| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 71.73% | 18.41% |
| CAGR﹪ | 20.62% | 6.03% |
| Sharpe | 0.97 | 66.02 |
| Prob. Sharpe Ratio | 93.89% | - |
| Smart Sharpe | 0.76 | 52.2 |
| Sortino | 1.35 | - |
| Smart Sortino | 1.07 | - |
| Sortino/√2 | 0.96 | - |
| Smart Sortino/√2 | 0.76 | - |
| Omega | 1.23 | 1.23 |
| Max Drawdown | -22.08% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 21.83% | 0.09% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.93 | - |
| Skew | -1.36 | 0.98 |
| Kurtosis | 53.82 | 1.29 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.56% | 0.48% |
| Expected Yearly | 14.48% | 4.32% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.18% | -0.01% |
| Expected Shortfall (cVaR) | -2.18% | -0.01% |
| Max Consecutive Wins | 11 | 728 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.23 | - |
| Gain/Pain (1M) | 1.97 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.23 | - |
| Common Sense Ratio | 1.44 | - |
| CPC Index | - | - |
| Tail Ratio | 1.17 | 1.94 |
| Outlier Win Ratio | 2.03 | 70.41 |
| Outlier Loss Ratio | 1.69 | - |
| MTD | -5.99% | 0.71% |
| 3M | -7.25% | 2.13% |
| 6M | -2.29% | 3.86% |
| YTD | -9.67% | 1.36% |
| 1Y | 12.89% | 6.5% |
| 3Y (ann.) | 20.62% | 6.03% |
| 5Y (ann.) | 20.62% | 6.03% |
| 10Y (ann.) | 20.62% | 6.03% |
| All-time (ann.) | 20.62% | 6.03% |
| Best Day | 14.69% | 0.04% |
| Worst Day | -17.35% | 0.0% |
| Best Month | 10.45% | 0.71% |
| Worst Month | -6.59% | 0.37% |
| Best Year | 39.15% | 5.82% |
| Worst Year | -9.67% | 1.36% |
| Avg. Drawdown | -2.67% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 3.25 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 4.57 | - |
| Avg. Up Month | 3.65% | 0.47% |
| Avg. Down Month | - | - |
| Win Days | 55.45% | 100.0% |
| Win Month | 71.43% | 100.0% |
| Win Quarter | 83.33% | 100.0% |
| Win Year | 75.0% | 100.0% |
| Beta | -10.64 | - |
| Alpha | 0.83 | - |
| Correlation | -4.32% | - |
| Treynor Ratio | -6.74% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 5.17 | 6.49 | 1.25 | + |
| 2020 | 4.97 | 39.15 | 7.88 | + |
| 2021 | 5.82 | 28.31 | 4.87 | + |
| 2022 | 1.36 | -9.67 | -7.09 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2022-02-25 | -22.08 | 50 |
| 2020-02-21 | 2020-06-08 | -17.10 | 108 |
| 2020-09-03 | 2020-10-12 | -7.56 | 39 |
| 2021-08-26 | 2021-11-03 | -6.58 | 69 |
| 2019-05-06 | 2019-07-29 | -6.07 | 84 |
| 2021-11-23 | 2021-12-29 | -5.89 | 36 |
| 2021-04-13 | 2021-07-05 | -5.62 | 83 |
| 2020-10-19 | 2020-11-06 | -5.46 | 18 |
| 2020-06-11 | 2020-07-02 | -4.32 | 21 |
| 2021-01-26 | 2021-03-18 | -4.20 | 51 |