| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 14.5% | -7.73% |
| CAGR﹪ | 34.21% | -16.03% |
| Sharpe | 0.96 | -0.98 |
| Prob. Sharpe Ratio | 52.99% | 10.85% |
| Smart Sharpe | 0.63 | -0.65 |
| Sortino | 1.71 | -1.25 |
| Smart Sortino | 1.13 | -0.83 |
| Sortino/√2 | 1.21 | -0.89 |
| Smart Sortino/√2 | 0.8 | -0.58 |
| Omega | 1.26 | 1.26 |
| Max Drawdown | -10.7% | -11.5% |
| Longest DD Days | 50 | 58 |
| Volatility (ann.) | 26.98% | 22.08% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 3.2 | -1.39 |
| Skew | 2.68 | -0.92 |
| Kurtosis | 28.86 | 4.33 |
| Expected Daily | 0.12% | -0.07% |
| Expected Monthly | 2.28% | -1.33% |
| Expected Yearly | 7.01% | -3.94% |
| Kelly Criterion | 13.39% | 2.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.67% | -2.35% |
| Expected Shortfall (cVaR) | -2.67% | -2.35% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | 0.34 | -0.11 |
| Gain/Pain (1M) | 16.75 | -0.49 |
| Payoff Ratio | 1.37 | 1.1 |
| Profit Factor | 1.34 | 0.89 |
| Common Sense Ratio | 1.71 | 0.82 |
| CPC Index | 0.91 | 0.48 |
| Tail Ratio | 1.28 | 0.92 |
| Outlier Win Ratio | 2.84 | 3.02 |
| Outlier Loss Ratio | 3.44 | 2.52 |
| MTD | 4.7% | -6.91% |
| 3M | 7.93% | -6.76% |
| 6M | 14.5% | -7.73% |
| YTD | 4.46% | -6.95% |
| 1Y | 14.5% | -7.73% |
| 3Y (ann.) | 34.21% | -16.03% |
| 5Y (ann.) | 34.21% | -16.03% |
| 10Y (ann.) | 34.21% | -16.03% |
| All-time (ann.) | 34.21% | -16.03% |
| Best Day | 12.69% | 2.97% |
| Worst Day | -7.84% | -6.92% |
| Best Month | 6.61% | 4.86% |
| Worst Month | -0.88% | -6.91% |
| Best Year | 9.62% | -0.83% |
| Worst Year | 4.46% | -6.95% |
| Avg. Drawdown | -3.79% | -5.43% |
| Avg. Drawdown Days | 20 | 32 |
| Recovery Factor | 1.36 | -0.67 |
| Ulcer Index | 0.03 | 0.05 |
| Serenity Index | 0.98 | -0.6 |
| Avg. Up Month | 3.47% | 3.42% |
| Avg. Down Month | -0.56% | -2.62% |
| Win Days | 50.0% | 49.14% |
| Win Month | 66.67% | 33.33% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 0.0% |
| Beta | -0.09 | - |
| Alpha | 0.31 | - |
| Correlation | -7.01% | - |
| Treynor Ratio | -87.59% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -0.83 | 9.62 | -11.56 | + |
| 2022 | -6.95 | 4.46 | -0.64 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-14 | 2022-02-25 | -10.70 | 42 |
| 2021-11-23 | 2021-12-16 | -5.27 | 23 |
| 2022-01-10 | 2022-01-13 | -2.70 | 3 |
| 2021-09-13 | 2021-11-02 | -2.66 | 50 |
| 2021-12-17 | 2021-12-27 | -1.92 | 10 |
| 2021-11-05 | 2021-11-12 | -1.67 | 7 |
| 2021-11-17 | 2021-11-22 | -1.59 | 5 |