| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 86.82% | 32.03% |
| CAGR﹪ | 11.07% | 4.78% |
| Sharpe | -10.04 | -8.27 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -9.71 | -7.99 |
| Sortino | -8.98 | -7.94 |
| Smart Sortino | -8.67 | -7.67 |
| Sortino/√2 | -6.35 | -5.61 |
| Smart Sortino/√2 | -6.13 | -5.43 |
| Omega | 0.15 | 0.15 |
| Max Drawdown | -38.18% | -52.0% |
| Longest DD Days | 370 | 379 |
| Volatility (ann.) | 19.55% | 24.29% |
| R^2 | 0.52 | 0.52 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.29 | 0.09 |
| Skew | -1.59 | -5.93 |
| Kurtosis | 16.99 | 172.21 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.87% | 0.39% |
| Expected Yearly | 9.34% | 4.05% |
| Kelly Criterion | 6.18% | 0.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.98% | -2.49% |
| Expected Shortfall (cVaR) | -1.98% | -2.49% |
| Max Consecutive Wins | 13 | 11 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.13 | 0.08 |
| Gain/Pain (1M) | 0.76 | 0.46 |
| Payoff Ratio | 0.96 | 0.89 |
| Profit Factor | 1.13 | 1.08 |
| Common Sense Ratio | 1.13 | 1.07 |
| CPC Index | 0.59 | 0.51 |
| Tail Ratio | 1.0 | 1.0 |
| Outlier Win Ratio | 3.53 | 3.53 |
| Outlier Loss Ratio | 4.26 | 4.29 |
| MTD | -26.79% | -30.02% |
| 3M | -32.68% | -37.47% |
| 6M | -31.59% | -36.47% |
| YTD | -30.75% | -34.77% |
| 1Y | -19.18% | -27.03% |
| 3Y (ann.) | 7.26% | -0.31% |
| 5Y (ann.) | 10.48% | 3.97% |
| 10Y (ann.) | 11.07% | 4.78% |
| All-time (ann.) | 11.07% | 4.78% |
| Best Day | 7.78% | 20.04% |
| Worst Day | -13.29% | -33.28% |
| Best Month | 14.67% | 15.5% |
| Worst Month | -26.79% | -30.02% |
| Best Year | 37.05% | 28.55% |
| Worst Year | -30.75% | -34.77% |
| Avg. Drawdown | -2.63% | -3.76% |
| Avg. Drawdown Days | 22 | 31 |
| Recovery Factor | 2.27 | 0.62 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | -6.68 | -7.8 |
| Avg. Up Month | 3.8% | 3.36% |
| Avg. Down Month | -4.87% | -5.24% |
| Win Days | 54.03% | 53.47% |
| Win Month | 69.44% | 63.89% |
| Win Quarter | 76.0% | 68.0% |
| Win Year | 71.43% | 71.43% |
| Beta | 0.58 | - |
| Alpha | 0.08 | - |
| Correlation | 72.14% | - |
| Treynor Ratio | -1055.98% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2016 | 19.32 | 25.50 | 1.32 | + |
| 2017 | -5.51 | -2.00 | 0.36 | + |
| 2018 | 12.30 | 17.12 | 1.39 | + |
| 2019 | 28.55 | 37.05 | 1.30 | + |
| 2020 | 7.98 | 13.63 | 1.71 | + |
| 2021 | 15.15 | 20.25 | 1.34 | + |
| 2022 | -34.77 | -30.75 | 0.88 | + |
| 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 |