| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 11.58% | 11.19% |
| CAGR﹪ | 10.95% | 10.58% |
| Sharpe | 0.87 | 0.78 |
| Prob. Sharpe Ratio | 81.92% | 80.77% |
| Smart Sharpe | 0.7 | 0.62 |
| Sortino | 1.36 | 1.47 |
| Smart Sortino | 1.09 | 1.18 |
| Sortino/√2 | 0.96 | 1.04 |
| Smart Sortino/√2 | 0.77 | 0.84 |
| Omega | 1.16 | 1.16 |
| Max Drawdown | -6.22% | -10.2% |
| Longest DD Days | 82 | 284 |
| Volatility (ann.) | 12.66% | 13.94% |
| R^2 | 0.46 | 0.46 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 1.76 | 1.04 |
| Skew | 0.54 | 3.25 |
| Kurtosis | 3.85 | 27.71 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.85% | 0.82% |
| Expected Yearly | 5.63% | 5.45% |
| Kelly Criterion | 9.69% | 9.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.27% | -1.4% |
| Expected Shortfall (cVaR) | -1.27% | -1.4% |
| Max Consecutive Wins | 8 | 5 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.16 | 0.17 |
| Gain/Pain (1M) | 1.54 | 1.81 |
| Payoff Ratio | 1.24 | 1.43 |
| Profit Factor | 1.16 | 1.17 |
| Common Sense Ratio | 1.31 | 1.62 |
| CPC Index | 0.72 | 0.78 |
| Tail Ratio | 1.12 | 1.39 |
| Outlier Win Ratio | 3.44 | 3.31 |
| Outlier Loss Ratio | 3.56 | 3.98 |
| MTD | 3.51% | 7.35% |
| 3M | 4.49% | 10.68% |
| 6M | 6.92% | 12.57% |
| YTD | 3.06% | 11.14% |
| 1Y | 13.69% | 12.86% |
| 3Y (ann.) | 10.95% | 10.58% |
| 5Y (ann.) | 10.95% | 10.58% |
| 10Y (ann.) | 10.95% | 10.58% |
| All-time (ann.) | 10.95% | 10.58% |
| Best Day | 4.04% | 8.19% |
| Worst Day | -3.07% | -2.64% |
| Best Month | 4.22% | 7.35% |
| Worst Month | -3.68% | -2.45% |
| Best Year | 8.27% | 11.14% |
| Worst Year | 3.06% | 0.05% |
| Avg. Drawdown | -2.74% | -2.91% |
| Avg. Drawdown Days | 30 | 41 |
| Recovery Factor | 1.86 | 1.1 |
| Ulcer Index | 0.03 | 0.05 |
| Serenity Index | 0.68 | 0.26 |
| Avg. Up Month | 2.65% | 2.35% |
| Avg. Down Month | -1.85% | -0.86% |
| Win Days | 50.0% | 46.84% |
| Win Month | 61.54% | 53.85% |
| Win Quarter | 60.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.62 | - |
| Alpha | 0.04 | - |
| Correlation | 67.95% | - |
| Treynor Ratio | 18.76% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.05 | 8.27 | 176.47 | + |
| 2022 | 11.14 | 3.06 | 0.27 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-07 | 2021-11-19 | -6.22 | 73 |
| 2021-02-12 | 2021-04-01 | -5.00 | 48 |
| 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 |