| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 99.0% |
| Cumulative Return | 24.67% | 40.4% |
| CAGR﹪ | 8.23% | 12.95% |
| Sharpe | 0.55 | 0.44 |
| Prob. Sharpe Ratio | 5.01% | 33.73% |
| Smart Sharpe | 0.5 | 0.4 |
| Sortino | 5.39 | 0.62 |
| Smart Sortino | 4.88 | 0.56 |
| Sortino/√2 | 3.81 | 0.44 |
| Smart Sortino/√2 | 3.45 | 0.4 |
| Omega | 3.48 | 3.48 |
| Max Drawdown | -91.38% | -19.19% |
| Longest DD Days | 567 | 564 |
| Volatility (ann.) | 552.43% | 16.26% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.09 | 0.67 |
| Skew | 25.63 | -0.06 |
| Kurtosis | 665.45 | 5.23 |
| Expected Daily | 0.03% | 0.05% |
| Expected Monthly | 0.65% | 1.0% |
| Expected Yearly | 5.67% | 8.85% |
| Kelly Criterion | 41.3% | 7.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -56.01% | -1.63% |
| Expected Shortfall (cVaR) | -56.01% | -1.63% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 2.6 | 0.17 |
| Gain/Pain (1M) | 20.55 | 0.92 |
| Payoff Ratio | 3.13 | 0.95 |
| Profit Factor | 3.6 | 1.17 |
| Common Sense Ratio | 3.13 | 1.22 |
| CPC Index | 6.26 | 0.61 |
| Tail Ratio | 0.87 | 1.04 |
| Outlier Win Ratio | 0.87 | 3.67 |
| Outlier Loss Ratio | 2.77 | 4.18 |
| MTD | -6.55% | 4.95% |
| 3M | -6.24% | 5.64% |
| 6M | -7.32% | 3.98% |
| YTD | -7.7% | 4.3% |
| 1Y | -7.4% | 4.94% |
| 3Y (ann.) | 8.23% | 12.95% |
| 5Y (ann.) | 8.23% | 12.95% |
| 10Y (ann.) | 8.23% | 12.95% |
| All-time (ann.) | 8.23% | 12.95% |
| Best Day | 902.48% | 7.02% |
| Worst Day | -89.96% | -5.27% |
| Best Month | 10.56% | 11.33% |
| Worst Month | -7.09% | -7.24% |
| Best Year | 22.82% | 21.93% |
| Worst Year | -7.7% | -4.39% |
| Avg. Drawdown | -5.91% | -3.03% |
| Avg. Drawdown Days | 39 | 43 |
| Recovery Factor | 0.27 | 2.1 |
| Ulcer Index | 0.1 | 0.1 |
| Serenity Index | 3.26 | 0.21 |
| Avg. Up Month | 4.44% | 4.35% |
| Avg. Down Month | -3.39% | -3.3% |
| Win Days | 55.52% | 54.79% |
| Win Month | 55.88% | 55.88% |
| Win Quarter | 66.67% | 75.0% |
| Win Year | 50.0% | 75.0% |
| Beta | 1.32 | - |
| Alpha | 2.92 | - |
| Correlation | 3.89% | - |
| Treynor Ratio | 13.38% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 15.47 | 15.38 | 0.99 | - |
| 2020 | 21.93 | 22.82 | 1.04 | + |
| 2021 | -4.39 | -4.68 | 1.07 | - |
| 2022 | 4.30 | -7.70 | -1.79 | - |
| 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 |
| 2019-05-16 | 2019-05-31 | -1.99 | 15 |