| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 8.14% | 12.55% |
| CAGR﹪ | 3.77% | 5.76% |
| Sharpe | 0.28 | 59.41 |
| Prob. Sharpe Ratio | 65.49% | - |
| Smart Sharpe | 0.25 | 53.36 |
| Sortino | 0.35 | - |
| Smart Sortino | 0.32 | - |
| Sortino/√2 | 0.25 | - |
| Smart Sortino/√2 | 0.23 | - |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -28.83% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 22.47% | 0.09% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.13 | - |
| Skew | -1.77 | 1.45 |
| Kurtosis | 12.01 | 2.24 |
| Expected Daily | 0.01% | 0.02% |
| Expected Monthly | 0.3% | 0.46% |
| Expected Yearly | 2.64% | 4.02% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.3% | -0.01% |
| Expected Shortfall (cVaR) | -2.3% | -0.01% |
| Max Consecutive Wins | 11 | 534 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.06 | - |
| Gain/Pain (1M) | 0.29 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.06 | - |
| Common Sense Ratio | 1.04 | - |
| CPC Index | - | - |
| Tail Ratio | 0.98 | 2.29 |
| Outlier Win Ratio | 2.22 | 83.01 |
| Outlier Loss Ratio | 2.18 | - |
| MTD | -15.19% | 0.71% |
| 3M | -18.35% | 2.13% |
| 6M | -14.21% | 3.86% |
| YTD | -18.58% | 1.36% |
| 1Y | -8.14% | 6.5% |
| 3Y (ann.) | 3.77% | 5.76% |
| 5Y (ann.) | 3.77% | 5.76% |
| 10Y (ann.) | 3.77% | 5.76% |
| All-time (ann.) | 3.77% | 5.76% |
| Best Day | 4.61% | 0.04% |
| Worst Day | -11.57% | 0.0% |
| Best Month | 10.56% | 0.71% |
| Worst Month | -15.19% | 0.37% |
| Best Year | 19.01% | 5.82% |
| Worst Year | -18.58% | 1.36% |
| Avg. Drawdown | -2.6% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.28 | - |
| Ulcer Index | 0.07 | 0.0 |
| Serenity Index | 0.13 | - |
| Avg. Up Month | 3.64% | 0.43% |
| Avg. Down Month | - | - |
| Win Days | 56.87% | 100.0% |
| Win Month | 61.54% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -26.43 | - |
| Alpha | 1.53 | - |
| Correlation | -11.03% | - |
| Treynor Ratio | -0.31% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 4.93 | 11.60 | 2.35 | + |
| 2021 | 5.82 | 19.01 | 3.27 | + |
| 2022 | 1.36 | -18.58 | -13.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-21 | 2020-08-21 | -28.83 | 182 |
| 2021-11-18 | 2022-02-25 | -19.36 | 99 |
| 2020-09-03 | 2020-11-09 | -7.45 | 67 |
| 2021-02-18 | 2021-04-05 | -5.29 | 46 |
| 2021-09-09 | 2021-10-19 | -5.07 | 40 |
| 2021-04-19 | 2021-06-01 | -4.11 | 43 |
| 2020-01-17 | 2020-02-06 | -4.06 | 20 |
| 2021-01-27 | 2021-02-05 | -3.65 | 9 |
| 2021-07-15 | 2021-08-12 | -2.52 | 28 |
| 2021-08-17 | 2021-08-27 | -2.33 | 10 |