| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 13.33% | -2.79% |
| CAGR﹪ | 25.23% | -4.96% |
| Sharpe | 0.74 | -0.12 |
| Prob. Sharpe Ratio | 46.95% | 21.33% |
| Smart Sharpe | 0.5 | -0.08 |
| Sortino | 1.31 | -0.2 |
| Smart Sortino | 0.88 | -0.13 |
| Sortino/√2 | 0.93 | -0.14 |
| Smart Sortino/√2 | 0.62 | -0.1 |
| Omega | 1.2 | 1.2 |
| Max Drawdown | -10.7% | -24.29% |
| Longest DD Days | 83 | 94 |
| Volatility (ann.) | 24.75% | 38.83% |
| R^2 | 0.68 | 0.68 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 2.36 | -0.2 |
| Skew | 2.9 | 3.53 |
| Kurtosis | 33.88 | 45.39 |
| Expected Daily | 0.09% | -0.02% |
| Expected Monthly | 1.8% | -0.4% |
| Expected Yearly | 6.46% | -1.4% |
| Kelly Criterion | 12.1% | 5.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.47% | -4.01% |
| Expected Shortfall (cVaR) | -2.47% | -4.01% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 12 | 5 |
| Gain/Pain Ratio | 0.28 | 0.01 |
| Gain/Pain (1M) | 4.36 | 0.11 |
| Payoff Ratio | 1.3 | 1.12 |
| Profit Factor | 1.28 | 1.01 |
| Common Sense Ratio | 1.49 | 0.9 |
| CPC Index | 0.84 | 0.57 |
| Tail Ratio | 1.17 | 0.89 |
| Outlier Win Ratio | 3.52 | 2.69 |
| Outlier Loss Ratio | 4.21 | 2.55 |
| MTD | 4.7% | 2.74% |
| 3M | 7.93% | -7.95% |
| 6M | 11.44% | -3.41% |
| YTD | 4.46% | -4.47% |
| 1Y | 13.33% | -2.79% |
| 3Y (ann.) | 25.23% | -4.96% |
| 5Y (ann.) | 25.23% | -4.96% |
| 10Y (ann.) | 25.23% | -4.96% |
| All-time (ann.) | 25.23% | -4.96% |
| Best Day | 12.69% | 21.23% |
| Worst Day | -7.84% | -13.17% |
| Best Month | 6.61% | 4.99% |
| Worst Month | -3.19% | -7.02% |
| Best Year | 8.49% | 1.76% |
| Worst Year | 4.46% | -4.47% |
| Avg. Drawdown | -3.22% | -9.73% |
| Avg. Drawdown Days | 19 | 48 |
| Recovery Factor | 1.25 | -0.11 |
| Ulcer Index | 0.03 | 0.07 |
| Serenity Index | 0.47 | -0.29 |
| Avg. Up Month | 2.44% | 2.19% |
| Avg. Down Month | -1.71% | -5.54% |
| Win Days | 50.35% | 50.0% |
| Win Month | 71.43% | 57.14% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 100.0% | 50.0% |
| Beta | 0.52 | - |
| Alpha | 0.24 | - |
| Correlation | 82.23% | - |
| Treynor Ratio | 12.08% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.76 | 8.49 | 4.82 | + |
| 2022 | -4.47 | 4.46 | -1.00 | + |
| 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 |
| 2021-12-17 | 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 |
| 2021-08-09 | 2021-08-10 | -0.02 | 1 |