| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 125.32% | 81.86% |
| CAGR﹪ | 11.1% | 8.06% |
| Sharpe | 0.28 | 6.17 |
| Prob. Sharpe Ratio | 7.3% | 100.0% |
| Smart Sharpe | 0.28 | 6.0 |
| Sortino | 0.41 | 17.74 |
| Smart Sortino | 0.4 | 17.25 |
| Sortino/√2 | 0.29 | 12.55 |
| Smart Sortino/√2 | 0.28 | 12.2 |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -29.65% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 22.28% | 0.17% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.37 | - |
| Skew | 0.34 | 1.45 |
| Kurtosis | 16.95 | 3.24 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.88% | 0.65% |
| Expected Yearly | 9.45% | 6.87% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.26% | -0.01% |
| Expected Shortfall (cVaR) | -2.26% | -0.01% |
| Max Consecutive Wins | 11 | 1928 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | 0.12 | - |
| Gain/Pain (1M) | 0.66 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.12 | - |
| Common Sense Ratio | 1.12 | - |
| CPC Index | - | - |
| Tail Ratio | 1.0 | 3.08 |
| Outlier Win Ratio | 2.05 | 61.17 |
| Outlier Loss Ratio | 1.71 | - |
| MTD | -11.84% | 0.71% |
| 3M | -11.24% | 2.13% |
| 6M | -15.26% | 3.86% |
| YTD | -11.0% | 1.36% |
| 1Y | -6.22% | 6.5% |
| 3Y (ann.) | 10.87% | 6.02% |
| 5Y (ann.) | 8.56% | 6.56% |
| 10Y (ann.) | 11.1% | 8.06% |
| All-time (ann.) | 11.1% | 8.06% |
| Best Day | 16.19% | 0.08% |
| Worst Day | -13.2% | 0.0% |
| Best Month | 28.76% | 1.28% |
| Worst Month | -11.84% | 0.37% |
| Best Year | 39.24% | 12.29% |
| Worst Year | -16.07% | 1.36% |
| Avg. Drawdown | -5.05% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 4.23 | - |
| Ulcer Index | 0.11 | 0.0 |
| Serenity Index | 0.73 | - |
| Avg. Up Month | 4.68% | 0.63% |
| Avg. Down Month | - | - |
| Win Days | 53.08% | 100.0% |
| Win Month | 58.06% | 100.0% |
| Win Quarter | 62.5% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | 2.1 | - |
| Alpha | -0.03 | - |
| Correlation | 1.6% | - |
| Treynor Ratio | 56.41% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 6.09 | 39.24 | 6.44 | + |
| 2015 | 12.29 | 27.82 | 2.26 | + |
| 2016 | 9.60 | -16.07 | -1.67 | - |
| 2017 | 7.87 | 19.80 | 2.52 | + |
| 2018 | 6.96 | -5.92 | -0.85 | - |
| 2019 | 7.22 | 5.86 | 0.81 | - |
| 2020 | 4.97 | 33.36 | 6.71 | + |
| 2021 | 5.82 | 6.52 | 1.12 | + |
| 2022 | 1.36 | -11.00 | -8.06 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-08-30 | 2020-07-16 | -29.65 | 686 |
| 2015-02-02 | 2017-10-27 | -26.83 | 998 |
| 2014-12-17 | 2015-01-30 | -23.92 | 44 |
| 2021-04-20 | 2022-02-25 | -16.85 | 311 |
| 2020-10-13 | 2020-12-01 | -11.27 | 49 |
| 2018-01-25 | 2018-04-10 | -10.80 | 75 |
| 2014-09-23 | 2014-10-29 | -10.71 | 36 |
| 2018-05-03 | 2018-08-22 | -9.37 | 111 |
| 2014-06-20 | 2014-09-11 | -7.67 | 83 |
| 2020-12-02 | 2020-12-22 | -4.85 | 20 |