| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 25.39% | 3.29% |
| CAGR﹪ | 24.13% | 3.14% |
| Sharpe | 0.79 | -0.09 |
| Prob. Sharpe Ratio | 49.76% | 19.09% |
| Smart Sharpe | 0.58 | -0.07 |
| Sortino | 1.32 | -0.12 |
| Smart Sortino | 0.98 | -0.09 |
| Sortino/√2 | 0.94 | -0.08 |
| Smart Sortino/√2 | 0.69 | -0.06 |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -10.7% | -19.17% |
| Longest DD Days | 189 | 81 |
| Volatility (ann.) | 21.15% | 19.64% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 2.26 | 0.16 |
| Skew | 2.47 | -1.36 |
| Kurtosis | 33.41 | 9.28 |
| Expected Daily | 0.08% | 0.01% |
| Expected Monthly | 1.76% | 0.25% |
| Expected Yearly | 11.98% | 1.63% |
| Kelly Criterion | 11.96% | 1.34% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.1% | -2.02% |
| Expected Shortfall (cVaR) | -2.1% | -2.02% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 12 | 8 |
| Gain/Pain Ratio | 0.27 | 0.05 |
| Gain/Pain (1M) | 4.42 | 0.17 |
| Payoff Ratio | 1.16 | 0.93 |
| Profit Factor | 1.27 | 1.05 |
| Common Sense Ratio | 1.55 | 0.96 |
| CPC Index | 0.78 | 0.51 |
| Tail Ratio | 1.23 | 0.92 |
| Outlier Win Ratio | 3.44 | 3.34 |
| Outlier Loss Ratio | 3.46 | 2.82 |
| MTD | 4.7% | -11.15% |
| 3M | 7.93% | -15.35% |
| 6M | 11.44% | -9.68% |
| YTD | 4.46% | -16.45% |
| 1Y | 26.33% | 5.7% |
| 3Y (ann.) | 24.13% | 3.14% |
| 5Y (ann.) | 24.13% | 3.14% |
| 10Y (ann.) | 24.13% | 3.14% |
| All-time (ann.) | 24.13% | 3.14% |
| Best Day | 12.69% | 3.26% |
| Worst Day | -7.84% | -8.84% |
| Best Month | 8.59% | 7.04% |
| Worst Month | -3.19% | -11.15% |
| Best Year | 20.04% | 23.63% |
| Worst Year | 4.46% | -16.45% |
| Avg. Drawdown | -3.53% | -4.19% |
| Avg. Drawdown Days | 29 | 22 |
| Recovery Factor | 2.37 | 0.17 |
| Ulcer Index | 0.03 | 0.05 |
| Serenity Index | 1.18 | -0.1 |
| Avg. Up Month | 3.36% | 4.2% |
| Avg. Down Month | -1.33% | -5.24% |
| Win Days | 52.63% | 52.43% |
| Win Month | 69.23% | 61.54% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 50.0% |
| Beta | 0.42 | - |
| Alpha | 0.21 | - |
| Correlation | 39.31% | - |
| Treynor Ratio | 43.44% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 23.63 | 20.04 | 0.85 | - |
| 2022 | -16.45 | 4.46 | -0.27 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-14 | 2022-02-25 | -10.70 | 42 |
| 2021-05-11 | 2021-11-16 | -7.15 | 189 |
| 2021-02-11 | 2021-03-18 | -5.83 | 35 |
| 2021-11-23 | 2021-12-16 | -5.27 | 23 |
| 2021-04-13 | 2021-05-10 | -3.43 | 27 |
| 2022-01-10 | 2022-01-13 | -2.70 | 3 |
| 2021-12-17 | 2021-12-27 | -1.92 | 10 |
| 2021-11-17 | 2021-11-22 | -1.59 | 5 |
| 2021-04-07 | 2021-04-09 | -1.16 | 2 |
| 2021-03-19 | 2021-03-23 | -0.92 | 4 |