| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 32.87% | 9.66% |
| CAGR﹪ | 18.77% | 5.74% |
| Sharpe | 0.77 | 59.46 |
| Prob. Sharpe Ratio | 83.72% | - |
| Smart Sharpe | 0.73 | 56.17 |
| Sortino | 1.1 | - |
| Smart Sortino | 1.04 | - |
| Sortino/√2 | 0.78 | - |
| Smart Sortino/√2 | 0.73 | - |
| Omega | 1.14 | 1.14 |
| Max Drawdown | -21.41% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 27.2% | 0.09% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.88 | - |
| Skew | -0.15 | 1.15 |
| Kurtosis | 2.26 | 1.42 |
| Expected Daily | 0.07% | 0.02% |
| Expected Monthly | 1.43% | 0.46% |
| Expected Yearly | 9.94% | 3.12% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.74% | -0.01% |
| Expected Shortfall (cVaR) | -2.74% | -0.01% |
| Max Consecutive Wins | 8 | 415 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.14 | - |
| Gain/Pain (1M) | 1.3 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.14 | - |
| Common Sense Ratio | 1.15 | - |
| CPC Index | - | - |
| Tail Ratio | 1.0 | 1.95 |
| Outlier Win Ratio | 1.72 | 93.04 |
| Outlier Loss Ratio | 1.96 | - |
| MTD | 0.86% | 0.71% |
| 3M | -11.65% | 2.13% |
| 6M | -10.68% | 3.86% |
| YTD | -9.2% | 1.36% |
| 1Y | 4.24% | 6.5% |
| 3Y (ann.) | 18.77% | 5.74% |
| 5Y (ann.) | 18.77% | 5.74% |
| 10Y (ann.) | 18.77% | 5.74% |
| All-time (ann.) | 18.77% | 5.74% |
| Best Day | 7.39% | 0.04% |
| Worst Day | -6.58% | 0.0% |
| Best Month | 10.52% | 0.71% |
| Worst Month | -9.98% | 0.36% |
| Best Year | 28.02% | 5.82% |
| Worst Year | -9.2% | 1.36% |
| Avg. Drawdown | -4.73% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.54 | - |
| Ulcer Index | 0.07 | 0.0 |
| Serenity Index | 0.55 | - |
| Avg. Up Month | 4.96% | 0.46% |
| Avg. Down Month | - | - |
| Win Days | 55.1% | 100.0% |
| Win Month | 60.0% | 100.0% |
| Win Quarter | 71.43% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -12.03 | - |
| Alpha | 0.88 | - |
| Correlation | -4.15% | - |
| Treynor Ratio | -2.73% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 2.23 | 28.02 | 12.56 | + |
| 2021 | 5.82 | 14.31 | 2.46 | + |
| 2022 | 1.36 | -9.20 | -6.74 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2022-02-25 | -21.41 | 94 |
| 2021-02-17 | 2021-06-29 | -14.37 | 132 |
| 2020-09-03 | 2020-10-08 | -10.05 | 35 |
| 2021-09-08 | 2021-11-12 | -9.77 | 65 |
| 2020-10-14 | 2020-12-21 | -9.16 | 68 |
| 2020-12-24 | 2021-02-02 | -7.67 | 40 |
| 2020-07-08 | 2020-07-31 | -5.31 | 23 |
| 2020-08-04 | 2020-08-21 | -4.75 | 17 |
| 2021-07-08 | 2021-07-23 | -3.82 | 15 |
| 2021-08-10 | 2021-08-20 | -2.84 | 10 |