| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 98.0% |
| Cumulative Return | 7.44% | 2.93% |
| CAGR﹪ | 44.59% | 16.02% |
| Sharpe | 1.31 | 71.33 |
| Prob. Sharpe Ratio | 70.85% | 100.0% |
| Smart Sharpe | 0.89 | 48.55 |
| Sortino | 1.8 | - |
| Smart Sortino | 1.22 | - |
| Sortino/√2 | 1.27 | - |
| Smart Sortino/√2 | 0.86 | - |
| Omega | 1.27 | 1.27 |
| Max Drawdown | -11.42% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 32.09% | 0.21% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 3.9 | - |
| Skew | -0.93 | -1.78 |
| Kurtosis | 5.1 | 7.01 |
| Expected Daily | 0.15% | 0.06% |
| Expected Monthly | 2.42% | 0.97% |
| Expected Yearly | 3.65% | 1.46% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.16% | -0.04% |
| Expected Shortfall (cVaR) | -3.16% | -0.04% |
| Max Consecutive Wins | 8 | 48 |
| Max Consecutive Losses | 4 | 0 |
| Gain/Pain Ratio | 0.27 | - |
| Gain/Pain (1M) | 1.58 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.27 | - |
| Common Sense Ratio | 1.12 | - |
| CPC Index | - | - |
| Tail Ratio | 0.88 | 1.51 |
| Outlier Win Ratio | 1.77 | 39.68 |
| Outlier Loss Ratio | 1.96 | - |
| MTD | 5.62% | 1.17% |
| 3M | 7.44% | 2.93% |
| 6M | 7.44% | 2.93% |
| YTD | -0.28% | 2.17% |
| 1Y | 7.44% | 2.93% |
| 3Y (ann.) | 44.59% | 16.02% |
| 5Y (ann.) | 44.59% | 16.02% |
| 10Y (ann.) | 44.59% | 16.02% |
| All-time (ann.) | 44.59% | 16.02% |
| Best Day | 6.15% | 0.07% |
| Worst Day | -7.75% | 0.0% |
| Best Month | 7.74% | 1.17% |
| Worst Month | -5.59% | 0.75% |
| Best Year | 7.74% | 2.17% |
| Worst Year | -0.28% | 0.75% |
| Avg. Drawdown | -4.81% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.65 | - |
| Ulcer Index | 0.07 | 0.0 |
| Serenity Index | 0.18 | - |
| Avg. Up Month | 6.68% | 0.96% |
| Avg. Down Month | - | - |
| Win Days | 58.33% | 100.0% |
| Win Month | 66.67% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 23.95 | - |
| Alpha | -3.14 | - |
| Correlation | 15.56% | - |
| Treynor Ratio | 0.31% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.75 | 7.74 | 10.39 | + |
| 2022 | 2.17 | -0.28 | -0.13 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-10 | 2022-02-25 | -11.42 | 46 |
| 2021-12-20 | 2021-12-22 | -2.78 | 2 |
| 2022-01-03 | 2022-01-04 | -0.24 | 1 |