| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 2.34% | 12.98% |
| CAGR﹪ | 3.12% | 17.65% |
| Sharpe | 0.29 | 1.12 |
| Prob. Sharpe Ratio | 59.9% | 86.55% |
| Smart Sharpe | 0.29 | 1.12 |
| Sortino | 0.42 | 2.26 |
| Smart Sortino | 0.42 | 2.25 |
| Sortino/√2 | 0.3 | 1.6 |
| Smart Sortino/√2 | 0.29 | 1.59 |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -6.97% | -7.0% |
| Longest DD Days | 88 | 136 |
| Volatility (ann.) | 13.76% | 15.18% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.45 | 2.52 |
| Skew | -0.14 | 3.46 |
| Kurtosis | 6.98 | 27.16 |
| Expected Daily | 0.01% | 0.06% |
| Expected Monthly | 0.23% | 1.23% |
| Expected Yearly | 1.16% | 6.29% |
| Kelly Criterion | 6.21% | 4.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.41% | -1.5% |
| Expected Shortfall (cVaR) | -1.41% | -1.5% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.05 | 0.26 |
| Gain/Pain (1M) | 0.39 | 3.73 |
| Payoff Ratio | 1.26 | 1.24 |
| Profit Factor | 1.05 | 1.26 |
| Common Sense Ratio | 1.3 | 1.79 |
| CPC Index | 0.63 | 0.74 |
| Tail Ratio | 1.23 | 1.42 |
| Outlier Win Ratio | 4.24 | 3.88 |
| Outlier Loss Ratio | 3.32 | 3.72 |
| MTD | -4.84% | 7.35% |
| 3M | -3.21% | 10.68% |
| 6M | -1.0% | 12.57% |
| YTD | -3.73% | 11.14% |
| 1Y | 2.34% | 12.98% |
| 3Y (ann.) | 3.12% | 17.65% |
| 5Y (ann.) | 3.12% | 17.65% |
| 10Y (ann.) | 3.12% | 17.65% |
| All-time (ann.) | 3.12% | 17.65% |
| Best Day | 3.82% | 8.19% |
| Worst Day | -4.88% | -2.64% |
| Best Month | 4.99% | 7.35% |
| Worst Month | -4.84% | -2.45% |
| Best Year | 6.3% | 11.14% |
| Worst Year | -3.73% | 1.65% |
| Avg. Drawdown | -2.23% | -2.33% |
| Avg. Drawdown Days | 21 | 21 |
| Recovery Factor | 0.34 | 1.85 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 0.17 | 0.96 |
| Avg. Up Month | 2.68% | 2.19% |
| Avg. Down Month | -1.05% | -1.17% |
| Win Days | 47.64% | 47.4% |
| Win Month | 50.0% | 60.0% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 0.36 | - |
| Alpha | -0.02 | - |
| Correlation | 39.63% | - |
| Treynor Ratio | 6.5% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.65 | 6.30 | 3.81 | + |
| 2022 | 11.14 | -3.73 | -0.33 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-27 | 2022-02-25 | -6.97 | 29 |
| 2021-08-20 | 2021-11-16 | -5.58 | 88 |
| 2021-11-29 | 2022-01-05 | -3.50 | 37 |
| 2022-01-06 | 2022-01-24 | -3.42 | 18 |
| 2021-06-02 | 2021-07-01 | -2.10 | 29 |
| 2021-07-20 | 2021-08-19 | -1.44 | 30 |
| 2021-11-23 | 2021-11-26 | -1.34 | 3 |
| 2021-11-17 | 2021-11-19 | -0.73 | 2 |
| 2021-07-16 | 2021-07-19 | -0.54 | 3 |
| 2021-07-08 | 2021-07-15 | -0.46 | 7 |