| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 110.85% | 62.7% |
| CAGR﹪ | 10.15% | 6.51% |
| Sharpe | 0.36 | 13.57 |
| Prob. Sharpe Ratio | 97.2% | 100.0% |
| Smart Sharpe | 0.32 | 12.27 |
| Sortino | 3.32 | 131.62 |
| Smart Sortino | 3.0 | 118.99 |
| Sortino/√2 | 2.35 | 93.07 |
| Smart Sortino/√2 | 2.12 | 84.14 |
| Omega | 2.27 | 2.27 |
| Max Drawdown | -90.76% | -0.69% |
| Longest DD Days | 1300 | 141 |
| Volatility (ann.) | 322.42% | 0.47% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.11 | 9.45 |
| Skew | 42.91 | 4.17 |
| Kurtosis | 1869.7 | 26.54 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.81% | 0.52% |
| Expected Yearly | 8.64% | 5.56% |
| Kelly Criterion | 37.56% | 91.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -32.95% | -0.02% |
| Expected Shortfall (cVaR) | -32.95% | -0.02% |
| Max Consecutive Wins | 11 | 768 |
| Max Consecutive Losses | 9 | 44 |
| Gain/Pain Ratio | 1.27 | 40.51 |
| Gain/Pain (1M) | 10.86 | 40.51 |
| Payoff Ratio | 3.49 | 3.17 |
| Profit Factor | 2.27 | 41.51 |
| Common Sense Ratio | 2.53 | 784.49 |
| CPC Index | 4.08 | 122.76 |
| Tail Ratio | 1.12 | 18.9 |
| Outlier Win Ratio | 1.07 | 57.8 |
| Outlier Loss Ratio | 1.64 | 141.05 |
| MTD | -23.26% | 1.17% |
| 3M | -25.32% | 3.2% |
| 6M | -25.19% | 5.82% |
| YTD | -24.55% | 2.17% |
| 1Y | -24.22% | 9.24% |
| 3Y (ann.) | -0.97% | 5.74% |
| 5Y (ann.) | 3.47% | 4.94% |
| 10Y (ann.) | 10.15% | 6.51% |
| All-time (ann.) | 10.15% | 6.51% |
| Best Day | 884.07% | 0.25% |
| Worst Day | -89.97% | -0.02% |
| Best Month | 19.06% | 3.85% |
| Worst Month | -23.26% | -0.54% |
| Best Year | 50.32% | 12.91% |
| Worst Year | -24.55% | 2.17% |
| Avg. Drawdown | -4.97% | -0.4% |
| Avg. Drawdown Days | 55 | 109 |
| Recovery Factor | 1.22 | 90.98 |
| Ulcer Index | 0.11 | 0.0 |
| Serenity Index | 10.38 | 70.4 |
| Avg. Up Month | 3.41% | 0.58% |
| Avg. Down Month | -1.95% | -0.28% |
| Win Days | 51.47% | 93.23% |
| Win Month | 60.22% | 93.55% |
| Win Quarter | 50.0% | 93.75% |
| Win Year | 55.56% | 100.0% |
| Beta | 24.33 | - |
| Alpha | -0.4 | - |
| Correlation | 3.55% | - |
| Treynor Ratio | 4.56% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 6.85 | 37.58 | 5.49 | + |
| 2015 | 12.91 | 50.32 | 3.90 | + |
| 2016 | 5.38 | -10.83 | -2.01 | - |
| 2017 | 2.52 | 2.88 | 1.14 | + |
| 2018 | 4.27 | 20.82 | 4.88 | + |
| 2019 | 3.05 | -2.20 | -0.72 | - |
| 2020 | 4.91 | 25.78 | 5.25 | + |
| 2021 | 8.39 | -0.90 | -0.11 | - |
| 2022 | 2.17 | -24.55 | -11.31 | - |
| 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 |