| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 38.84% | 34.08% |
| CAGR﹪ | 16.97% | 15.04% |
| Sharpe | 0.91 | 0.96 |
| Prob. Sharpe Ratio | 89.94% | 93.08% |
| Smart Sharpe | 0.79 | 0.84 |
| Sortino | 1.26 | 1.71 |
| Smart Sortino | 1.1 | 1.49 |
| Sortino/√2 | 0.89 | 1.21 |
| Smart Sortino/√2 | 0.78 | 1.05 |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -13.77% | -15.67% |
| Longest DD Days | 224 | 707 |
| Volatility (ann.) | 19.25% | 15.73% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.23 | 0.96 |
| Skew | -0.92 | 2.03 |
| Kurtosis | 9.1 | 13.7 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.27% | 1.13% |
| Expected Yearly | 11.56% | 10.27% |
| Kelly Criterion | 13.88% | 7.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.92% | -1.57% |
| Expected Shortfall (cVaR) | -1.92% | -1.57% |
| Max Consecutive Wins | 11 | 6 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.18 | 0.2 |
| Gain/Pain (1M) | 1.93 | 1.25 |
| Payoff Ratio | 1.14 | 1.31 |
| Profit Factor | 1.18 | 1.2 |
| Common Sense Ratio | 1.19 | 1.66 |
| CPC Index | 0.73 | 0.75 |
| Tail Ratio | 1.0 | 1.38 |
| Outlier Win Ratio | 3.53 | 3.76 |
| Outlier Loss Ratio | 2.88 | 4.1 |
| MTD | -7.96% | 7.35% |
| 3M | -9.34% | 10.68% |
| 6M | -5.71% | 12.57% |
| YTD | -8.97% | 11.14% |
| 1Y | -3.86% | 12.86% |
| 3Y (ann.) | 16.97% | 15.04% |
| 5Y (ann.) | 16.97% | 15.04% |
| 10Y (ann.) | 16.97% | 15.04% |
| All-time (ann.) | 16.97% | 15.04% |
| Best Day | 5.59% | 8.19% |
| Worst Day | -9.12% | -3.01% |
| Best Month | 8.47% | 17.19% |
| Worst Month | -7.96% | -5.72% |
| Best Year | 38.06% | 20.21% |
| Worst Year | -8.97% | 0.36% |
| Avg. Drawdown | -2.92% | -3.36% |
| Avg. Drawdown Days | 20 | 92 |
| Recovery Factor | 2.82 | 2.18 |
| Ulcer Index | 0.03 | 0.08 |
| Serenity Index | 2.36 | 0.3 |
| Avg. Up Month | 3.0% | 3.9% |
| Avg. Down Month | -2.16% | -2.91% |
| Win Days | 54.11% | 47.64% |
| Win Month | 72.0% | 57.69% |
| Win Quarter | 77.78% | 55.56% |
| Win Year | 66.67% | 100.0% |
| Beta | 0.06 | - |
| Alpha | 0.17 | - |
| Correlation | 5.2% | - |
| Treynor Ratio | 610.61% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 20.21 | 38.06 | 1.88 | + |
| 2021 | 0.36 | 10.48 | 29.42 | + |
| 2022 | 11.14 | -8.97 | -0.81 | - |
| 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 |