| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 89.99% | 50.12% |
| CAGR﹪ | 11.31% | 7.02% |
| Sharpe | 0.65 | 70.09 |
| Prob. Sharpe Ratio | 93.71% | - |
| Smart Sharpe | 0.63 | 67.85 |
| Sortino | 0.86 | - |
| Smart Sortino | 0.83 | - |
| Sortino/√2 | 0.61 | - |
| Smart Sortino/√2 | 0.59 | - |
| Omega | 1.13 | 1.13 |
| Max Drawdown | -38.18% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 19.53% | 0.1% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.3 | - |
| Skew | -1.59 | 0.15 |
| Kurtosis | 16.97 | -0.2 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.9% | 0.57% |
| Expected Yearly | 9.6% | 5.98% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.97% | -0.02% |
| Expected Shortfall (cVaR) | -1.97% | -0.02% |
| Max Consecutive Wins | 13 | 1509 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.13 | - |
| Gain/Pain (1M) | 0.78 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.13 | - |
| Common Sense Ratio | 1.14 | - |
| CPC Index | - | - |
| Tail Ratio | 1.01 | 2.17 |
| Outlier Win Ratio | 1.79 | 53.05 |
| Outlier Loss Ratio | 2.23 | - |
| MTD | -26.79% | 0.71% |
| 3M | -32.68% | 2.13% |
| 6M | -31.59% | 3.86% |
| YTD | -30.75% | 1.36% |
| 1Y | -19.18% | 6.5% |
| 3Y (ann.) | 7.26% | 6.02% |
| 5Y (ann.) | 10.48% | 6.56% |
| 10Y (ann.) | 11.31% | 7.02% |
| All-time (ann.) | 11.31% | 7.02% |
| Best Day | 7.78% | 0.04% |
| Worst Day | -13.29% | 0.0% |
| Best Month | 14.67% | 0.82% |
| Worst Month | -26.79% | 0.37% |
| Best Year | 37.05% | 7.87% |
| Worst Year | -30.75% | 1.36% |
| Avg. Drawdown | -2.63% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.36 | - |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 0.98 | - |
| Avg. Up Month | 3.47% | 0.56% |
| Avg. Down Month | - | - |
| Win Days | 53.97% | 100.0% |
| Win Month | 69.44% | 100.0% |
| Win Quarter | 76.0% | 100.0% |
| Win Year | 71.43% | 100.0% |
| Beta | -10.46 | - |
| Alpha | 0.84 | - |
| Correlation | -5.18% | - |
| Treynor Ratio | -8.6% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2016 | 7.78 | 27.63 | 3.55 | + |
| 2017 | 7.87 | -2.00 | -0.25 | - |
| 2018 | 6.96 | 17.12 | 2.46 | + |
| 2019 | 7.22 | 37.05 | 5.13 | + |
| 2020 | 4.97 | 13.63 | 2.74 | + |
| 2021 | 5.82 | 20.25 | 3.48 | + |
| 2022 | 1.36 | -30.75 | -22.53 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2022-02-25 | -38.18 | 127 |
| 2020-01-21 | 2020-11-24 | -33.34 | 308 |
| 2017-01-04 | 2018-01-09 | -20.44 | 370 |
| 2018-02-27 | 2018-07-05 | -10.58 | 128 |
| 2018-10-04 | 2019-01-23 | -7.59 | 111 |
| 2021-01-15 | 2021-03-11 | -6.73 | 55 |
| 2019-07-10 | 2019-09-04 | -5.75 | 56 |
| 2016-04-25 | 2016-07-12 | -5.48 | 78 |
| 2018-01-26 | 2018-02-22 | -4.82 | 27 |
| 2021-03-16 | 2021-04-16 | -4.32 | 31 |