| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 117.56% | 27.15% |
| CAGR﹪ | 21.24% | 6.13% |
| Sharpe | 0.72 | 18.46 |
| Prob. Sharpe Ratio | 89.42% | 100.0% |
| Smart Sharpe | 0.53 | 13.66 |
| Sortino | 0.99 | - |
| Smart Sortino | 0.74 | - |
| Sortino/√2 | 0.7 | - |
| Smart Sortino/√2 | 0.52 | - |
| Omega | 1.22 | 1.22 |
| Max Drawdown | -60.1% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 59.87% | 0.38% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.35 | - |
| Skew | -1.83 | 11.42 |
| Kurtosis | 71.63 | 154.25 |
| Expected Daily | 0.09% | 0.03% |
| Expected Monthly | 1.78% | 0.55% |
| Expected Yearly | 16.82% | 4.92% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.03% | -0.01% |
| Expected Shortfall (cVaR) | -6.03% | -0.01% |
| Max Consecutive Wins | 8 | 851 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.22 | - |
| Gain/Pain (1M) | 1.61 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.22 | - |
| Common Sense Ratio | 1.51 | - |
| CPC Index | - | - |
| Tail Ratio | 1.24 | 2.53 |
| Outlier Win Ratio | 1.77 | 110.69 |
| Outlier Loss Ratio | 1.92 | - |
| MTD | 1.11% | 1.13% |
| 3M | -5.71% | 3.77% |
| 6M | 37.63% | 5.9% |
| YTD | 100.37% | 8.66% |
| 1Y | 108.81% | 10.0% |
| 3Y (ann.) | 5.38% | 6.38% |
| 5Y (ann.) | 21.24% | 6.13% |
| 10Y (ann.) | 21.24% | 6.13% |
| All-time (ann.) | 21.24% | 6.13% |
| Best Day | 32.07% | 0.38% |
| Worst Day | -53.07% | 0.0% |
| Best Month | 22.61% | 1.13% |
| Worst Month | -52.11% | 0.37% |
| Best Year | 100.37% | 8.66% |
| Worst Year | -53.26% | 1.47% |
| Avg. Drawdown | -5.78% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.96 | - |
| Ulcer Index | 0.22 | 0.0 |
| Serenity Index | 0.47 | - |
| Avg. Up Month | 6.91% | 0.54% |
| Avg. Down Month | - | - |
| Win Days | 53.37% | 100.0% |
| Win Month | 68.18% | 100.0% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 80.0% | 100.0% |
| Beta | -15.81 | - |
| Alpha | 1.55 | - |
| Correlation | -10.17% | - |
| Treynor Ratio | -7.44% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 1.47 | 2.85 | 1.94 | + |
| 2020 | 4.97 | 85.91 | 17.29 | + |
| 2021 | 5.82 | 21.50 | 3.70 | + |
| 2022 | 3.82 | -53.26 | -13.95 | - |
| 2023 | 8.66 | 100.37 | 11.59 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2023-09-04 | -60.10 | 650 |
| 2020-05-25 | 2020-08-26 | -27.18 | 93 |
| 2023-09-05 | 2023-11-03 | -14.83 | 59 |
| 2020-02-21 | 2020-03-27 | -13.74 | 35 |
| 2020-09-03 | 2020-10-14 | -13.68 | 41 |
| 2021-02-17 | 2021-04-09 | -11.84 | 51 |
| 2021-09-09 | 2021-11-22 | -11.22 | 74 |
| 2021-04-14 | 2021-06-24 | -10.73 | 71 |
| 2020-10-15 | 2021-02-11 | -9.85 | 119 |
| 2020-03-30 | 2020-04-14 | -7.36 | 15 |