| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 202.11% | 81.88% |
| CAGR﹪ | 15.4% | 8.06% |
| Sharpe | 0.37 | 48.93 |
| Prob. Sharpe Ratio | 98.14% | - |
| Smart Sharpe | 0.34 | 44.29 |
| Sortino | 3.41 | - |
| Smart Sortino | 3.09 | - |
| Sortino/√2 | 2.41 | - |
| Smart Sortino/√2 | 2.18 | - |
| Omega | 2.04 | 2.04 |
| Max Drawdown | -91.02% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 323.4% | 0.16% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.17 | - |
| Skew | 43.07 | 1.05 |
| Kurtosis | 1886.28 | 1.32 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.2% | 0.65% |
| Expected Yearly | 13.07% | 6.87% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -33.03% | -0.01% |
| Expected Shortfall (cVaR) | -33.03% | -0.01% |
| Max Consecutive Wins | 12 | 1941 |
| Max Consecutive Losses | 10 | 0 |
| Gain/Pain Ratio | 1.04 | - |
| Gain/Pain (1M) | 6.04 | - |
| Payoff Ratio | - | - |
| Profit Factor | 2.04 | - |
| Common Sense Ratio | 2.43 | - |
| CPC Index | - | - |
| Tail Ratio | 1.19 | 3.0 |
| Outlier Win Ratio | 1.19 | 69.33 |
| Outlier Loss Ratio | 1.71 | - |
| MTD | 0.43% | 0.72% |
| 3M | 4.33% | 2.14% |
| 6M | 4.85% | 3.87% |
| YTD | 3.01% | 1.37% |
| 1Y | 4.89% | 6.51% |
| 3Y (ann.) | 17.08% | 6.02% |
| 5Y (ann.) | 13.48% | 6.56% |
| 10Y (ann.) | 15.4% | 8.06% |
| All-time (ann.) | 15.4% | 8.06% |
| Best Day | 891.28% | 0.07% |
| Worst Day | -90.07% | 0.0% |
| Best Month | 32.81% | 1.28% |
| Worst Month | -15.56% | 0.37% |
| Best Year | 54.95% | 12.29% |
| Worst Year | -10.29% | 1.37% |
| Avg. Drawdown | -8.84% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.22 | - |
| Ulcer Index | 0.18 | 0.0 |
| Serenity Index | 7.45 | - |
| Avg. Up Month | 5.26% | 0.65% |
| Avg. Down Month | - | - |
| Win Days | 51.11% | 100.0% |
| Win Month | 58.7% | 100.0% |
| Win Quarter | 65.62% | 100.0% |
| Win Year | 77.78% | 100.0% |
| Beta | 61.38 | - |
| Alpha | -3.56 | - |
| Correlation | 3.01% | - |
| Treynor Ratio | 3.29% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 6.10 | 54.95 | 9.01 | + |
| 2015 | 12.29 | 16.10 | 1.31 | + |
| 2016 | 9.60 | -10.29 | -1.07 | - |
| 2017 | 7.87 | 5.38 | 0.68 | - |
| 2018 | 6.96 | 18.16 | 2.61 | + |
| 2019 | 7.22 | 3.63 | 0.50 | - |
| 2020 | 4.97 | 47.34 | 9.53 | + |
| 2021 | 5.82 | -4.43 | -0.76 | - |
| 2022 | 1.37 | 3.01 | 2.19 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-11-03 | 2022-02-25 | -91.02 | 479 |
| 2015-02-02 | 2016-01-20 | -33.46 | 352 |
| 2016-02-12 | 2019-09-03 | -31.94 | 1299 |
| 2014-12-17 | 2015-01-27 | -26.44 | 41 |
| 2020-03-31 | 2020-07-22 | -12.07 | 113 |
| 2019-09-04 | 2020-02-21 | -11.53 | 170 |
| 2016-01-22 | 2016-02-08 | -7.92 | 17 |
| 2020-03-12 | 2020-03-23 | -6.80 | 11 |
| 2020-08-07 | 2020-11-02 | -6.57 | 87 |
| 2014-10-30 | 2014-11-07 | -4.99 | 8 |