| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 72.35% | 17.19% |
| CAGR﹪ | 20.83% | 5.67% |
| Sharpe | -8.57 | -6.26 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -6.78 | -4.95 |
| Sortino | -8.4 | -6.43 |
| Smart Sortino | -6.64 | -5.08 |
| Sortino/√2 | -5.94 | -4.54 |
| Smart Sortino/√2 | -4.7 | -3.59 |
| Omega | 0.17 | 0.17 |
| Max Drawdown | -22.08% | -51.26% |
| Longest DD Days | 108 | 300 |
| Volatility (ann.) | 21.87% | 31.58% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.94 | 0.11 |
| Skew | -1.36 | -5.52 |
| Kurtosis | 53.65 | 123.91 |
| Expected Daily | 0.08% | 0.02% |
| Expected Monthly | 1.57% | 0.45% |
| Expected Yearly | 14.58% | 4.04% |
| Kelly Criterion | 2.09% | 2.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.18% | -3.23% |
| Expected Shortfall (cVaR) | -2.18% | -3.23% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.23 | 0.09 |
| Gain/Pain (1M) | 1.98 | 0.49 |
| Payoff Ratio | 0.84 | 0.82 |
| Profit Factor | 1.23 | 1.09 |
| Common Sense Ratio | 1.44 | 1.03 |
| CPC Index | 0.57 | 0.5 |
| Tail Ratio | 1.17 | 0.94 |
| Outlier Win Ratio | 4.0 | 3.55 |
| Outlier Loss Ratio | 4.69 | 3.63 |
| MTD | -5.99% | -30.02% |
| 3M | -7.25% | -36.5% |
| 6M | -2.29% | -35.02% |
| YTD | -9.67% | -34.42% |
| 1Y | 12.89% | -22.51% |
| 3Y (ann.) | 20.83% | 5.67% |
| 5Y (ann.) | 20.83% | 5.67% |
| 10Y (ann.) | 20.83% | 5.67% |
| All-time (ann.) | 20.83% | 5.67% |
| Best Day | 14.69% | 20.04% |
| Worst Day | -17.35% | -33.28% |
| Best Month | 10.45% | 15.51% |
| Worst Month | -6.59% | -30.02% |
| Best Year | 39.15% | 27.78% |
| Worst Year | -9.67% | -34.42% |
| Avg. Drawdown | -2.67% | -2.96% |
| Avg. Drawdown Days | 18 | 17 |
| Recovery Factor | 3.28 | 0.34 |
| Ulcer Index | 0.03 | 0.09 |
| Serenity Index | -39.95 | -9.4 |
| Avg. Up Month | 3.86% | 4.01% |
| Avg. Down Month | -4.52% | -12.9% |
| Win Days | 55.4% | 56.0% |
| Win Month | 71.43% | 68.57% |
| Win Quarter | 83.33% | 75.0% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.41 | - |
| Alpha | 0.17 | - |
| Correlation | 59.56% | - |
| Treynor Ratio | -1522.08% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 27.78 | 6.87 | 0.25 | - |
| 2020 | 14.82 | 39.15 | 2.64 | + |
| 2021 | 21.79 | 28.31 | 1.30 | + |
| 2022 | -34.42 | -9.67 | 0.28 | + |
| 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 |