| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 9.87% | 33.72% |
| CAGR﹪ | 4.61% | 14.91% |
| Sharpe | 0.31 | 0.96 |
| Prob. Sharpe Ratio | 67.21% | 92.9% |
| Smart Sharpe | 0.28 | 0.86 |
| Sortino | 0.4 | 1.7 |
| Smart Sortino | 0.36 | 1.53 |
| Sortino/√2 | 0.28 | 1.2 |
| Smart Sortino/√2 | 0.25 | 1.08 |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -28.83% | -15.67% |
| Longest DD Days | 182 | 707 |
| Volatility (ann.) | 22.56% | 15.75% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.16 | 0.95 |
| Skew | -1.77 | 2.02 |
| Kurtosis | 11.95 | 13.68 |
| Expected Daily | 0.02% | 0.05% |
| Expected Monthly | 0.36% | 1.12% |
| Expected Yearly | 3.19% | 10.17% |
| Kelly Criterion | 12.81% | 1.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.31% | -1.57% |
| Expected Shortfall (cVaR) | -2.31% | -1.57% |
| Max Consecutive Wins | 11 | 6 |
| Max Consecutive Losses | 8 | 9 |
| Gain/Pain Ratio | 0.06 | 0.2 |
| Gain/Pain (1M) | 0.34 | 1.24 |
| Payoff Ratio | 0.97 | 1.15 |
| Profit Factor | 1.06 | 1.2 |
| Common Sense Ratio | 1.04 | 1.65 |
| CPC Index | 0.59 | 0.65 |
| Tail Ratio | 0.97 | 1.38 |
| Outlier Win Ratio | 3.88 | 4.19 |
| Outlier Loss Ratio | 3.1 | 5.55 |
| MTD | -15.19% | 7.35% |
| 3M | -18.35% | 10.68% |
| 6M | -14.21% | 12.57% |
| YTD | -18.58% | 11.14% |
| 1Y | -8.14% | 12.86% |
| 3Y (ann.) | 4.61% | 14.91% |
| 5Y (ann.) | 4.61% | 14.91% |
| 10Y (ann.) | 4.61% | 14.91% |
| All-time (ann.) | 4.61% | 14.91% |
| Best Day | 4.61% | 8.19% |
| Worst Day | -11.57% | -3.01% |
| Best Month | 10.56% | 17.19% |
| Worst Month | -15.19% | -5.72% |
| Best Year | 19.01% | 19.89% |
| Worst Year | -18.58% | 0.36% |
| Avg. Drawdown | -2.54% | -3.36% |
| Avg. Drawdown Days | 16 | 92 |
| Recovery Factor | 0.34 | 2.15 |
| Ulcer Index | 0.07 | 0.08 |
| Serenity Index | 0.16 | 0.3 |
| Avg. Up Month | 2.4% | 1.69% |
| Avg. Down Month | -1.4% | -0.66% |
| Win Days | 57.03% | 47.54% |
| Win Month | 61.54% | 57.69% |
| Win Quarter | 66.67% | 55.56% |
| Win Year | 66.67% | 100.0% |
| Beta | -0.56 | - |
| Alpha | 0.15 | - |
| Correlation | -39.0% | - |
| Treynor Ratio | -17.66% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 19.89 | 13.39 | 0.67 | - |
| 2021 | 0.36 | 19.01 | 53.39 | + |
| 2022 | 11.14 | -18.58 | -1.67 | - |
| 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 |
| 2021-01-27 | 2021-02-05 | -3.65 | 9 |
| 2020-01-27 | 2020-02-04 | -2.52 | 8 |
| 2021-07-15 | 2021-08-12 | -2.52 | 28 |
| 2021-08-17 | 2021-08-27 | -2.33 | 10 |