| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 20.44% | 17.0% |
| CAGR﹪ | 6.72% | 5.65% |
| Sharpe | 0.15 | -6.23 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | 0.14 | -5.63 |
| Sortino | 1.41 | -6.4 |
| Smart Sortino | 1.27 | -5.78 |
| Sortino/√2 | 1.0 | -4.53 |
| Smart Sortino/√2 | 0.9 | -4.09 |
| Omega | 1.31 | 1.31 |
| Max Drawdown | -90.54% | -51.26% |
| Longest DD Days | 479 | 300 |
| Volatility (ann.) | 529.81% | 31.72% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.07 | 0.11 |
| Skew | 26.35 | -5.5 |
| Kurtosis | 703.53 | 122.92 |
| Expected Daily | 0.03% | 0.02% |
| Expected Monthly | 0.53% | 0.45% |
| Expected Yearly | 4.76% | 4.0% |
| Kelly Criterion | -95.53% | 9.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -53.75% | -3.24% |
| Expected Shortfall (cVaR) | -53.75% | -3.24% |
| Max Consecutive Wins | 6 | 11 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | 2.83 | 0.09 |
| Gain/Pain (1M) | 24.03 | 0.48 |
| Payoff Ratio | 0.35 | 0.95 |
| Profit Factor | 3.83 | 1.09 |
| Common Sense Ratio | 4.62 | 1.04 |
| CPC Index | 0.66 | 0.58 |
| Tail Ratio | 1.21 | 0.95 |
| Outlier Win Ratio | 0.95 | 3.27 |
| Outlier Loss Ratio | 4.4 | 3.3 |
| MTD | -1.6% | -30.02% |
| 3M | 1.5% | -36.5% |
| 6M | 3.16% | -35.02% |
| YTD | 1.94% | -34.42% |
| 1Y | 3.44% | -22.51% |
| 3Y (ann.) | 6.72% | 5.65% |
| 5Y (ann.) | 6.72% | 5.65% |
| 10Y (ann.) | 6.72% | 5.65% |
| All-time (ann.) | 6.72% | 5.65% |
| Best Day | 889.97% | 20.04% |
| Worst Day | -90.11% | -33.28% |
| Best Month | 15.76% | 15.51% |
| Worst Month | -5.15% | -30.02% |
| Best Year | 20.6% | 27.57% |
| Worst Year | -1.98% | -34.42% |
| Avg. Drawdown | -10.44% | -3.06% |
| Avg. Drawdown Days | 84 | 17 |
| Recovery Factor | 0.23 | 0.33 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | -198.17 | -9.44 |
| Avg. Up Month | 1.97% | 3.13% |
| Avg. Down Month | -0.9% | -15.06% |
| Win Days | 49.09% | 55.99% |
| Win Month | 51.43% | 68.57% |
| Win Quarter | 50.0% | 75.0% |
| Win Year | 50.0% | 75.0% |
| Beta | -0.04 | - |
| Alpha | 2.89 | - |
| Correlation | -0.26% | - |
| Treynor Ratio | 15554.1% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 27.57 | -1.98 | -0.07 | - |
| 2020 | 14.82 | 20.60 | 1.39 | + |
| 2021 | 21.79 | -0.05 | -0.00 | - |
| 2022 | -34.42 | 1.94 | -0.06 | + |
| 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 |
| 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 |
| 2019-04-22 | 2019-04-24 | -0.42 | 2 |