| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 169.12% | 81.86% |
| CAGR﹪ | 13.69% | 8.06% |
| Sharpe | 0.63 | 44.75 |
| Prob. Sharpe Ratio | 95.95% | - |
| Smart Sharpe | 0.59 | 41.84 |
| Sortino | 0.94 | - |
| Smart Sortino | 0.88 | - |
| Sortino/√2 | 0.66 | - |
| Smart Sortino/√2 | 0.62 | - |
| Omega | 1.12 | 1.12 |
| Max Drawdown | -42.83% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 26.17% | 0.18% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.32 | - |
| Skew | 0.48 | 1.29 |
| Kurtosis | 10.61 | 1.99 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.07% | 0.65% |
| Expected Yearly | 11.63% | 6.87% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.65% | -0.01% |
| Expected Shortfall (cVaR) | -2.65% | -0.01% |
| Max Consecutive Wins | 9 | 1911 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.12 | - |
| Gain/Pain (1M) | 0.72 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.12 | - |
| Common Sense Ratio | 1.22 | - |
| CPC Index | - | - |
| Tail Ratio | 1.09 | 3.29 |
| Outlier Win Ratio | 1.97 | 71.85 |
| Outlier Loss Ratio | 1.75 | - |
| MTD | -10.44% | 0.71% |
| 3M | -13.68% | 2.13% |
| 6M | -16.23% | 3.86% |
| YTD | -6.15% | 1.36% |
| 1Y | -37.95% | 6.5% |
| 3Y (ann.) | 1.42% | 6.02% |
| 5Y (ann.) | 7.88% | 6.56% |
| 10Y (ann.) | 13.69% | 8.06% |
| All-time (ann.) | 13.69% | 8.06% |
| Best Day | 17.17% | 0.07% |
| Worst Day | -13.49% | 0.0% |
| Best Month | 33.05% | 1.28% |
| Worst Month | -15.74% | 0.37% |
| Best Year | 70.59% | 12.29% |
| Worst Year | -26.69% | 1.36% |
| Avg. Drawdown | -5.07% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 3.95 | - |
| Ulcer Index | 0.16 | 0.0 |
| Serenity Index | 0.61 | - |
| Avg. Up Month | 6.25% | 0.64% |
| Avg. Down Month | - | - |
| Win Days | 51.7% | 100.0% |
| Win Month | 51.61% | 100.0% |
| Win Quarter | 59.38% | 100.0% |
| Win Year | 55.56% | 100.0% |
| Beta | 4.88 | - |
| Alpha | -0.22 | - |
| Correlation | 3.29% | - |
| Treynor Ratio | 34.65% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 6.09 | 70.59 | 11.59 | + |
| 2015 | 12.29 | 22.99 | 1.87 | + |
| 2016 | 9.60 | -17.99 | -1.87 | - |
| 2017 | 7.87 | 44.73 | 5.68 | + |
| 2018 | 6.96 | -3.23 | -0.46 | - |
| 2019 | 7.22 | 9.76 | 1.35 | + |
| 2020 | 4.97 | 47.89 | 9.64 | + |
| 2021 | 5.82 | -26.69 | -4.59 | - |
| 2022 | 1.36 | -6.15 | -4.51 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-02-16 | 2022-02-25 | -42.83 | 374 |
| 2015-02-02 | 2017-07-31 | -27.65 | 910 |
| 2014-12-17 | 2015-01-23 | -24.19 | 37 |
| 2018-06-13 | 2020-03-10 | -23.89 | 636 |
| 2018-01-29 | 2018-04-11 | -12.54 | 72 |
| 2020-11-06 | 2021-01-19 | -12.11 | 74 |
| 2017-11-22 | 2018-01-17 | -9.26 | 56 |
| 2020-03-11 | 2020-03-24 | -8.84 | 13 |
| 2020-05-20 | 2020-06-18 | -6.77 | 29 |
| 2018-04-12 | 2018-06-05 | -6.74 | 54 |