| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 19.86% | 17.61% |
| CAGR﹪ | 6.49% | 5.79% |
| Sharpe | 0.54 | 20.16 |
| Prob. Sharpe Ratio | 95.25% | 100.0% |
| Smart Sharpe | 0.49 | 18.21 |
| Sortino | 5.31 | 148.48 |
| Smart Sortino | 4.79 | 134.09 |
| Sortino/√2 | 3.75 | 104.99 |
| Smart Sortino/√2 | 3.39 | 94.81 |
| Omega | 3.82 | 3.82 |
| Max Drawdown | -90.54% | -0.4% |
| Longest DD Days | 479 | 120 |
| Volatility (ann.) | 527.25% | 0.28% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.07 | 14.49 |
| Skew | 26.48 | 0.32 |
| Kurtosis | 710.38 | 0.07 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.52% | 0.46% |
| Expected Yearly | 4.63% | 4.14% |
| Kelly Criterion | 40.94% | 85.58% |
| 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 | 355 |
| Max Consecutive Losses | 7 | 43 |
| Gain/Pain Ratio | 2.82 | 31.79 |
| Gain/Pain (1M) | 24.01 | 31.79 |
| Payoff Ratio | 6.3 | 4.64 |
| Profit Factor | 3.82 | 32.79 |
| Common Sense Ratio | 4.62 | 222.52 |
| CPC Index | 11.8 | 134.22 |
| Tail Ratio | 1.21 | 6.79 |
| Outlier Win Ratio | 0.45 | 53.64 |
| Outlier Loss Ratio | 1.32 | 176.91 |
| MTD | -1.6% | 1.17% |
| 3M | 1.5% | 3.2% |
| 6M | 3.16% | 5.82% |
| YTD | 1.94% | 2.17% |
| 1Y | 3.44% | 9.24% |
| 3Y (ann.) | 6.49% | 5.79% |
| 5Y (ann.) | 6.49% | 5.79% |
| 10Y (ann.) | 6.49% | 5.79% |
| All-time (ann.) | 6.49% | 5.79% |
| Best Day | 889.97% | 0.07% |
| Worst Day | -90.11% | -0.01% |
| Best Month | 15.76% | 1.17% |
| Worst Month | -5.15% | -0.24% |
| Best Year | 20.6% | 8.39% |
| Worst Year | -2.45% | 1.23% |
| Avg. Drawdown | -10.5% | -0.25% |
| Avg. Drawdown Days | 85 | 93 |
| Recovery Factor | 0.22 | 44.07 |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 5.81 | 20.31 |
| Avg. Up Month | 2.95% | 0.48% |
| Avg. Down Month | -1.28% | -0.1% |
| Win Days | 49.03% | 88.14% |
| Win Month | 51.43% | 88.57% |
| Win Quarter | 50.0% | 91.67% |
| Win Year | 50.0% | 100.0% |
| Beta | 178.89 | - |
| Alpha | -7.22 | - |
| Correlation | 9.48% | - |
| Treynor Ratio | 0.11% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 1.23 | -2.45 | -2.00 | - |
| 2020 | 4.91 | 20.60 | 4.19 | + |
| 2021 | 8.39 | -0.05 | -0.01 | - |
| 2022 | 2.17 | 1.94 | 0.89 | - |
| 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 |