| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 98.0% |
| Cumulative Return | 5.55% | 2.93% |
| CAGR﹪ | 31.98% | 16.02% |
| Sharpe | 1.18 | 76.84 |
| Prob. Sharpe Ratio | 69.1% | 100.0% |
| Smart Sharpe | 1.07 | 70.15 |
| Sortino | 1.71 | - |
| Smart Sortino | 1.56 | - |
| Sortino/√2 | 1.21 | - |
| Smart Sortino/√2 | 1.1 | - |
| Omega | 1.27 | 1.27 |
| Max Drawdown | -9.94% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 27.22% | 0.2% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 3.22 | - |
| Skew | -0.37 | -2.31 |
| Kurtosis | 6.98 | 10.56 |
| Expected Daily | 0.11% | 0.06% |
| Expected Monthly | 1.82% | 0.97% |
| Expected Yearly | 2.74% | 1.46% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.69% | -0.04% |
| Expected Shortfall (cVaR) | -2.69% | -0.04% |
| Max Consecutive Wins | 5 | 47 |
| Max Consecutive Losses | 3 | 0 |
| Gain/Pain Ratio | 0.27 | - |
| Gain/Pain (1M) | 3.02 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.27 | - |
| Common Sense Ratio | 1.91 | - |
| CPC Index | - | - |
| Tail Ratio | 1.51 | 1.43 |
| Outlier Win Ratio | 2.29 | 38.89 |
| Outlier Loss Ratio | 2.22 | - |
| MTD | 6.35% | 1.17% |
| 3M | 5.55% | 2.93% |
| 6M | 5.55% | 2.93% |
| YTD | 3.81% | 2.17% |
| 1Y | 5.55% | 2.93% |
| 3Y (ann.) | 31.98% | 16.02% |
| 5Y (ann.) | 31.98% | 16.02% |
| 10Y (ann.) | 31.98% | 16.02% |
| All-time (ann.) | 31.98% | 16.02% |
| Best Day | 6.2% | 0.07% |
| Worst Day | -6.57% | 0.0% |
| Best Month | 6.35% | 1.17% |
| Worst Month | -2.39% | 0.75% |
| Best Year | 3.81% | 2.17% |
| Worst Year | 1.67% | 0.75% |
| Avg. Drawdown | -4.07% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.56 | - |
| Ulcer Index | 0.06 | 0.0 |
| Serenity Index | 0.17 | - |
| Avg. Up Month | 4.01% | 0.96% |
| Avg. Down Month | - | - |
| Win Days | 57.45% | 100.0% |
| Win Month | 66.67% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 9.46 | - |
| Alpha | -1.12 | - |
| Correlation | 6.87% | - |
| Treynor Ratio | 0.59% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.75 | 1.67 | 2.24 | + |
| 2022 | 2.17 | 3.81 | 1.76 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-10 | 2022-02-25 | -9.94 | 46 |
| 2021-12-20 | 2021-12-29 | -2.22 | 9 |
| 2022-01-03 | 2022-01-04 | -0.04 | 1 |