| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 21.4% | 11.6% |
| CAGR﹪ | 17.54% | 9.57% |
| Sharpe | 0.93 | 37.61 |
| Prob. Sharpe Ratio | 84.59% | - |
| Smart Sharpe | 0.86 | 34.82 |
| Sortino | 1.37 | - |
| Smart Sortino | 1.27 | - |
| Sortino/√2 | 0.97 | - |
| Smart Sortino/√2 | 0.9 | - |
| Omega | 1.17 | 1.17 |
| Max Drawdown | -15.54% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 19.26% | 0.24% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 1.13 | - |
| Skew | 0.05 | 0.04 |
| Kurtosis | 1.89 | -0.31 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.3% | 0.73% |
| Expected Yearly | 6.68% | 3.72% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.92% | -0.01% |
| Expected Shortfall (cVaR) | -1.92% | -0.01% |
| Max Consecutive Wins | 8 | 305 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.17 | - |
| Gain/Pain (1M) | 1.06 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.17 | - |
| Common Sense Ratio | 1.2 | - |
| CPC Index | - | - |
| Tail Ratio | 1.03 | 8.37 |
| Outlier Win Ratio | 1.65 | 41.87 |
| Outlier Loss Ratio | 1.38 | - |
| MTD | -4.78% | 1.17% |
| 3M | -9.36% | 3.2% |
| 6M | -3.3% | 5.82% |
| YTD | -10.47% | 2.17% |
| 1Y | 13.58% | 9.24% |
| 3Y (ann.) | 17.54% | 9.57% |
| 5Y (ann.) | 17.54% | 9.57% |
| 10Y (ann.) | 17.54% | 9.57% |
| All-time (ann.) | 17.54% | 9.57% |
| Best Day | 5.51% | 0.06% |
| Worst Day | -4.91% | 0.0% |
| Best Month | 6.59% | 1.17% |
| Worst Month | -6.6% | 0.17% |
| Best Year | 30.72% | 8.39% |
| Worst Year | -10.47% | 0.77% |
| Avg. Drawdown | -3.54% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.38 | - |
| Ulcer Index | 0.05 | 0.0 |
| Serenity Index | 0.63 | - |
| Avg. Up Month | 3.78% | 0.68% |
| Avg. Down Month | - | - |
| Win Days | 53.8% | 100.0% |
| Win Month | 73.33% | 100.0% |
| Win Quarter | 83.33% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -2.71 | - |
| Alpha | 0.42 | - |
| Correlation | -3.38% | - |
| Treynor Ratio | -7.9% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 0.77 | 3.72 | 4.86 | + |
| 2021 | 8.39 | 30.72 | 3.66 | + |
| 2022 | 2.17 | -10.47 | -4.82 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-02-25 | -15.54 | 51 |
| 2021-04-12 | 2021-07-02 | -9.96 | 81 |
| 2021-08-31 | 2021-11-08 | -8.27 | 69 |
| 2021-02-16 | 2021-04-01 | -7.94 | 44 |
| 2021-11-23 | 2021-12-29 | -6.90 | 36 |
| 2020-12-23 | 2021-01-22 | -4.80 | 30 |
| 2021-01-27 | 2021-02-02 | -3.08 | 6 |
| 2021-07-15 | 2021-07-23 | -2.63 | 8 |
| 2021-07-27 | 2021-08-06 | -2.27 | 10 |
| 2021-08-09 | 2021-08-19 | -2.01 | 10 |