| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 95.0% |
| Cumulative Return | 68.83% | -5.07% |
| CAGR﹪ | 69.08% | -5.08% |
| Sharpe | 2.05 | -0.15 |
| Smart Sharpe | 1.98 | -0.14 |
| Sortino | 3.32 | -0.2 |
| Smart Sortino | 3.21 | -0.19 |
| Sortino/√2 | 2.35 | -0.14 |
| Smart Sortino/√2 | 2.27 | -0.14 |
| Omega | 1.41 | 1.41 |
| Max Drawdown | -13.27% | -23.01% |
| Longest DD Days | 59 | 213 |
| Volatility (ann.) | 26.01% | 19.99% |
| R^2 | 0.0 | 0.0 |
| Calmar | 5.21 | -0.22 |
| Skew | 0.3 | -0.34 |
| Kurtosis | 1.14 | 0.77 |
| Expected Daily % | 0.2% | -0.02% |
| Expected Monthly % | 4.11% | -0.4% |
| Expected Yearly % | 29.94% | -2.57% |
| Kelly Criterion | 10.49% | 2.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.48% | -2.08% |
| Expected Shortfall (cVaR) | -2.48% | -2.08% |
| Gain/Pain Ratio | 0.41 | -0.03 |
| Gain/Pain (1M) | 4.46 | -0.1 |
| Payoff Ratio | 1.0 | 1.01 |
| Profit Factor | 1.41 | 0.97 |
| Common Sense Ratio | 1.71 | 0.95 |
| CPC Index | 0.78 | 0.5 |
| Tail Ratio | 1.22 | 0.97 |
| Outlier Win Ratio | 2.64 | 4.08 |
| Outlier Loss Ratio | 3.01 | 3.49 |
| MTD | -3.39% | 0.83% |
| 3M | 7.47% | -3.05% |
| 6M | 38.25% | -8.77% |
| YTD | 40.78% | -12.15% |
| 1Y | 68.83% | -5.07% |
| 3Y (ann.) | 69.08% | -5.08% |
| 5Y (ann.) | 69.08% | -5.08% |
| 10Y (ann.) | 69.08% | -5.08% |
| All-time (ann.) | 69.08% | -5.08% |
| Best Day | 7.24% | 3.18% |
| Worst Day | -4.09% | -4.03% |
| Best Month | 25.22% | 8.89% |
| Worst Month | -4.46% | -8.25% |
| Best Year | 40.78% | 8.06% |
| Worst Year | 19.93% | -12.15% |
| Avg. Drawdown | -3.35% | -2.88% |
| Avg. Drawdown Days | 12 | 23 |
| Recovery Factor | 5.19 | -0.22 |
| Ulcer Index | 0.04 | 0.1 |
| Serenity Index | 3.53 | -0.03 |
| Avg. Up Month | 1.63% | 3.34% |
| Avg. Down Month | -3.66% | -0.37% |
| Win Days % | 55.17% | 51.2% |
| Win Month % | 61.54% | 46.15% |
| Win Quarter % | 80.0% | 40.0% |
| Win Year % | 100.0% | 50.0% |
| Beta | 0.01 | - |
| Alpha | 0.53 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 8.06 | 19.93 | 2.47 | + |
| 2022 | -12.15 | 40.78 | -3.36 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-07-18 | 2022-08-05 | -13.27 | 18 |
| 2022-05-11 | 2022-06-14 | -10.58 | 34 |
| 2021-10-13 | 2021-11-24 | -7.62 | 42 |
| 2022-03-09 | 2022-04-20 | -7.46 | 42 |
| 2021-08-24 | 2021-09-29 | -6.94 | 36 |
| 2021-11-30 | 2022-01-28 | -4.97 | 59 |
| 2022-05-04 | 2022-05-06 | -4.65 | 2 |
| 2022-06-15 | 2022-06-29 | -3.73 | 14 |
| 2022-02-16 | 2022-02-25 | -3.42 | 9 |
| 2022-07-13 | 2022-07-15 | -2.45 | 2 |