| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 75.97% | 31.69% |
| CAGR﹪ | 23.43% | 10.8% |
| Sharpe | 0.89 | 0.79 |
| Prob. Sharpe Ratio | 92.69% | 91.22% |
| Smart Sharpe | 0.6 | 0.53 |
| Sortino | 1.35 | 1.37 |
| Smart Sortino | 0.91 | 0.92 |
| Sortino/√2 | 0.95 | 0.97 |
| Smart Sortino/√2 | 0.64 | 0.65 |
| Omega | 1.27 | 1.27 |
| Max Drawdown | -28.62% | -15.67% |
| Longest DD Days | 105 | 707 |
| Volatility (ann.) | 28.13% | 14.35% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.82 | 0.69 |
| Skew | 1.69 | 2.14 |
| Kurtosis | 127.61 | 16.13 |
| Expected Daily | 0.08% | 0.04% |
| Expected Monthly | 1.73% | 0.84% |
| Expected Yearly | 15.18% | 7.13% |
| Kelly Criterion | 18.32% | 5.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.82% | -1.44% |
| Expected Shortfall (cVaR) | -2.82% | -1.44% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 5 | 9 |
| Gain/Pain Ratio | 0.27 | 0.16 |
| Gain/Pain (1M) | 3.39 | 0.91 |
| Payoff Ratio | 1.2 | 1.19 |
| Profit Factor | 1.27 | 1.16 |
| Common Sense Ratio | 1.41 | 1.43 |
| CPC Index | 0.84 | 0.67 |
| Tail Ratio | 1.11 | 1.23 |
| Outlier Win Ratio | 3.48 | 4.44 |
| Outlier Loss Ratio | 2.83 | 4.36 |
| MTD | -5.23% | 7.35% |
| 3M | -6.68% | 10.68% |
| 6M | -0.52% | 12.57% |
| YTD | -7.9% | 11.14% |
| 1Y | 14.79% | 12.86% |
| 3Y (ann.) | 23.43% | 10.8% |
| 5Y (ann.) | 23.43% | 10.8% |
| 10Y (ann.) | 23.43% | 10.8% |
| All-time (ann.) | 23.43% | 10.8% |
| Best Day | 27.14% | 8.19% |
| Worst Day | -23.62% | -3.01% |
| Best Month | 10.28% | 17.19% |
| Worst Month | -5.63% | -5.72% |
| Best Year | 37.71% | 20.05% |
| Worst Year | -7.9% | -1.65% |
| Avg. Drawdown | -2.51% | -3.8% |
| Avg. Drawdown Days | 15 | 105 |
| Recovery Factor | 2.65 | 2.02 |
| Ulcer Index | 0.03 | 0.08 |
| Serenity Index | 5.99 | 0.29 |
| Avg. Up Month | 3.73% | 3.25% |
| Avg. Down Month | -1.76% | -2.79% |
| Win Days | 55.44% | 48.44% |
| Win Month | 66.67% | 57.58% |
| Win Quarter | 75.0% | 58.33% |
| Win Year | 75.0% | 75.0% |
| Beta | -0.3 | - |
| Alpha | 0.28 | - |
| Correlation | -15.3% | - |
| Treynor Ratio | -253.17% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | -1.65 | 9.21 | -5.58 | + |
| 2020 | 20.05 | 37.71 | 1.88 | + |
| 2021 | 0.36 | 27.04 | 75.93 | + |
| 2022 | 11.14 | -7.90 | -0.71 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2022-02-25 | -28.62 | 50 |
| 2020-02-21 | 2020-06-05 | -18.08 | 105 |
| 2020-09-03 | 2020-10-12 | -7.86 | 39 |
| 2021-08-26 | 2021-11-03 | -6.36 | 69 |
| 2021-11-25 | 2021-12-29 | -5.47 | 34 |
| 2021-04-13 | 2021-07-05 | -5.44 | 83 |
| 2020-10-19 | 2020-11-09 | -5.31 | 21 |
| 2021-01-26 | 2021-03-22 | -4.39 | 55 |
| 2019-09-06 | 2019-11-11 | -4.34 | 66 |
| 2020-06-09 | 2020-07-02 | -3.81 | 23 |