| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 26.17% | 26.88% |
| CAGR﹪ | 6.2% | 6.36% |
| Sharpe | 0.36 | 68.69 |
| Prob. Sharpe Ratio | 75.77% | 100.0% |
| Smart Sharpe | 0.34 | 65.26 |
| Sortino | 0.48 | - |
| Smart Sortino | 0.45 | - |
| Sortino/√2 | 0.34 | - |
| Smart Sortino/√2 | 0.32 | - |
| Omega | 1.08 | 1.08 |
| Max Drawdown | -52.75% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 26.45% | 0.09% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.12 | - |
| Skew | -1.39 | 0.94 |
| Kurtosis | 21.0 | 2.57 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.5% | 0.51% |
| Expected Yearly | 4.76% | 4.88% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.7% | -0.02% |
| Expected Shortfall (cVaR) | -2.7% | -0.02% |
| Max Consecutive Wins | 11 | 977 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.08 | - |
| Gain/Pain (1M) | 0.4 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.08 | - |
| Common Sense Ratio | 0.97 | - |
| CPC Index | - | - |
| Tail Ratio | 0.9 | 1.88 |
| Outlier Win Ratio | 2.21 | 86.29 |
| Outlier Loss Ratio | 2.76 | - |
| MTD | -26.35% | 0.71% |
| 3M | -34.28% | 2.13% |
| 6M | -34.6% | 3.86% |
| YTD | -28.89% | 1.36% |
| 1Y | -21.36% | 6.5% |
| 3Y (ann.) | 3.45% | 6.02% |
| 5Y (ann.) | 6.2% | 6.36% |
| 10Y (ann.) | 6.2% | 6.36% |
| All-time (ann.) | 6.2% | 6.36% |
| Best Day | 10.19% | 0.05% |
| Worst Day | -15.17% | 0.0% |
| Best Month | 21.99% | 0.71% |
| Worst Month | -26.35% | 0.37% |
| Best Year | 27.98% | 7.22% |
| Worst Year | -28.89% | 1.36% |
| Avg. Drawdown | -3.66% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.5 | - |
| Ulcer Index | 0.13 | 0.0 |
| Serenity Index | 0.13 | - |
| Avg. Up Month | 4.15% | 0.49% |
| Avg. Down Month | - | - |
| Win Days | 53.54% | 100.0% |
| Win Month | 65.96% | 100.0% |
| Win Quarter | 68.75% | 100.0% |
| Win Year | 80.0% | 100.0% |
| Beta | -18.27 | - |
| Alpha | 1.22 | - |
| Correlation | -6.17% | - |
| Treynor Ratio | -1.43% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | 5.10 | 10.39 | 2.04 | + |
| 2019 | 7.22 | 27.98 | 3.87 | + |
| 2020 | 4.97 | 10.17 | 2.05 | + |
| 2021 | 5.82 | 14.00 | 2.41 | + |
| 2022 | 1.36 | -28.89 | -21.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-07-09 | 2022-02-25 | -52.75 | 231 |
| 2020-01-21 | 2020-11-25 | -33.57 | 309 |
| 2018-10-04 | 2019-02-05 | -9.87 | 124 |
| 2021-06-18 | 2021-07-05 | -9.05 | 17 |
| 2021-01-15 | 2021-03-12 | -6.84 | 56 |
| 2019-07-10 | 2019-09-04 | -5.77 | 56 |
| 2018-05-15 | 2018-07-02 | -4.97 | 48 |
| 2019-02-06 | 2019-04-10 | -4.52 | 63 |
| 2019-11-08 | 2020-01-13 | -4.45 | 66 |
| 2021-03-16 | 2021-05-05 | -4.25 | 50 |