| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 37.83% | 16.15% |
| CAGR﹪ | 16.4% | 7.34% |
| Sharpe | 0.88 | 27.88 |
| Prob. Sharpe Ratio | 89.48% | 100.0% |
| Smart Sharpe | 0.77 | 24.18 |
| Sortino | 1.23 | 594.19 |
| Smart Sortino | 1.07 | 515.35 |
| Sortino/√2 | 0.87 | 420.15 |
| Smart Sortino/√2 | 0.76 | 364.41 |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -13.77% | -0.11% |
| Longest DD Days | 224 | 66 |
| Volatility (ann.) | 19.18% | 0.25% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 1.19 | 66.78 |
| Skew | -0.92 | -0.05 |
| Kurtosis | 9.16 | -0.28 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.24% | 0.58% |
| Expected Yearly | 11.29% | 5.12% |
| Kelly Criterion | -0.59% | 91.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.92% | -0.0% |
| Expected Shortfall (cVaR) | -1.92% | -0.0% |
| Max Consecutive Wins | 11 | 357 |
| Max Consecutive Losses | 7 | 43 |
| Gain/Pain Ratio | 0.18 | 136.08 |
| Gain/Pain (1M) | 1.83 | 136.08 |
| Payoff Ratio | 0.85 | 11.16 |
| Profit Factor | 1.18 | 137.08 |
| Common Sense Ratio | 1.19 | 3783.23 |
| CPC Index | 0.54 | 1406.94 |
| Tail Ratio | 1.01 | 27.6 |
| Outlier Win Ratio | 1.88 | 49.89 |
| Outlier Loss Ratio | 1.75 | 564.7 |
| MTD | -7.96% | 1.17% |
| 3M | -9.34% | 3.2% |
| 6M | -5.71% | 5.82% |
| YTD | -8.97% | 2.17% |
| 1Y | -3.86% | 9.24% |
| 3Y (ann.) | 16.4% | 7.34% |
| 5Y (ann.) | 16.4% | 7.34% |
| 10Y (ann.) | 16.4% | 7.34% |
| All-time (ann.) | 16.4% | 7.34% |
| Best Day | 5.59% | 0.06% |
| Worst Day | -9.12% | -0.0% |
| Best Month | 8.47% | 1.17% |
| Worst Month | -7.96% | -0.07% |
| Best Year | 37.05% | 8.39% |
| Worst Year | -8.97% | 2.17% |
| Avg. Drawdown | -2.86% | -0.11% |
| Avg. Drawdown Days | 20 | 66 |
| Recovery Factor | 2.75 | 146.84 |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 2.31 | 446.25 |
| Avg. Up Month | 2.85% | 0.65% |
| Avg. Down Month | - | - |
| Win Days | 53.79% | 91.95% |
| Win Month | 69.23% | 92.31% |
| Win Quarter | 77.78% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -3.75 | - |
| Alpha | 0.43 | - |
| Correlation | -4.95% | - |
| Treynor Ratio | -10.09% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 4.88 | 37.05 | 7.60 | + |
| 2021 | 8.39 | 10.48 | 1.25 | + |
| 2022 | 2.17 | -8.97 | -4.13 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-18 | 2020-04-29 | -13.77 | 71 |
| 2021-11-23 | 2022-02-25 | -12.56 | 94 |
| 2021-04-12 | 2021-11-22 | -7.36 | 224 |
| 2020-09-03 | 2020-09-29 | -5.68 | 26 |
| 2020-05-20 | 2020-06-05 | -5.10 | 16 |
| 2020-10-19 | 2020-11-09 | -4.85 | 21 |
| 2021-02-18 | 2021-04-01 | -4.48 | 42 |
| 2020-11-16 | 2020-12-21 | -3.17 | 35 |
| 2020-07-07 | 2020-07-23 | -3.14 | 16 |
| 2020-08-28 | 2020-09-02 | -3.12 | 5 |