| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 2,136.35% | -31.97% |
| CAGR﹪ | 2552.45% | -33.4% |
| Sharpe | 3.1 | -1.15 |
| Prob. Sharpe Ratio | 99.9% | 12.8% |
| Smart Sharpe | 3.02 | -1.12 |
| Sortino | 5.31 | -1.53 |
| Smart Sortino | 5.16 | -1.49 |
| Sortino/√2 | 3.75 | -1.08 |
| Smart Sortino/√2 | 3.65 | -1.05 |
| Omega | 1.68 | 1.68 |
| Max Drawdown | -37.5% | -35.06% |
| Longest DD Days | 73 | 296 |
| Volatility (ann.) | 133.14% | 30.65% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | 0.19 | 0.19 |
| Calmar | 68.06 | -0.95 |
| Skew | 0.12 | -0.14 |
| Kurtosis | 0.36 | -0.24 |
| Expected Daily | 1.29% | -0.16% |
| Expected Monthly | 29.56% | -3.16% |
| Expected Yearly | 372.9% | -17.52% |
| Kelly Criterion | 16.45% | -16.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -12.16% | -3.32% |
| Expected Shortfall (cVaR) | -12.16% | -3.32% |
| Max Consecutive Wins | 7 | 5 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.68 | -0.17 |
| Gain/Pain (1M) | 7.86 | -0.64 |
| Payoff Ratio | 1.04 | 0.89 |
| Profit Factor | 1.68 | 0.83 |
| Common Sense Ratio | 2.16 | 0.74 |
| CPC Index | 1.0 | 0.33 |
| Tail Ratio | 1.29 | 0.89 |
| Outlier Win Ratio | 1.86 | 8.53 |
| Outlier Loss Ratio | 1.92 | 7.09 |
| MTD | 94.81% | 0.69% |
| 3M | 414.53% | -9.62% |
| 6M | 1150.88% | -21.99% |
| YTD | 3106.29% | -32.02% |
| 1Y | 2136.35% | -31.97% |
| 3Y (ann.) | 2552.45% | -33.4% |
| 5Y (ann.) | 2552.45% | -33.4% |
| 10Y (ann.) | 2552.45% | -33.4% |
| All-time (ann.) | 2552.45% | -33.4% |
| Best Day | 24.47% | 4.23% |
| Worst Day | -26.19% | -5.48% |
| Best Month | 156.86% | 12.48% |
| Worst Month | -20.17% | -12.15% |
| Best Year | 3106.29% | 0.07% |
| Worst Year | -30.25% | -32.02% |
| Avg. Drawdown | -16.6% | -14.28% |
| Avg. Drawdown Days | 15 | 113 |
| Recovery Factor | 56.97 | -0.91 |
| Ulcer Index | 0.17 | 0.21 |
| Serenity Index | 32.63 | -0.09 |
| Avg. Up Month | 58.32% | 2.68% |
| Avg. Down Month | -14.98% | -2.77% |
| Win Days | 57.5% | 45.19% |
| Win Month | 66.67% | 33.33% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 50.0% | 50.0% |
| Beta | -1.71 | - |
| Alpha | 3.52 | - |
| Correlation | -39.3% | - |
| Treynor Ratio | -1251.24% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.07 | -30.25 | -403.85 | - |
| 2022 | -32.02 | 3106.29 | -97.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-09-28 | 2022-10-10 | -37.50 | 12 |
| 2022-06-15 | 2022-07-06 | -36.67 | 21 |
| 2022-01-28 | 2022-04-11 | -36.56 | 73 |
| 2022-07-15 | 2022-08-18 | -35.19 | 34 |
| 2021-12-15 | 2022-01-25 | -34.29 | 41 |
| 2022-05-13 | 2022-06-13 | -29.55 | 31 |
| 2021-11-09 | 2021-12-14 | -23.02 | 35 |
| 2022-09-07 | 2022-09-15 | -19.26 | 8 |
| 2022-08-24 | 2022-08-26 | -12.21 | 2 |
| 2022-05-03 | 2022-05-05 | -11.06 | 2 |