| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 63.77% | 62.67% |
| CAGR﹪ | 6.6% | 6.51% |
| Sharpe | 1.35 | 14.01 |
| Prob. Sharpe Ratio | 99.36% | 100.0% |
| Smart Sharpe | 0.86 | 8.98 |
| Sortino | 1.86 | 132.6 |
| Smart Sortino | 1.19 | 85.02 |
| Sortino/√2 | 1.32 | 93.76 |
| Smart Sortino/√2 | 0.84 | 60.12 |
| Omega | 3.7 | 3.7 |
| Max Drawdown | -8.35% | -0.69% |
| Longest DD Days | 283 | 141 |
| Volatility (ann.) | 4.97% | 0.46% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.79 | 9.44 |
| Skew | 0.69 | 3.3 |
| Kurtosis | 695.26 | 15.92 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.53% | 0.52% |
| Expected Yearly | 5.63% | 5.55% |
| Kelly Criterion | 84.98% | 91.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.49% | -0.02% |
| Expected Shortfall (cVaR) | -0.49% | -0.02% |
| Max Consecutive Wins | 76 | 732 |
| Max Consecutive Losses | 2 | 44 |
| Gain/Pain Ratio | 2.7 | 40.49 |
| Gain/Pain (1M) | 10.23 | 40.49 |
| Payoff Ratio | 1.65 | 3.97 |
| Profit Factor | 3.7 | 41.49 |
| Common Sense Ratio | 20.97 | 768.02 |
| CPC Index | 5.54 | 153.55 |
| Tail Ratio | 5.67 | 18.51 |
| Outlier Win Ratio | 3.79 | 5.35 |
| Outlier Loss Ratio | 0.32 | 3.82 |
| MTD | -4.92% | 1.17% |
| 3M | -3.79% | 3.2% |
| 6M | -2.43% | 5.82% |
| YTD | -4.57% | 2.17% |
| 1Y | -0.72% | 9.24% |
| 3Y (ann.) | 3.22% | 5.74% |
| 5Y (ann.) | 4.55% | 4.94% |
| 10Y (ann.) | 6.6% | 6.51% |
| All-time (ann.) | 6.6% | 6.51% |
| Best Day | 9.18% | 0.21% |
| Worst Day | -8.35% | -0.02% |
| Best Month | 1.64% | 3.85% |
| Worst Month | -4.92% | -0.54% |
| Best Year | 13.49% | 12.91% |
| Worst Year | -4.57% | 2.17% |
| Avg. Drawdown | -0.12% | -0.4% |
| Avg. Drawdown Days | 4 | 109 |
| Recovery Factor | 7.64 | 90.93 |
| Ulcer Index | 0.01 | 0.0 |
| Serenity Index | 4.85 | 68.08 |
| Avg. Up Month | 0.6% | 0.57% |
| Avg. Down Month | - | - |
| Win Days | 90.65% | 93.12% |
| Win Month | 98.92% | 93.55% |
| Win Quarter | 96.88% | 93.75% |
| Win Year | 88.89% | 100.0% |
| Beta | 0.12 | - |
| Alpha | 0.06 | - |
| Correlation | 1.14% | - |
| Treynor Ratio | 520.51% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 6.82 | 4.55 | 0.67 | - |
| 2015 | 12.91 | 13.49 | 1.05 | + |
| 2016 | 5.38 | 9.00 | 1.67 | + |
| 2017 | 2.52 | 7.98 | 3.16 | + |
| 2018 | 4.27 | 5.98 | 1.40 | + |
| 2019 | 3.05 | 6.25 | 2.05 | + |
| 2020 | 4.91 | 4.44 | 0.90 | - |
| 2021 | 8.39 | 4.49 | 0.54 | - |
| 2022 | 2.17 | -4.57 | -2.10 | - |
| 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 |