| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 93.0% | 93.0% |
| Cumulative Return | 9.0% | 7.58% |
| CAGR﹪ | 473.69% | 340.03% |
| Sharpe | 6.87 | 4.2 |
| Prob. Sharpe Ratio | 95.78% | 85.07% |
| Smart Sharpe | 6.62 | 4.05 |
| Sortino | 18.16 | 12.44 |
| Smart Sortino | 17.5 | 11.98 |
| Sortino/√2 | 12.84 | 8.79 |
| Smart Sortino/√2 | 12.37 | 8.47 |
| Omega | 3.18 | 3.18 |
| Max Drawdown | -1.74% | -1.89% |
| Longest DD Days | 3 | 3 |
| Volatility (ann.) | 21.98% | 30.8% |
| R^2 | 0.7 | 0.7 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 271.67 | 179.54 |
| Skew | 0.84 | 2.04 |
| Kurtosis | 1.36 | 5.72 |
| Expected Daily | 0.62% | 0.52% |
| Expected Monthly | 9.0% | 7.58% |
| Expected Yearly | 9.0% | 7.58% |
| Kelly Criterion | 51.07% | 36.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.65% | -2.65% |
| Expected Shortfall (cVaR) | -1.65% | -2.65% |
| Max Consecutive Wins | 6 | 3 |
| Max Consecutive Losses | 2 | 2 |
| Gain/Pain Ratio | 2.36 | 1.58 |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | 1.69 | 2.73 |
| Profit Factor | 3.36 | 2.58 |
| Common Sense Ratio | 8.1 | 6.62 |
| CPC Index | 3.94 | 3.8 |
| Tail Ratio | 2.41 | 2.56 |
| Outlier Win Ratio | 3.77 | 3.05 |
| Outlier Loss Ratio | 1.62 | 1.89 |
| MTD | 9.0% | 7.58% |
| 3M | 9.0% | 7.58% |
| 6M | 9.0% | 7.58% |
| YTD | 9.0% | 7.58% |
| 1Y | 9.0% | 7.58% |
| 3Y (ann.) | 473.69% | 340.03% |
| 5Y (ann.) | 473.69% | 340.03% |
| 10Y (ann.) | 473.69% | 340.03% |
| All-time (ann.) | 473.69% | 340.03% |
| Best Day | 3.98% | 6.24% |
| Worst Day | -1.24% | -1.89% |
| Best Month | 9.0% | 7.58% |
| Worst Month | 9.0% | 7.58% |
| Best Year | 9.0% | 7.58% |
| Worst Year | 9.0% | 7.58% |
| Avg. Drawdown | -1.24% | -1.12% |
| Avg. Drawdown Days | 2 | 2 |
| Recovery Factor | 5.16 | 4.0 |
| Ulcer Index | 0.01 | 0.01 |
| Serenity Index | 2.99 | 0.93 |
| Avg. Up Month | 9.0% | 7.58% |
| Avg. Down Month | - | - |
| Win Days | 69.23% | 53.85% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.6 | - |
| Alpha | 0.77 | - |
| Correlation | 83.49% | - |
| Treynor Ratio | 3.35% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 7.58 | 9.00 | 1.19 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-15 | 2022-02-18 | -1.74 | 3 |
| 2022-02-10 | 2022-02-11 | -1.24 | 1 |
| 2022-02-08 | 2022-02-09 | -0.72 | 1 |