| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 758.42% | 81.86% |
| CAGR﹪ | 32.12% | 8.06% |
| Sharpe | 1.33 | 45.54 |
| Prob. Sharpe Ratio | 99.98% | - |
| Smart Sharpe | 1.25 | 42.7 |
| Sortino | 1.96 | - |
| Smart Sortino | 1.84 | - |
| Sortino/√2 | 1.38 | - |
| Smart Sortino/√2 | 1.3 | - |
| Omega | 1.27 | 1.27 |
| Max Drawdown | -27.25% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 23.23% | 0.17% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 1.18 | - |
| Skew | -0.13 | 1.33 |
| Kurtosis | 14.43 | 2.09 |
| Expected Daily | 0.11% | 0.03% |
| Expected Monthly | 2.34% | 0.65% |
| Expected Yearly | 26.98% | 6.87% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.28% | -0.01% |
| Expected Shortfall (cVaR) | -2.28% | -0.01% |
| Max Consecutive Wins | 10 | 1925 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.27 | - |
| Gain/Pain (1M) | 1.93 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.27 | - |
| Common Sense Ratio | 1.42 | - |
| CPC Index | - | - |
| Tail Ratio | 1.12 | 3.29 |
| Outlier Win Ratio | 1.92 | 62.36 |
| Outlier Loss Ratio | 1.78 | - |
| MTD | -11.15% | 0.71% |
| 3M | -15.35% | 2.13% |
| 6M | -9.68% | 3.86% |
| YTD | -16.45% | 1.36% |
| 1Y | 5.7% | 6.5% |
| 3Y (ann.) | 31.44% | 6.02% |
| 5Y (ann.) | 30.18% | 6.56% |
| 10Y (ann.) | 32.12% | 8.06% |
| All-time (ann.) | 32.12% | 8.06% |
| Best Day | 15.41% | 0.07% |
| Worst Day | -15.0% | 0.0% |
| Best Month | 21.34% | 1.28% |
| Worst Month | -11.15% | 0.37% |
| Best Year | 79.9% | 12.29% |
| Worst Year | -16.45% | 1.36% |
| Avg. Drawdown | -3.17% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 27.83 | - |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 9.6 | - |
| Avg. Up Month | 5.62% | 0.63% |
| Avg. Down Month | - | - |
| Win Days | 55.93% | 100.0% |
| Win Month | 68.82% | 100.0% |
| Win Quarter | 81.25% | 100.0% |
| Win Year | 77.78% | 100.0% |
| Beta | -0.79 | - |
| Alpha | 0.37 | - |
| Correlation | -0.59% | - |
| Treynor Ratio | -954.64% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 6.09 | 79.90 | 13.12 | + |
| 2015 | 12.29 | 36.56 | 2.97 | + |
| 2016 | 9.60 | -8.08 | -0.84 | - |
| 2017 | 7.87 | 29.20 | 3.71 | + |
| 2018 | 6.96 | 18.17 | 2.61 | + |
| 2019 | 7.22 | 29.57 | 4.10 | + |
| 2020 | 4.97 | 76.28 | 15.35 | + |
| 2021 | 5.82 | 30.47 | 5.24 | + |
| 2022 | 1.36 | -16.45 | -12.06 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2014-12-17 | 2015-11-27 | -27.25 | 345 |
| 2018-09-11 | 2019-07-26 | -24.64 | 318 |
| 2022-01-05 | 2022-02-25 | -19.17 | 51 |
| 2016-01-22 | 2017-05-26 | -18.87 | 490 |
| 2020-02-21 | 2020-04-16 | -15.14 | 55 |
| 2020-09-03 | 2020-10-13 | -11.51 | 40 |
| 2021-04-12 | 2021-07-02 | -9.94 | 81 |
| 2018-03-19 | 2018-04-10 | -9.14 | 22 |
| 2021-08-31 | 2021-11-08 | -8.45 | 69 |
| 2021-02-16 | 2021-04-01 | -7.68 | 44 |