 25.0% |
| Win Quarter | 100.0% | 0.0% |
| Win Year | 100.0% | 0.0% |
| Beta | -0.39 | - |
| Alpha | 0.33 | - |
| Correlation | -63.89% | - |
| Treynor Ratio | -3.97% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.28 | 3.93 | -13.89 | + |
| 2022 | -6.58 | 4.46 | -0.68 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-14 | 2022-02-25 | -10.70 | 42 |
| 2021-11-29 | 2021-12-16 | -4.29 | 17 |
| 2022-01-10 | 2022-01-13 | -2.70 | 3 |
| 2021-12-17 | 2021-12-27 | -1.92 | 10 |