| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 20.44% | 29.59% |
| CAGR﹪ | 6.72% | 9.49% |
| Sharpe | 0.54 | 0.72 |
| Prob. Sharpe Ratio | 95.26% | 89.76% |
| Smart Sharpe | 0.49 | 0.65 |
| Sortino | 5.34 | 1.24 |
| Smart Sortino | 4.82 | 1.12 |
| Sortino/√2 | 3.77 | 0.88 |
| Smart Sortino/√2 | 3.41 | 0.79 |
| Omega | 3.83 | 3.83 |
| Max Drawdown | -90.54% | -15.67% |
| Longest DD Days | 479 | 707 |
| Volatility (ann.) | 529.81% | 14.03% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.07 | 0.61 |
| Skew | 26.35 | 2.16 |
| Kurtosis | 703.53 | 16.7 |
| Expected Daily | 0.03% | 0.04% |
| Expected Monthly | 0.53% | 0.74% |
| Expected Yearly | 4.76% | 6.69% |
| Kelly Criterion | -13.48% | 5.66% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -53.75% | -1.41% |
| Expected Shortfall (cVaR) | -53.75% | -1.41% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 2.83 | 0.15 |
| Gain/Pain (1M) | 24.03 | 0.78 |
| Payoff Ratio | 0.81 | 1.22 |
| Profit Factor | 3.83 | 1.15 |
| Common Sense Ratio | 4.62 | 1.39 |
| CPC Index | 1.53 | 0.67 |
| Tail Ratio | 1.21 | 1.22 |
| Outlier Win Ratio | 0.84 | 4.05 |
| Outlier Loss Ratio | 2.47 | 3.72 |
| MTD | -1.6% | 7.35% |
| 3M | 1.5% | 10.68% |
| 6M | 3.16% | 12.57% |
| YTD | 1.94% | 11.14% |
| 1Y | 3.44% | 12.86% |
| 3Y (ann.) | 6.72% | 9.49% |
| 5Y (ann.) | 6.72% | 9.49% |
| 10Y (ann.) | 6.72% | 9.49% |
| All-time (ann.) | 6.72% | 9.49% |
| Best Day | 889.97% | 8.19% |
| Worst Day | -90.11% | -3.01% |
| Best Month | 15.76% | 17.19% |
| Worst Month | -5.15% | -5.72% |
| Best Year | 20.6% | 20.05% |
| Worst Year | -1.98% | -3.22% |
| Avg. Drawdown | -10.44% | -4.53% |
| Avg. Drawdown Days | 84 | 127 |
| Recovery Factor | 0.23 | 1.89 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 5.96 | 0.28 |
| Avg. Up Month | 3.18% | 3.24% |
| Avg. Down Month | -2.29% | -2.45% |
| Win Days | 49.09% | 48.18% |
| Win Month | 51.43% | 57.14% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 75.0% |
| Beta | -0.44 | - |
| Alpha | 2.93 | - |
| Correlation | -1.16% | - |
| Treynor Ratio | -46.79% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | -3.22 | -1.98 | 0.61 | + |
| 2020 | 20.05 | 20.60 | 1.03 | + |
| 2021 | 0.36 | -0.05 | -0.15 | - |
| 2022 | 11.14 | 1.94 | 0.17 | - |
| 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 |