| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 5.24% | 6.98% |
| CAGR﹪ | 7.41% | 9.89% |
| Sharpe | 0.44 | 32.76 |
| Prob. Sharpe Ratio | 64.59% | - |
| Smart Sharpe | 0.3 | 21.86 |
| Sortino | 0.62 | - |
| Smart Sortino | 0.41 | - |
| Sortino/√2 | 0.44 | - |
| Smart Sortino/√2 | 0.29 | - |
| Omega | 1.11 | 1.11 |
| Max Drawdown | -13.65% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 20.57% | 0.28% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.54 | - |
| Skew | -0.46 | -0.31 |
| Kurtosis | 30.98 | -1.0 |
| Expected Daily | 0.03% | 0.04% |
| Expected Monthly | 0.57% | 0.75% |
| Expected Yearly | 2.59% | 3.43% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.1% | -0.01% |
| Expected Shortfall (cVaR) | -2.1% | -0.01% |
| Max Consecutive Wins | 6 | 183 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.11 | - |
| Gain/Pain (1M) | 3.1 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.11 | - |
| Common Sense Ratio | 1.08 | - |
| CPC Index | - | - |
| Tail Ratio | 0.97 | 8.37 |
| Outlier Win Ratio | 2.1 | 36.99 |
| Outlier Loss Ratio | 1.9 | - |
| MTD | -0.8% | 1.17% |
| 3M | -2.0% | 3.2% |
| 6M | 1.37% | 5.82% |
| YTD | -0.62% | 2.17% |
| 1Y | 5.24% | 6.98% |
| 3Y (ann.) | 7.41% | 9.89% |
| 5Y (ann.) | 7.41% | 9.89% |
| 10Y (ann.) | 7.41% | 9.89% |
| All-time (ann.) | 7.41% | 9.89% |
| Best Day | 9.28% | 0.06% |
| Worst Day | -9.77% | 0.0% |
| Best Month | 3.24% | 1.17% |
| Worst Month | -2.09% | 0.17% |
| Best Year | 5.9% | 4.71% |
| Worst Year | -0.62% | 2.17% |
| Avg. Drawdown | -1.88% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.38 | - |
| Ulcer Index | 0.04 | 0.0 |
| Serenity Index | 0.28 | - |
| Avg. Up Month | 1.37% | 0.67% |
| Avg. Down Month | - | - |
| Win Days | 55.31% | 100.0% |
| Win Month | 66.67% | 100.0% |
| Win Quarter | 25.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -2.13 | - |
| Alpha | 0.29 | - |
| Correlation | -2.93% | - |
| Treynor Ratio | -2.46% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.71 | 5.90 | 1.25 | + |
| 2022 | 2.17 | -0.62 | -0.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-13 | 2022-02-25 | -13.65 | 135 |
| 2021-07-13 | 2021-08-10 | -3.12 | 28 |
| 2021-09-16 | 2021-09-27 | -2.14 | 11 |
| 2021-08-19 | 2021-08-30 | -1.55 | 11 |
| 2021-10-06 | 2021-10-07 | -0.86 | 1 |
| 2021-09-28 | 2021-10-05 | -0.72 | 7 |
| 2021-06-15 | 2021-07-01 | -0.61 | 16 |
| 2021-09-08 | 2021-09-14 | -0.41 | 6 |
| 2021-09-03 | 2021-09-06 | -0.38 | 3 |
| 2021-08-12 | 2021-08-16 | -0.31 | 4 |