| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 126.94% | 158.63% |
| CAGR﹪ | 11.23% | 13.13% |
| Sharpe | -8.77 | -8.17 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -8.53 | -7.94 |
| Sortino | -8.58 | -7.88 |
| Smart Sortino | -8.35 | -7.67 |
| Sortino/√2 | -6.07 | -5.57 |
| Smart Sortino/√2 | -5.9 | -5.42 |
| Omega | 0.2 | 0.2 |
| Max Drawdown | -29.65% | -51.26% |
| Longest DD Days | 998 | 309 |
| Volatility (ann.) | 22.29% | 23.67% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.38 | 0.26 |
| Skew | 0.34 | -5.01 |
| Kurtosis | 16.93 | 149.29 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.89% | 1.03% |
| Expected Yearly | 9.53% | 11.14% |
| Kelly Criterion | 0.74% | 1.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.26% | -2.39% |
| Expected Shortfall (cVaR) | -2.26% | -2.39% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 9 | 9 |
| Gain/Pain Ratio | 0.12 | 0.15 |
| Gain/Pain (1M) | 0.67 | 0.97 |
| Payoff Ratio | 0.9 | 0.88 |
| Profit Factor | 1.12 | 1.15 |
| Common Sense Ratio | 1.12 | 1.22 |
| CPC Index | 0.53 | 0.55 |
| Tail Ratio | 1.0 | 1.06 |
| Outlier Win Ratio | 3.61 | 3.9 |
| Outlier Loss Ratio | 3.51 | 3.85 |
| MTD | -11.84% | -30.02% |
| 3M | -11.24% | -36.5% |
| 6M | -15.26% | -35.02% |
| YTD | -11.0% | -34.42% |
| 1Y | -6.22% | -22.51% |
| 3Y (ann.) | 10.87% | 6.53% |
| 5Y (ann.) | 8.56% | 10.73% |
| 10Y (ann.) | 11.23% | 13.13% |
| All-time (ann.) | 11.23% | 13.13% |
| Best Day | 16.19% | 20.04% |
| Worst Day | -13.2% | -33.28% |
| Best Month | 28.76% | 17.99% |
| Worst Month | -11.84% | -30.02% |
| Best Year | 40.25% | 38.45% |
| Worst Year | -16.07% | -34.42% |
| Avg. Drawdown | -5.16% | -3.04% |
| Avg. Drawdown Days | 69 | 24 |
| Recovery Factor | 4.28 | 3.09 |
| Ulcer Index | 0.11 | 0.07 |
| Serenity Index | -3.54 | -8.08 |
| Avg. Up Month | 5.2% | 3.89% |
| Avg. Down Month | -3.83% | -6.5% |
| Win Days | 53.11% | 54.1% |
| Win Month | 58.06% | 72.04% |
| Win Quarter | 62.5% | 75.0% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.24 | - |
| Alpha | 0.1 | - |
| Correlation | 25.05% | - |
| Treynor Ratio | -2429.06% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | -2.43 | 40.25 | -16.55 | + |
| 2015 | 32.28 | 27.82 | 0.86 | - |
| 2016 | 32.78 | -16.07 | -0.49 | - |
| 2017 | -0.19 | 19.80 | -106.45 | + |
| 2018 | 19.09 | -5.92 | -0.31 | - |
| 2019 | 38.45 | 5.86 | 0.15 | - |
| 2020 | 14.82 | 33.36 | 2.25 | + |
| 2021 | 21.79 | 6.52 | 0.30 | - |
| 2022 | -34.42 | -11.00 | 0.32 | + |
| 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 |