| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 38.84% | -11.14% |
| CAGR﹪ | 16.97% | -5.49% |
| Sharpe | -9.94 | -5.71 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -8.63 | -4.95 |
| Sortino | -9.0 | -5.95 |
| Smart Sortino | -7.81 | -5.17 |
| Sortino/√2 | -6.36 | -4.21 |
| Smart Sortino/√2 | -5.52 | -3.65 |
| Omega | 0.17 | 0.17 |
| Max Drawdown | -13.77% | -51.26% |
| Longest DD Days | 224 | 198 |
| Volatility (ann.) | 19.25% | 36.3% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 1.23 | -0.11 |
| Skew | -0.92 | -4.95 |
| Kurtosis | 9.1 | 96.62 |
| Expected Daily | 0.06% | -0.02% |
| Expected Monthly | 1.27% | -0.45% |
| Expected Yearly | 11.56% | -3.86% |
| Kelly Criterion | 0.55% | 1.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.92% | -3.75% |
| Expected Shortfall (cVaR) | -1.92% | -3.75% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | 0.18 | 0.01 |
| Gain/Pain (1M) | 1.93 | 0.05 |
| Payoff Ratio | 0.86 | 0.83 |
| Profit Factor | 1.18 | 1.01 |
| Common Sense Ratio | 1.19 | 0.83 |
| CPC Index | 0.55 | 0.46 |
| Tail Ratio | 1.0 | 0.82 |
| Outlier Win Ratio | 3.94 | 3.15 |
| Outlier Loss Ratio | 5.15 | 3.42 |
| MTD | -7.96% | -30.02% |
| 3M | -9.34% | -36.5% |
| 6M | -5.71% | -35.02% |
| YTD | -8.97% | -34.42% |
| 1Y | -3.86% | -22.51% |
| 3Y (ann.) | 16.97% | -5.49% |
| 5Y (ann.) | 16.97% | -5.49% |
| 10Y (ann.) | 16.97% | -5.49% |
| All-time (ann.) | 16.97% | -5.49% |
| Best Day | 5.59% | 20.04% |
| Worst Day | -9.12% | -33.28% |
| Best Month | 8.47% | 15.51% |
| Worst Month | -7.96% | -30.02% |
| Best Year | 38.06% | 21.79% |
| Worst Year | -8.97% | -34.42% |
| Avg. Drawdown | -2.92% | -4.11% |
| Avg. Drawdown Days | 20 | 20 |
| Recovery Factor | 2.82 | -0.22 |
| Ulcer Index | 0.03 | 0.09 |
| Serenity Index | -40.21 | -9.63 |
| Avg. Up Month | 3.21% | 4.66% |
| Avg. Down Month | -3.29% | -11.47% |
| Win Days | 54.11% | 55.39% |
| Win Month | 72.0% | 57.69% |
| Win Quarter | 77.78% | 66.67% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.2 | - |
| Alpha | 0.17 | - |
| Correlation | 37.14% | - |
| Treynor Ratio | -3357.81% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 11.26 | 38.06 | 3.38 | + |
| 2021 | 21.79 | 10.48 | 0.48 | - |
| 2022 | -34.42 | -8.97 | 0.26 | + |
| 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 | 2020-09-28 | -5.68 | 25 |
| 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 |