| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 96.0% |
| Cumulative Return | 86.79% | -1.65% |
| CAGR﹪ | 87.44% | -1.66% |
| Sharpe | 3.03 | -0.01 |
| Smart Sharpe | 2.88 | -0.01 |
| Sortino | 5.36 | -0.01 |
| Smart Sortino | 5.1 | -0.01 |
| Sortino/√2 | 3.79 | -0.01 |
| Smart Sortino/√2 | 3.61 | -0.01 |
| Omega | 1.71 | 1.71 |
| Max Drawdown | -7.85% | -17.62% |
| Longest DD Days | 87 | 132 |
| Volatility (ann.) | 20.46% | 16.81% |
| R^2 | 0.0 | 0.0 |
| Calmar | 11.14 | -0.09 |
| Skew | 0.48 | -0.4 |
| Kurtosis | 2.25 | 1.28 |
| Expected Daily % | 0.24% | -0.01% |
| Expected Monthly % | 4.92% | -0.13% |
| Expected Yearly % | 36.67% | -0.83% |
| Kelly Criterion | 13.44% | 5.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.87% | -1.74% |
| Expected Shortfall (cVaR) | -1.87% | -1.74% |
| Gain/Pain Ratio | 0.71 | -0.0 |
| Gain/Pain (1M) | 9.34 | -0.01 |
| Payoff Ratio | 0.94 | 0.98 |
| Profit Factor | 1.71 | 1.0 |
| Common Sense Ratio | 2.69 | 0.84 |
| CPC Index | 0.93 | 0.52 |
| Tail Ratio | 1.57 | 0.85 |
| Outlier Win Ratio | 3.24 | 4.77 |
| Outlier Loss Ratio | 3.61 | 3.52 |
| MTD | -1.76% | -3.52% |
| 3M | 49.8% | -8.93% |
| 6M | 62.46% | -13.85% |
| YTD | 54.21% | -15.54% |
| 1Y | 86.79% | -1.65% |
| 3Y (ann.) | 87.44% | -1.66% |
| 5Y (ann.) | 87.44% | -1.66% |
| 10Y (ann.) | 87.44% | -1.66% |
| All-time (ann.) | 87.44% | -1.66% |
| Best Day | 5.76% | 3.05% |
| Worst Day | -4.31% | -3.7% |
| Best Month | 27.42% | 7.2% |
| Worst Month | -5.24% | -8.23% |
| Best Year | 54.21% | 16.45% |
| Worst Year | 21.13% | -15.54% |
| Avg. Drawdown | -2.22% | -1.67% |
| Avg. Drawdown Days | 11 | 11 |
| Recovery Factor | 11.06 | -0.09 |
| Ulcer Index | 0.03 | 0.06 |
| Serenity Index | 6.04 | -0.03 |
| Avg. Up Month | 6.6% | 3.83% |
| Avg. Down Month | -1.0% | -2.25% |
| Win Days % | 58.08% | 53.39% |
| Win Month % | 76.92% | 53.85% |
| Win Quarter % | 100.0% | 60.0% |
| Win Year % | 100.0% | 50.0% |
| Beta | -0.0 | - |
| Alpha | 0.62 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 16.45 | 21.13 | 1.28 | + |
| 2022 | -15.54 | 54.21 | -3.49 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-07-05 | 2021-09-30 | -7.85 | 87 |
| 2021-10-21 | 2021-11-17 | -6.15 | 27 |
| 2021-11-26 | 2021-12-31 | -5.97 | 35 |
| 2022-01-06 | 2022-02-25 | -5.95 | 50 |
| 2022-03-30 | 2022-04-06 | -4.89 | 7 |
| 2022-05-10 | 2022-05-16 | -4.09 | 6 |
| 2022-04-21 | 2022-04-29 | -4.09 | 8 |
| 2021-06-07 | 2021-06-17 | -2.75 | 10 |
| 2022-05-04 | 2022-05-06 | -2.25 | 2 |
| 2021-11-18 | 2021-11-24 | -2.11 | 6 |