| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 68.73% | 22.87% |
| CAGR﹪ | 16.82% | 6.31% |
| Sharpe | 0.97 | 63.33 |
| Prob. Sharpe Ratio | 96.06% | 100.0% |
| Smart Sharpe | 0.91 | 59.47 |
| Sortino | 1.42 | - |
| Smart Sortino | 1.33 | - |
| Sortino/√2 | 1.0 | - |
| Smart Sortino/√2 | 0.94 | - |
| Omega | 1.2 | 1.2 |
| Max Drawdown | -16.22% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 17.65% | 0.1% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 1.04 | - |
| Skew | -0.16 | 1.0 |
| Kurtosis | 12.57 | 2.23 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.28% | 0.5% |
| Expected Yearly | 11.03% | 4.2% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.76% | -0.01% |
| Expected Shortfall (cVaR) | -1.76% | -0.01% |
| Max Consecutive Wins | 9 | 848 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.2 | - |
| Gain/Pain (1M) | 1.72 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.2 | - |
| Common Sense Ratio | 1.48 | - |
| CPC Index | - | - |
| Tail Ratio | 1.23 | 1.94 |
| Outlier Win Ratio | 1.95 | 61.15 |
| Outlier Loss Ratio | 1.68 | - |
| MTD | -8.9% | 0.71% |
| 3M | -10.22% | 2.13% |
| 6M | 9.62% | 3.86% |
| YTD | -8.46% | 1.36% |
| 1Y | 14.82% | 6.5% |
| 3Y (ann.) | 19.02% | 6.02% |
| 5Y (ann.) | 16.82% | 6.31% |
| 10Y (ann.) | 16.82% | 6.31% |
| All-time (ann.) | 16.82% | 6.31% |
| Best Day | 8.94% | 0.05% |
| Worst Day | -7.39% | 0.0% |
| Best Month | 8.54% | 0.71% |
| Worst Month | -8.9% | 0.37% |
| Best Year | 39.72% | 7.22% |
| Worst Year | -8.46% | 1.36% |
| Avg. Drawdown | -2.72% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 4.24 | - |
| Ulcer Index | 0.06 | 0.0 |
| Serenity Index | 1.26 | - |
| Avg. Up Month | 3.09% | 0.49% |
| Avg. Down Month | - | - |
| Win Days | 51.99% | 100.0% |
| Win Month | 70.73% | 100.0% |
| Win Quarter | 71.43% | 100.0% |
| Win Year | 60.0% | 100.0% |
| Beta | -12.36 | - |
| Alpha | 0.93 | - |
| Correlation | -6.76% | - |
| Treynor Ratio | -5.56% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | 1.78 | 8.34 | 4.69 | + |
| 2019 | 7.22 | -7.53 | -1.04 | - |
| 2020 | 4.97 | 31.68 | 6.38 | + |
| 2021 | 5.82 | 39.72 | 6.83 | + |
| 2022 | 1.36 | -8.46 | -6.20 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-01-03 | 2020-06-22 | -16.22 | 536 |
| 2021-11-17 | 2022-02-25 | -10.96 | 100 |
| 2021-01-27 | 2021-03-23 | -9.36 | 55 |
| 2021-06-08 | 2021-09-16 | -8.74 | 100 |
| 2021-04-21 | 2021-06-07 | -4.50 | 47 |
| 2021-03-25 | 2021-04-06 | -3.86 | 12 |
| 2021-04-13 | 2021-04-20 | -3.57 | 7 |
| 2020-09-03 | 2020-10-29 | -3.42 | 56 |
| 2018-12-10 | 2018-12-19 | -3.02 | 9 |
| 2021-09-17 | 2021-10-11 | -3.02 | 24 |