| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 19.86% | 18.42% |
| CAGR﹪ | 6.49% | 6.04% |
| Sharpe | 0.54 | 61.45 |
| Prob. Sharpe Ratio | 95.25% | 100.0% |
| Smart Sharpe | 0.49 | 55.49 |
| Sortino | 5.31 | - |
| Smart Sortino | 4.79 | - |
| Sortino/√2 | 3.75 | - |
| Smart Sortino/√2 | 3.39 | - |
| Omega | 3.82 | 3.82 |
| Max Drawdown | -90.54% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 527.25% | 0.1% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.07 | - |
| Skew | 26.48 | 1.42 |
| Kurtosis | 710.38 | 3.02 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.52% | 0.48% |
| Expected Yearly | 4.63% | 4.32% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -53.5% | -0.01% |
| Expected Shortfall (cVaR) | -53.5% | -0.01% |
| Max Consecutive Wins | 6 | 725 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 2.82 | - |
| Gain/Pain (1M) | 24.01 | - |
| Payoff Ratio | - | - |
| Profit Factor | 3.82 | - |
| Common Sense Ratio | 4.62 | - |
| CPC Index | - | - |
| Tail Ratio | 1.21 | 1.94 |
| Outlier Win Ratio | 0.45 | 59.62 |
| Outlier Loss Ratio | 1.3 | - |
| MTD | -1.6% | 0.72% |
| 3M | 1.5% | 2.14% |
| 6M | 3.16% | 3.87% |
| YTD | 1.94% | 1.37% |
| 1Y | 3.44% | 6.51% |
| 3Y (ann.) | 6.49% | 6.04% |
| 5Y (ann.) | 6.49% | 6.04% |
| 10Y (ann.) | 6.49% | 6.04% |
| All-time (ann.) | 6.49% | 6.04% |
| Best Day | 889.97% | 0.04% |
| Worst Day | -90.11% | 0.0% |
| Best Month | 15.76% | 0.72% |
| Worst Month | -5.15% | 0.37% |
| Best Year | 20.6% | 5.82% |
| Worst Year | -2.45% | 1.37% |
| Avg. Drawdown | -10.5% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.22 | - |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 5.81 | - |
| Avg. Up Month | 3.15% | 0.49% |
| Avg. Down Month | - | - |
| Win Days | 49.03% | 100.0% |
| Win Month | 51.43% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 649.48 | - |
| Alpha | -35.26 | - |
| Correlation | 11.76% | - |
| Treynor Ratio | 0.03% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 5.17 | -2.45 | -0.47 | - |
| 2020 | 4.97 | 20.60 | 4.14 | + |
| 2021 | 5.82 | -0.05 | -0.01 | - |
| 2022 | 1.37 | 1.94 | 1.41 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-11-03 | 2022-02-25 | -90.54 | 479 |
| 2020-03-19 | 2020-11-02 | -14.75 | 228 |
| 2019-09-04 | 2020-02-28 | -8.39 | 177 |
| 2019-05-03 | 2019-08-02 | -3.94 | 91 |
| 2020-03-02 | 2020-03-06 | -2.78 | 4 |
| 2019-08-20 | 2019-09-03 | -1.64 | 14 |
| 2019-04-12 | 2019-04-25 | -1.11 | 13 |
| 2020-03-13 | 2020-03-17 | -1.10 | 4 |
| 2019-08-08 | 2019-08-12 | -0.60 | 4 |
| 2019-08-13 | 2019-08-14 | -0.57 | 1 |