| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 202.11% | 62.71% |
| CAGR﹪ | 15.4% | 6.51% |
| Sharpe | 0.37 | 14.6 |
| Prob. Sharpe Ratio | 98.14% | 100.0% |
| Smart Sharpe | 0.34 | 13.21 |
| Sortino | 3.41 | 130.87 |
| Smart Sortino | 3.09 | 118.44 |
| Sortino/√2 | 2.41 | 92.54 |
| Smart Sortino/√2 | 2.18 | 83.75 |
| Omega | 2.04 | 2.04 |
| Max Drawdown | -91.02% | -0.69% |
| Longest DD Days | 1299 | 141 |
| Volatility (ann.) | 323.4% | 0.43% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.17 | 9.44 |
| Skew | 43.07 | 3.28 |
| Kurtosis | 1886.28 | 16.45 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.2% | 0.52% |
| Expected Yearly | 13.07% | 5.56% |
| Kelly Criterion | 31.03% | 91.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -33.03% | -0.02% |
| Expected Shortfall (cVaR) | -33.03% | -0.02% |
| Max Consecutive Wins | 12 | 786 |
| Max Consecutive Losses | 10 | 44 |
| Gain/Pain Ratio | 1.04 | 40.51 |
| Gain/Pain (1M) | 6.04 | 40.51 |
| Payoff Ratio | 2.43 | 3.22 |
| Profit Factor | 2.04 | 41.51 |
| Common Sense Ratio | 2.43 | 747.16 |
| CPC Index | 2.54 | 124.64 |
| Tail Ratio | 1.19 | 18.0 |
| Outlier Win Ratio | 1.21 | 78.61 |
| Outlier Loss Ratio | 1.73 | 181.3 |
| MTD | 0.43% | 1.17% |
| 3M | 4.33% | 3.2% |
| 6M | 4.85% | 5.82% |
| YTD | 3.01% | 2.17% |
| 1Y | 4.89% | 9.24% |
| 3Y (ann.) | 17.08% | 5.74% |
| 5Y (ann.) | 13.48% | 4.94% |
| 10Y (ann.) | 15.4% | 6.51% |
| All-time (ann.) | 15.4% | 6.51% |
| Best Day | 891.28% | 0.2% |
| Worst Day | -90.07% | -0.02% |
| Best Month | 32.81% | 3.85% |
| Worst Month | -15.56% | -0.54% |
| Best Year | 54.95% | 12.91% |
| Worst Year | -10.29% | 2.17% |
| Avg. Drawdown | -8.84% | -0.4% |
| Avg. Drawdown Days | 90 | 109 |
| Recovery Factor | 2.22 | 90.98 |
| Ulcer Index | 0.18 | 0.0 |
| Serenity Index | 7.45 | 65.47 |
| Avg. Up Month | 5.31% | 0.6% |
| Avg. Down Month | -3.54% | -0.12% |
| Win Days | 51.11% | 93.3% |
| Win Month | 58.7% | 93.55% |
| Win Quarter | 65.62% | 93.75% |
| Win Year | 77.78% | 100.0% |
| Beta | 30.42 | - |
| Alpha | -0.71 | - |
| Correlation | 4.07% | - |
| Treynor Ratio | 6.64% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 6.85 | 54.95 | 8.02 | + |
| 2015 | 12.91 | 16.10 | 1.25 | + |
| 2016 | 5.38 | -10.29 | -1.91 | - |
| 2017 | 2.52 | 5.38 | 2.13 | + |
| 2018 | 4.27 | 18.16 | 4.26 | + |
| 2019 | 3.05 | 3.63 | 1.19 | + |
| 2020 | 4.91 | 47.34 | 9.64 | + |
| 2021 | 8.39 | -4.43 | -0.53 | - |
| 2022 | 2.17 | 3.01 | 1.38 | + |
| 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 |