| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 406.79% | 81.86% |
| CAGR﹪ | 23.4% | 8.06% |
| Sharpe | 1.17 | 47.8 |
| Prob. Sharpe Ratio | 99.95% | - |
| Smart Sharpe | 1.17 | 47.61 |
| Sortino | 1.78 | - |
| Smart Sortino | 1.78 | - |
| Sortino/√2 | 1.26 | - |
| Smart Sortino/√2 | 1.26 | - |
| Omega | 1.25 | 1.25 |
| Max Drawdown | -27.3% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 19.76% | 0.16% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 0.86 | - |
| Skew | 0.9 | 1.09 |
| Kurtosis | 22.15 | 1.32 |
| Expected Daily | 0.08% | 0.03% |
| Expected Monthly | 1.76% | 0.65% |
| Expected Yearly | 19.76% | 6.87% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.01% |
| Expected Shortfall (cVaR) | -1.96% | -0.01% |
| Max Consecutive Wins | 10 | 1930 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.25 | - |
| Gain/Pain (1M) | 1.53 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.25 | - |
| Common Sense Ratio | 1.37 | - |
| CPC Index | - | - |
| Tail Ratio | 1.09 | 3.0 |
| Outlier Win Ratio | 2.16 | 57.39 |
| Outlier Loss Ratio | 1.83 | - |
| MTD | -5.39% | 0.71% |
| 3M | -7.24% | 2.13% |
| 6M | -2.07% | 3.86% |
| YTD | -8.28% | 1.36% |
| 1Y | 12.49% | 6.5% |
| 3Y (ann.) | 23.2% | 6.02% |
| 5Y (ann.) | 20.78% | 6.56% |
| 10Y (ann.) | 23.4% | 8.06% |
| All-time (ann.) | 23.4% | 8.06% |
| Best Day | 16.81% | 0.07% |
| Worst Day | -8.87% | 0.0% |
| Best Month | 22.85% | 1.28% |
| Worst Month | -8.88% | 0.37% |
| Best Year | 70.88% | 12.29% |
| Worst Year | -9.36% | 1.36% |
| Avg. Drawdown | -2.92% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 14.9 | - |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | 3.93 | - |
| Avg. Up Month | 4.75% | 0.63% |
| Avg. Down Month | - | - |
| Win Days | 55.07% | 100.0% |
| Win Month | 66.67% | 100.0% |
| Win Quarter | 68.75% | 100.0% |
| Win Year | 77.78% | 100.0% |
| Beta | 1.58 | - |
| Alpha | 0.11 | - |
| Correlation | 1.31% | - |
| Treynor Ratio | 257.53% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 6.09 | 70.88 | 11.64 | + |
| 2015 | 12.29 | 31.59 | 2.57 | + |
| 2016 | 9.60 | -9.36 | -0.98 | - |
| 2017 | 7.87 | 13.62 | 1.73 | + |
| 2018 | 6.96 | 12.83 | 1.84 | + |
| 2019 | 7.22 | 15.43 | 2.14 | + |
| 2020 | 4.97 | 44.05 | 8.86 | + |
| 2021 | 5.82 | 27.18 | 4.67 | + |
| 2022 | 1.36 | -8.28 | -6.07 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2014-12-17 | 2015-12-08 | -27.30 | 356 |
| 2018-09-11 | 2019-11-28 | -20.65 | 443 |
| 2020-02-21 | 2020-06-04 | -17.88 | 104 |
| 2016-01-22 | 2017-12-01 | -16.30 | 679 |
| 2022-01-05 | 2022-02-25 | -10.60 | 51 |
| 2018-01-30 | 2018-04-10 | -7.35 | 70 |
| 2020-09-03 | 2020-10-05 | -6.95 | 32 |
| 2021-08-31 | 2021-11-03 | -6.45 | 64 |
| 2021-11-23 | 2021-12-29 | -5.77 | 36 |
| 2021-04-13 | 2021-07-05 | -5.73 | 83 |