| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 193.62% | 158.63% |
| CAGR﹪ | 15.01% | 13.13% |
| Sharpe | -0.27 | -8.22 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -0.25 | -7.44 |
| Sortino | -2.24 | -7.91 |
| Smart Sortino | -2.02 | -7.15 |
| Sortino/√2 | -1.58 | -5.59 |
| Smart Sortino/√2 | -1.43 | -5.06 |
| Omega | 0.65 | 0.65 |
| Max Drawdown | -91.02% | -51.26% |
| Longest DD Days | 1299 | 309 |
| Volatility (ann.) | 323.65% | 23.55% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.16 | 0.26 |
| Skew | 43.04 | -5.08 |
| Kurtosis | 1883.38 | 151.33 |
| Expected Daily | 0.06% | 0.05% |
| Expected Monthly | 1.16% | 1.03% |
| Expected Yearly | 12.71% | 11.14% |
| Kelly Criterion | -9.33% | 7.79% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -33.06% | -2.38% |
| Expected Shortfall (cVaR) | -33.06% | -2.38% |
| Max Consecutive Wins | 12 | 11 |
| Max Consecutive Losses | 10 | 9 |
| Gain/Pain Ratio | 1.04 | 0.15 |
| Gain/Pain (1M) | 6.02 | 0.97 |
| Payoff Ratio | 0.81 | 0.99 |
| Profit Factor | 2.04 | 1.15 |
| Common Sense Ratio | 2.42 | 1.22 |
| CPC Index | 0.84 | 0.62 |
| Tail Ratio | 1.19 | 1.06 |
| Outlier Win Ratio | 2.0 | 4.18 |
| Outlier Loss Ratio | 3.5 | 3.86 |
| MTD | 0.43% | -30.02% |
| 3M | 4.33% | -36.5% |
| 6M | 4.85% | -35.02% |
| YTD | 3.01% | -34.42% |
| 1Y | 4.89% | -22.51% |
| 3Y (ann.) | 17.08% | 6.53% |
| 5Y (ann.) | 13.48% | 10.73% |
| 10Y (ann.) | 15.01% | 13.13% |
| All-time (ann.) | 15.01% | 13.13% |
| Best Day | 891.28% | 20.04% |
| Worst Day | -90.07% | -33.28% |
| Best Month | 32.81% | 17.99% |
| Worst Month | -15.56% | -30.02% |
| Best Year | 50.6% | 38.45% |
| Worst Year | -10.29% | -34.42% |
| Avg. Drawdown | -8.61% | -3.04% |
| Avg. Drawdown Days | 87 | 24 |
| Recovery Factor | 2.13 | 3.09 |
| Ulcer Index | 0.18 | 0.07 |
| Serenity Index | -18.65 | -8.09 |
| Avg. Up Month | 5.74% | 3.57% |
| Avg. Down Month | -2.94% | -3.48% |
| Win Days | 51.03% | 54.02% |
| Win Month | 58.7% | 72.04% |
| Win Quarter | 65.62% | 75.0% |
| Win Year | 77.78% | 66.67% |
| Beta | -0.05 | - |
| Alpha | 1.21 | - |
| Correlation | -0.4% | - |
| Treynor Ratio | 9304.74% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | -2.43 | 50.60 | -20.81 | + |
| 2015 | 32.28 | 16.10 | 0.50 | - |
| 2016 | 32.78 | -10.29 | -0.31 | - |
| 2017 | -0.19 | 5.38 | -28.94 | + |
| 2018 | 19.09 | 18.16 | 0.95 | - |
| 2019 | 38.45 | 3.63 | 0.09 | - |
| 2020 | 14.82 | 47.34 | 3.19 | + |
| 2021 | 21.79 | -4.43 | -0.20 | - |
| 2022 | -34.42 | 3.01 | -0.09 | + |
| 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 |