| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 10.4% | 9.96% |
| CAGR﹪ | 9.75% | 9.35% |
| Sharpe | 0.79 | 37.01 |
| Prob. Sharpe Ratio | 79.59% | - |
| Smart Sharpe | 0.63 | 29.83 |
| Sortino | 1.22 | - |
| Smart Sortino | 0.99 | - |
| Sortino/√2 | 0.87 | - |
| Smart Sortino/√2 | 0.7 | - |
| Omega | 1.15 | 1.15 |
| Max Drawdown | -6.22% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 12.63% | 0.24% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.57 | - |
| Skew | 0.55 | -0.02 |
| Kurtosis | 3.86 | -0.37 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.76% | 0.73% |
| Expected Yearly | 5.07% | 4.86% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -0.01% |
| Expected Shortfall (cVaR) | -1.27% | -0.01% |
| Max Consecutive Wins | 8 | 272 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.15 | - |
| Gain/Pain (1M) | 1.23 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.15 | - |
| Common Sense Ratio | 1.3 | - |
| CPC Index | - | - |
| Tail Ratio | 1.14 | 8.37 |
| Outlier Win Ratio | 1.59 | 27.88 |
| Outlier Loss Ratio | 1.85 | - |
| MTD | 3.51% | 1.17% |
| 3M | 4.49% | 3.2% |
| 6M | 6.92% | 5.82% |
| YTD | 3.06% | 2.17% |
| 1Y | 13.69% | 9.25% |
| 3Y (ann.) | 9.75% | 9.35% |
| 5Y (ann.) | 9.75% | 9.35% |
| 10Y (ann.) | 9.75% | 9.35% |
| All-time (ann.) | 9.75% | 9.35% |
| Best Day | 4.04% | 0.06% |
| Worst Day | -3.07% | 0.0% |
| Best Month | 4.22% | 1.17% |
| Worst Month | -3.68% | 0.17% |
| Best Year | 7.12% | 7.63% |
| Worst Year | 3.06% | 2.17% |
| Avg. Drawdown | -3.34% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.67 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.57 | - |
| Avg. Up Month | 2.4% | 0.72% |
| Avg. Down Month | - | - |
| Win Days | 49.81% | 100.0% |
| Win Month | 61.54% | 100.0% |
| Win Quarter | 60.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 1.12 | - |
| Alpha | 0.0 | - |
| Correlation | 2.1% | - |
| Treynor Ratio | 9.3% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.63 | 7.12 | 0.93 | - |
| 2022 | 2.17 | 3.06 | 1.41 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-07 | 2021-11-19 | -6.22 | 73 |
| 2021-02-04 | 2021-04-01 | -5.96 | 56 |
| 2022-01-06 | 2022-02-21 | -4.87 | 46 |
| 2021-04-21 | 2021-07-12 | -4.84 | 82 |
| 2021-11-23 | 2021-12-30 | -3.84 | 37 |
| 2021-07-13 | 2021-09-06 | -2.61 | 55 |
| 2022-02-22 | 2022-02-24 | -2.15 | 2 |
| 2021-04-07 | 2021-04-19 | -1.70 | 12 |
| 2022-02-25 | 2022-02-25 | -0.62 | 0 |
| 2022-01-03 | 2022-01-04 | -0.57 | 1 |