| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 25.78% | 52.44% |
| CAGR﹪ | 8.59% | 16.35% |
| Sharpe | 0.44 | -2.2 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | 0.4 | -1.99 |
| Sortino | 4.25 | -2.75 |
| Smart Sortino | 3.85 | -2.49 |
| Sortino/√2 | 3.01 | -1.94 |
| Smart Sortino/√2 | 2.72 | -1.76 |
| Omega | 2.55 | 2.55 |
| Max Drawdown | -91.38% | -33.92% |
| Longest DD Days | 567 | 180 |
| Volatility (ann.) | 553.25% | 23.24% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.09 | 0.48 |
| Skew | 25.59 | -0.61 |
| Kurtosis | 663.48 | 16.07 |
| Expected Daily | 0.03% | 0.06% |
| Expected Monthly | 0.68% | 1.25% |
| Expected Yearly | 5.9% | 11.12% |
| Kelly Criterion | 41.67% | 5.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -56.09% | -2.33% |
| Expected Shortfall (cVaR) | -56.09% | -2.33% |
| Max Consecutive Wins | 9 | 7 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 2.61 | 0.18 |
| Gain/Pain (1M) | 20.58 | 1.1 |
| Payoff Ratio | 3.07 | 0.86 |
| Profit Factor | 3.61 | 1.18 |
| Common Sense Ratio | 3.11 | 1.05 |
| CPC Index | 6.21 | 0.57 |
| Tail Ratio | 0.86 | 0.89 |
| Outlier Win Ratio | 1.15 | 3.94 |
| Outlier Loss Ratio | 3.47 | 4.2 |
| MTD | -6.55% | -2.9% |
| 3M | -6.24% | -6.74% |
| 6M | -7.32% | -2.26% |
| YTD | -7.7% | -8.25% |
| 1Y | -7.4% | 11.7% |
| 3Y (ann.) | 8.59% | 16.35% |
| 5Y (ann.) | 8.59% | 16.35% |
| 10Y (ann.) | 8.59% | 16.35% |
| All-time (ann.) | 8.59% | 16.35% |
| Best Day | 902.48% | 9.38% |
| Worst Day | -89.96% | -11.98% |
| Best Month | 10.56% | 12.68% |
| Worst Month | -7.09% | -12.51% |
| Best Year | 22.82% | 28.05% |
| Worst Year | -7.7% | -8.25% |
| Avg. Drawdown | -5.83% | -1.88% |
| Avg. Drawdown Days | 38 | 12 |
| Recovery Factor | 0.28 | 1.55 |
| Ulcer Index | 0.1 | 0.07 |
| Serenity Index | -13.5 | -0.85 |
| Avg. Up Month | 4.01% | 3.94% |
| Avg. Down Month | -2.52% | -3.7% |
| Win Days | 55.99% | 56.13% |
| Win Month | 55.88% | 67.65% |
| Win Quarter | 66.67% | 83.33% |
| Win Year | 50.0% | 75.0% |
| Beta | 0.42 | - |
| Alpha | 3.04 | - |
| Correlation | 1.75% | - |
| Treynor Ratio | -177.88% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 11.99 | 16.41 | 1.37 | + |
| 2020 | 15.86 | 22.82 | 1.44 | + |
| 2021 | 28.05 | -4.68 | -0.17 | - |
| 2022 | -8.25 | -7.70 | 0.93 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-08-07 | 2022-02-25 | -91.38 | 567 |
| 2020-03-06 | 2020-04-09 | -10.98 | 34 |
| 2019-09-05 | 2020-01-06 | -6.63 | 123 |
| 2020-02-26 | 2020-03-05 | -4.31 | 8 |
| 2020-05-21 | 2020-06-22 | -4.16 | 32 |
| 2020-04-15 | 2020-05-15 | -3.43 | 30 |
| 2019-06-26 | 2019-07-19 | -2.73 | 23 |
| 2020-01-09 | 2020-01-27 | -2.12 | 18 |
| 2020-02-03 | 2020-02-18 | -2.11 | 15 |
| 2019-06-10 | 2019-06-14 | -1.61 | 4 |