| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 97.0% |
| Cumulative Return | 20.94% | 2.09% |
| CAGR﹪ | 422.03% | 19.67% |
| Sharpe | 1.77 | 70.41 |
| Prob. Sharpe Ratio | 78.07% | 99.71% |
| Smart Sharpe | 1.23 | 48.93 |
| Sortino | 5.07 | - |
| Smart Sortino | 3.52 | - |
| Sortino/√2 | 3.58 | - |
| Smart Sortino/√2 | 2.49 | - |
| Omega | 2.1 | 2.1 |
| Max Drawdown | -14.95% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 127.34% | 0.25% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.1 | 0.1 |
| Calmar | 28.23 | - |
| Skew | 4.15 | -2.99 |
| Kurtosis | 22.45 | 13.33 |
| Expected Daily | 0.64% | 0.07% |
| Expected Monthly | 9.97% | 1.04% |
| Expected Yearly | 20.94% | 2.09% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -12.3% | -0.04% |
| Expected Shortfall (cVaR) | -12.3% | -0.04% |
| Max Consecutive Wins | 5 | 29 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 1.1 | - |
| Gain/Pain (1M) | 30.55 | - |
| Payoff Ratio | - | - |
| Profit Factor | 2.1 | - |
| Common Sense Ratio | 2.02 | - |
| CPC Index | - | - |
| Tail Ratio | 0.96 | 1.27 |
| Outlier Win Ratio | 4.3 | 213.79 |
| Outlier Loss Ratio | 3.5 | - |
| MTD | 22.11% | 1.17% |
| 3M | 20.94% | 2.09% |
| 6M | 20.94% | 2.09% |
| YTD | 20.94% | 2.09% |
| 1Y | 20.94% | 2.09% |
| 3Y (ann.) | 422.03% | 19.67% |
| 5Y (ann.) | 422.03% | 19.67% |
| 10Y (ann.) | 422.03% | 19.67% |
| All-time (ann.) | 422.03% | 19.67% |
| Best Day | 40.48% | 0.08% |
| Worst Day | -14.95% | 0.0% |
| Best Month | 22.11% | 1.17% |
| Worst Month | -0.95% | 0.91% |
| Best Year | 20.94% | 2.09% |
| Worst Year | 20.94% | 2.09% |
| Avg. Drawdown | -5.51% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.4 | - |
| Ulcer Index | 0.05 | 0.0 |
| Serenity Index | 4.19 | - |
| Avg. Up Month | 22.11% | 1.17% |
| Avg. Down Month | - | - |
| Win Days | 48.28% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -18.55 | - |
| Alpha | 5.48 | - |
| Correlation | -3.59% | - |
| Treynor Ratio | -1.13% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 2.09 | 20.94 | 10.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2022-02-25 | -14.95 | 0 |
| 2022-01-27 | 2022-02-24 | -6.17 | 28 |
| 2022-01-17 | 2022-01-24 | -0.62 | 7 |
| 2022-01-25 | 2022-01-26 | -0.29 | 1 |