| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 32.34% | 57.32% |
| CAGR﹪ | 17.01% | 28.92% |
| Sharpe | -1.21 | -1.83 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -0.97 | -1.47 |
| Sortino | -1.53 | -2.32 |
| Smart Sortino | -1.23 | -1.86 |
| Sortino/√2 | -1.08 | -1.64 |
| Smart Sortino/√2 | -0.87 | -1.31 |
| Omega | 0.8 | 0.8 |
| Max Drawdown | -31.6% | -9.52% |
| Longest DD Days | 132 | 69 |
| Volatility (ann.) | 34.77% | 18.24% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.54 | 3.04 |
| Skew | -0.73 | -0.26 |
| Kurtosis | 5.29 | 1.2 |
| Expected Daily | 0.08% | 0.14% |
| Expected Monthly | 1.28% | 2.08% |
| Expected Yearly | 9.79% | 16.3% |
| Kelly Criterion | 7.09% | 13.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.49% | -1.75% |
| Expected Shortfall (cVaR) | -3.49% | -1.75% |
| Max Consecutive Wins | 9 | 6 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.15 | 0.39 |
| Gain/Pain (1M) | 0.88 | 2.57 |
| Payoff Ratio | 0.88 | 1.04 |
| Profit Factor | 1.15 | 1.39 |
| Common Sense Ratio | 1.07 | 1.23 |
| CPC Index | 0.57 | 0.81 |
| Tail Ratio | 0.93 | 0.88 |
| Outlier Win Ratio | 2.71 | 4.35 |
| Outlier Loss Ratio | 2.61 | 5.28 |
| MTD | -3.37% | -2.77% |
| 3M | -21.41% | -6.18% |
| 6M | -20.34% | -1.57% |
| YTD | -17.41% | -6.99% |
| 1Y | -7.96% | 13.29% |
| 3Y (ann.) | 17.01% | 28.92% |
| 5Y (ann.) | 17.01% | 28.92% |
| 10Y (ann.) | 17.01% | 28.92% |
| All-time (ann.) | 17.01% | 28.92% |
| Best Day | 8.8% | 4.21% |
| Worst Day | -13.24% | -3.83% |
| Best Month | 12.23% | 10.95% |
| Worst Month | -14.53% | -4.65% |
| Best Year | 39.94% | 31.72% |
| Worst Year | -17.41% | -6.99% |
| Avg. Drawdown | -4.13% | -1.49% |
| Avg. Drawdown Days | 20 | 9 |
| Recovery Factor | 1.02 | 6.02 |
| Ulcer Index | 0.07 | 0.03 |
| Serenity Index | -1.47 | -3.38 |
| Avg. Up Month | 6.96% | 5.04% |
| Avg. Down Month | -5.18% | -3.12% |
| Win Days | 56.5% | 55.72% |
| Win Month | 54.55% | 68.18% |
| Win Quarter | 62.5% | 87.5% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.76 | - |
| Alpha | -0.0 | - |
| Correlation | 39.85% | - |
| Treynor Ratio | -89.07% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 31.72 | 39.94 | 1.26 | + |
| 2021 | 28.42 | 14.50 | 0.51 | - |
| 2022 | -6.99 | -17.41 | 2.49 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-10 | 2022-02-25 | -31.60 | 107 |
| 2021-02-17 | 2021-06-29 | -14.47 | 132 |
| 2020-09-03 | 2020-12-09 | -12.35 | 97 |
| 2021-09-08 | 2021-10-20 | -7.59 | 42 |
| 2020-12-24 | 2021-02-03 | -6.19 | 41 |
| 2020-07-13 | 2020-08-03 | -6.10 | 21 |
| 2020-08-05 | 2020-08-25 | -5.23 | 20 |
| 2020-06-15 | 2020-06-16 | -4.25 | 1 |
| 2020-05-27 | 2020-06-01 | -4.18 | 5 |
| 2021-07-08 | 2021-07-22 | -2.71 | 14 |