| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | 15.63% | 5.39% |
| CAGR﹪ | 23.83% | 8.03% |
| Sharpe | 0.73 | 0.14 |
| Prob. Sharpe Ratio | 46.89% | 29.71% |
| Smart Sharpe | 0.49 | 0.1 |
| Sortino | 1.27 | 0.2 |
| Smart Sortino | 0.85 | 0.13 |
| Sortino/√2 | 0.89 | 0.14 |
| Smart Sortino/√2 | 0.6 | 0.09 |
| Omega | 1.19 | 1.19 |
| Max Drawdown | -10.7% | -13.65% |
| Longest DD Days | 83 | 135 |
| Volatility (ann.) | 22.89% | 21.09% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 2.23 | 0.59 |
| Skew | 2.97 | -0.46 |
| Kurtosis | 37.7 | 29.43 |
| Expected Daily | 0.08% | 0.03% |
| Expected Monthly | 1.63% | 0.58% |
| Expected Yearly | 7.53% | 2.66% |
| Kelly Criterion | 2.27% | 4.06% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.28% | -2.15% |
| Expected Shortfall (cVaR) | -2.28% | -2.15% |
| Max Consecutive Wins | 8 | 6 |
| Max Consecutive Losses | 12 | 5 |
| Gain/Pain Ratio | 0.27 | 0.11 |
| Gain/Pain (1M) | 5.01 | 3.3 |
| Payoff Ratio | 0.96 | 0.85 |
| Profit Factor | 1.27 | 1.11 |
| Common Sense Ratio | 1.38 | 1.07 |
| CPC Index | 0.64 | 0.53 |
| Tail Ratio | 1.08 | 0.96 |
| Outlier Win Ratio | 3.3 | 4.04 |
| Outlier Loss Ratio | 3.53 | 3.21 |
| MTD | 4.7% | -0.8% |
| 3M | 7.93% | -2.0% |
| 6M | 11.44% | 1.37% |
| YTD | 4.46% | -0.62% |
| 1Y | 15.63% | 5.39% |
| 3Y (ann.) | 23.83% | 8.03% |
| 5Y (ann.) | 23.83% | 8.03% |
| 10Y (ann.) | 23.83% | 8.03% |
| All-time (ann.) | 23.83% | 8.03% |
| Best Day | 12.69% | 9.28% |
| Worst Day | -7.84% | -9.77% |
| Best Month | 6.61% | 3.24% |
| Worst Month | -3.19% | -2.09% |
| Best Year | 10.69% | 6.04% |
| Worst Year | 4.46% | -0.62% |
| Avg. Drawdown | -2.89% | -2.01% |
| Avg. Drawdown Days | 17 | 18 |
| Recovery Factor | 1.46 | 0.39 |
| Ulcer Index | 0.03 | 0.04 |
| Serenity Index | 0.7 | -0.08 |
| Avg. Up Month | 2.06% | 1.3% |
| Avg. Down Month | - | - |
| Win Days | 52.02% | 55.81% |
| Win Month | 77.78% | 77.78% |
| Win Quarter | 75.0% | 50.0% |
| Win Year | 100.0% | 50.0% |
| Beta | 0.8 | - |
| Alpha | 0.16 | - |
| Correlation | 74.03% | - |
| Treynor Ratio | 10.74% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 6.04 | 10.69 | 1.77 | + |
| 2022 | -0.62 | 4.46 | -7.20 | + |
| 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 |
| 2021-06-23 | 2021-06-29 | -1.83 | 6 |
| 2021-11-17 | 2021-11-22 | -1.59 | 5 |
| 2021-07-06 | 2021-07-07 | -0.73 | 1 |
| 2021-07-08 | 2021-07-12 | -0.57 | 4 |