| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 9.59% | 26.86% |
| CAGR﹪ | 2.4% | 6.35% |
| Sharpe | 0.23 | 64.71 |
| Prob. Sharpe Ratio | 67.0% | 100.0% |
| Smart Sharpe | 0.22 | 61.51 |
| Sortino | 0.3 | - |
| Smart Sortino | 0.28 | - |
| Sortino/√2 | 0.21 | - |
| Smart Sortino/√2 | 0.2 | - |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -31.18% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 16.28% | 0.1% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.08 | - |
| Skew | -2.93 | 1.63 |
| Kurtosis | 40.94 | 7.7 |
| Expected Daily | 0.01% | 0.02% |
| Expected Monthly | 0.2% | 0.51% |
| Expected Yearly | 1.85% | 4.87% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.67% | -0.01% |
| Expected Shortfall (cVaR) | -1.67% | -0.01% |
| Max Consecutive Wins | 9 | 970 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.05 | - |
| Gain/Pain (1M) | 0.26 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.05 | - |
| Common Sense Ratio | 1.31 | - |
| CPC Index | - | - |
| Tail Ratio | 1.25 | 1.88 |
| Outlier Win Ratio | 1.91 | 46.35 |
| Outlier Loss Ratio | 1.73 | - |
| MTD | -22.06% | 0.71% |
| 3M | -25.9% | 2.13% |
| 6M | -26.1% | 3.86% |
| YTD | -25.33% | 1.36% |
| 1Y | -25.02% | 6.5% |
| 3Y (ann.) | -0.69% | 6.02% |
| 5Y (ann.) | 2.4% | 6.35% |
| 10Y (ann.) | 2.4% | 6.35% |
| All-time (ann.) | 2.4% | 6.35% |
| Best Day | 6.75% | 0.06% |
| Worst Day | -13.35% | 0.0% |
| Best Month | 10.13% | 0.71% |
| Worst Month | -22.06% | 0.37% |
| Best Year | 27.38% | 7.22% |
| Worst Year | -25.33% | 1.36% |
| Avg. Drawdown | -3.22% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.31 | - |
| Ulcer Index | 0.06 | 0.0 |
| Serenity Index | 0.16 | - |
| Avg. Up Month | 2.73% | 0.51% |
| Avg. Down Month | - | - |
| Win Days | 49.28% | 100.0% |
| Win Month | 53.19% | 100.0% |
| Win Quarter | 43.75% | 100.0% |
| Win Year | 60.0% | 100.0% |
| Beta | -9.92 | - |
| Alpha | 0.65 | - |
| Correlation | -5.81% | - |
| Treynor Ratio | -0.97% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | 5.09 | 13.61 | 2.67 | + |
| 2019 | 7.22 | 4.43 | 0.61 | - |
| 2020 | 4.97 | 27.38 | 5.51 | + |
| 2021 | 5.82 | -2.88 | -0.50 | - |
| 2022 | 1.36 | -25.33 | -18.56 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-11-03 | 2022-02-25 | -31.18 | 479 |
| 2020-03-13 | 2020-08-21 | -14.94 | 161 |
| 2018-09-11 | 2019-05-02 | -7.07 | 233 |
| 2019-09-04 | 2020-02-25 | -6.63 | 174 |
| 2020-09-30 | 2020-11-02 | -3.98 | 33 |
| 2018-05-04 | 2018-06-15 | -3.68 | 42 |
| 2019-06-06 | 2019-07-31 | -3.40 | 55 |
| 2020-03-02 | 2020-03-05 | -2.49 | 3 |
| 2020-08-27 | 2020-09-07 | -2.40 | 11 |
| 2018-06-20 | 2018-07-19 | -2.06 | 29 |