| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 110.85% | 81.87% |
| CAGR﹪ | 10.15% | 8.06% |
| Sharpe | 0.36 | 45.27 |
| Prob. Sharpe Ratio | 97.2% | 100.0% |
| Smart Sharpe | 0.32 | 40.92 |
| Sortino | 3.32 | - |
| Smart Sortino | 3.0 | - |
| Sortino/√2 | 2.35 | - |
| Smart Sortino/√2 | 2.12 | - |
| Omega | 2.27 | 2.27 |
| Max Drawdown | -90.76% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 322.42% | 0.17% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.11 | - |
| Skew | 42.91 | 1.5 |
| Kurtosis | 1869.7 | 3.83 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.81% | 0.65% |
| Expected Yearly | 8.64% | 6.87% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -32.95% | -0.01% |
| Expected Shortfall (cVaR) | -32.95% | -0.01% |
| Max Consecutive Wins | 11 | 1919 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | 1.27 | - |
| Gain/Pain (1M) | 10.86 | - |
| Payoff Ratio | - | - |
| Profit Factor | 2.27 | - |
| Common Sense Ratio | 2.53 | - |
| CPC Index | - | - |
| Tail Ratio | 1.12 | 3.01 |
| Outlier Win Ratio | 1.05 | 50.71 |
| Outlier Loss Ratio | 1.62 | - |
| MTD | -23.26% | 0.72% |
| 3M | -25.32% | 2.14% |
| 6M | -25.19% | 3.87% |
| YTD | -24.55% | 1.37% |
| 1Y | -24.22% | 6.51% |
| 3Y (ann.) | -0.97% | 6.02% |
| 5Y (ann.) | 3.47% | 6.56% |
| 10Y (ann.) | 10.15% | 8.06% |
| All-time (ann.) | 10.15% | 8.06% |
| Best Day | 884.07% | 0.08% |
| Worst Day | -89.97% | 0.0% |
| Best Month | 19.06% | 1.28% |
| Worst Month | -23.26% | 0.37% |
| Best Year | 50.32% | 12.29% |
| Worst Year | -24.55% | 1.37% |
| Avg. Drawdown | -4.97% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.22 | - |
| Ulcer Index | 0.11 | 0.0 |
| Serenity Index | 10.38 | - |
| Avg. Up Month | 3.42% | 0.65% |
| Avg. Down Month | - | - |
| Win Days | 51.47% | 100.0% |
| Win Month | 60.22% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 55.56% | 100.0% |
| Beta | 49.95 | - |
| Alpha | -2.76 | - |
| Correlation | 2.69% | - |
| Treynor Ratio | 2.22% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 6.09 | 37.58 | 6.17 | + |
| 2015 | 12.29 | 50.32 | 4.09 | + |
| 2016 | 9.60 | -10.83 | -1.13 | - |
| 2017 | 7.87 | 2.88 | 0.37 | - |
| 2018 | 6.96 | 20.82 | 2.99 | + |
| 2019 | 7.22 | -2.20 | -0.30 | - |
| 2020 | 4.97 | 25.78 | 5.19 | + |
| 2021 | 5.82 | -0.90 | -0.15 | - |
| 2022 | 1.37 | -24.55 | -17.92 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-11-03 | 2022-02-25 | -90.76 | 479 |
| 2016-01-22 | 2019-08-14 | -24.46 | 1300 |
| 2015-02-02 | 2015-07-28 | -19.60 | 176 |
| 2014-12-17 | 2015-01-29 | -18.37 | 43 |
| 2015-08-25 | 2015-12-04 | -9.41 | 101 |
| 2020-04-22 | 2020-07-31 | -7.66 | 100 |
| 2020-03-13 | 2020-03-30 | -7.65 | 17 |
| 2019-09-04 | 2020-02-27 | -6.78 | 176 |
| 2014-11-18 | 2014-11-28 | -5.26 | 10 |
| 2014-12-03 | 2014-12-15 | -4.70 | 12 |