| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 63.77% | 81.81% |
| CAGR﹪ | 6.6% | 8.05% |
| Sharpe | 1.35 | 40.64 |
| Prob. Sharpe Ratio | 99.36% | 100.0% |
| Smart Sharpe | 0.86 | 26.06 |
| Sortino | 1.86 | - |
| Smart Sortino | 1.19 | - |
| Sortino/√2 | 1.32 | - |
| Smart Sortino/√2 | 0.84 | - |
| Omega | 3.7 | 3.7 |
| Max Drawdown | -8.35% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 4.97% | 0.2% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.79 | - |
| Skew | 0.69 | 1.62 |
| Kurtosis | 695.26 | 2.97 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.53% | 0.64% |
| Expected Yearly | 5.63% | 6.87% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.49% | -0.01% |
| Expected Shortfall (cVaR) | -0.49% | -0.01% |
| Max Consecutive Wins | 76 | 1889 |
| Max Consecutive Losses | 2 | 0 |
| Gain/Pain Ratio | 2.7 | - |
| Gain/Pain (1M) | 10.23 | - |
| Payoff Ratio | - | - |
| Profit Factor | 3.7 | - |
| Common Sense Ratio | 20.97 | - |
| CPC Index | - | - |
| Tail Ratio | 5.67 | 3.67 |
| Outlier Win Ratio | 3.07 | 3.88 |
| Outlier Loss Ratio | 0.14 | - |
| MTD | -4.92% | 0.71% |
| 3M | -3.79% | 2.13% |
| 6M | -2.43% | 3.86% |
| YTD | -4.57% | 1.36% |
| 1Y | -0.72% | 6.5% |
| 3Y (ann.) | 3.22% | 6.02% |
| 5Y (ann.) | 4.55% | 6.56% |
| 10Y (ann.) | 6.6% | 8.05% |
| All-time (ann.) | 6.6% | 8.05% |
| Best Day | 9.18% | 0.08% |
| Worst Day | -8.35% | 0.0% |
| Best Month | 1.64% | 1.28% |
| Worst Month | -4.92% | 0.37% |
| Best Year | 13.49% | 12.29% |
| Worst Year | -4.57% | 1.36% |
| Avg. Drawdown | -0.12% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 7.64 | - |
| Ulcer Index | 0.01 | 0.0 |
| Serenity Index | 4.85 | - |
| Avg. Up Month | 0.59% | 0.64% |
| Avg. Down Month | - | - |
| Win Days | 90.65% | 100.0% |
| Win Month | 98.92% | 100.0% |
| Win Quarter | 96.88% | 100.0% |
| Win Year | 88.89% | 100.0% |
| Beta | 0.85 | - |
| Alpha | -0.0 | - |
| Correlation | 3.35% | - |
| Treynor Ratio | 75.08% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 6.06 | 4.55 | 0.75 | - |
| 2015 | 12.29 | 13.49 | 1.10 | + |
| 2016 | 9.60 | 9.00 | 0.94 | - |
| 2017 | 7.87 | 7.98 | 1.01 | + |
| 2018 | 6.96 | 5.98 | 0.86 | - |
| 2019 | 7.22 | 6.25 | 0.87 | - |
| 2020 | 4.97 | 4.44 | 0.89 | - |
| 2021 | 5.82 | 4.49 | 0.77 | - |
| 2022 | 1.36 | -4.57 | -3.35 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2015-04-07 | 2016-01-15 | -8.35 | 283 |
| 2022-02-24 | 2022-02-25 | -5.27 | 1 |
| 2014-10-15 | 2014-11-21 | -0.88 | 37 |
| 2020-03-13 | 2020-03-20 | -0.35 | 7 |
| 2021-09-21 | 2021-09-30 | -0.15 | 9 |
| 2019-03-27 | 2019-03-28 | -0.13 | 1 |
| 2020-10-02 | 2020-10-14 | -0.10 | 12 |
| 2019-05-23 | 2019-05-30 | -0.10 | 7 |
| 2018-11-07 | 2018-11-13 | -0.09 | 6 |
| 2019-05-13 | 2019-05-17 | -0.09 | 4 |