| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 98.0% |
| Cumulative Return | 10.62% | 1.95% |
| CAGR﹪ | 69.28% | 10.61% |
| Sharpe | 2.48 | 48.78 |
| Prob. Sharpe Ratio | 84.87% | 100.0% |
| Smart Sharpe | 1.89 | 37.17 |
| Sortino | 3.87 | - |
| Smart Sortino | 2.95 | - |
| Sortino/√2 | 2.74 | - |
| Smart Sortino/√2 | 2.09 | - |
| Omega | 1.54 | 1.54 |
| Max Drawdown | -4.8% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 22.35% | 0.21% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.13 | 0.13 |
| Calmar | 14.42 | - |
| Skew | -0.46 | 0.48 |
| Kurtosis | 2.7 | 1.45 |
| Expected Daily | 0.21% | 0.04% |
| Expected Monthly | 3.42% | 0.65% |
| Expected Yearly | 5.18% | 0.97% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.1% | -0.02% |
| Expected Shortfall (cVaR) | -2.1% | -0.02% |
| Max Consecutive Wins | 5 | 47 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.54 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.54 | - |
| Common Sense Ratio | 2.92 | - |
| CPC Index | - | - |
| Tail Ratio | 1.9 | 1.98 |
| Outlier Win Ratio | 1.4 | 40.14 |
| Outlier Loss Ratio | 1.89 | - |
| MTD | 2.46% | 0.71% |
| 3M | 10.62% | 1.95% |
| 6M | 10.62% | 1.95% |
| YTD | 7.21% | 1.36% |
| 1Y | 10.62% | 1.95% |
| 3Y (ann.) | 69.28% | 10.61% |
| 5Y (ann.) | 69.28% | 10.61% |
| 10Y (ann.) | 69.28% | 10.61% |
| All-time (ann.) | 69.28% | 10.61% |
| Best Day | 3.18% | 0.06% |
| Worst Day | -4.8% | 0.0% |
| Best Month | 4.64% | 0.71% |
| Worst Month | 2.46% | 0.58% |
| Best Year | 7.21% | 1.36% |
| Worst Year | 3.19% | 0.58% |
| Avg. Drawdown | -1.58% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.21 | - |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.82 | - |
| Avg. Up Month | 3.43% | 0.65% |
| Avg. Down Month | - | - |
| Win Days | 53.19% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 5.02 | - |
| Alpha | 0.05 | - |
| Correlation | 4.68% | - |
| Treynor Ratio | 2.12% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.58 | 3.19 | 5.49 | + |
| 2022 | 1.36 | 7.21 | 5.28 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-27 | 2022-02-16 | -4.80 | 20 |
| 2022-01-14 | 2022-01-26 | -2.27 | 12 |
| 2022-01-06 | 2022-01-12 | -1.96 | 6 |
| 2021-12-20 | 2021-12-22 | -1.79 | 2 |
| 2022-02-22 | 2022-02-24 | -1.33 | 2 |
| 2022-02-25 | 2022-02-25 | -1.17 | 0 |
| 2021-12-23 | 2021-12-24 | -0.40 | 1 |
| 2022-02-17 | 2022-02-21 | -0.36 | 4 |
| 2022-01-03 | 2022-01-04 | -0.17 | 1 |