| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | 23.36% | -8.4% |
| CAGR﹪ | 23.43% | -8.42% |
| Sharpe | 0.64 | -0.31 |
| Smart Sharpe | 0.62 | -0.3 |
| Sortino | 0.92 | -0.42 |
| Smart Sortino | 0.89 | -0.4 |
| Sortino/√2 | 0.65 | -0.3 |
| Smart Sortino/√2 | 0.63 | -0.29 |
| Omega | 1.12 | 1.12 |
| Max Drawdown | -48.93% | -23.01% |
| Longest DD Days | 294 | 234 |
| Volatility (ann.) | 62.99% | 20.85% |
| R^2 | 0.4 | 0.4 |
| Calmar | 0.48 | -0.37 |
| Skew | -0.09 | -0.31 |
| Kurtosis | 1.13 | 0.47 |
| Expected Daily % | 0.08% | -0.03% |
| Expected Monthly % | 1.63% | -0.67% |
| Expected Yearly % | 11.07% | -4.29% |
| Kelly Criterion | 5.23% | -8.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.37% | -2.19% |
| Expected Shortfall (cVaR) | -6.37% | -2.19% |
| Gain/Pain Ratio | 0.12 | -0.05 |
| Gain/Pain (1M) | 0.64 | -0.21 |
| Payoff Ratio | 0.9 | 0.87 |
| Profit Factor | 1.12 | 0.95 |
| Common Sense Ratio | 0.99 | 0.89 |
| CPC Index | 0.55 | 0.41 |
| Tail Ratio | 0.88 | 0.94 |
| Outlier Win Ratio | 2.33 | 6.76 |
| Outlier Loss Ratio | 2.24 | 6.77 |
| MTD | -2.97% | -1.0% |
| 3M | 31.29% | 2.78% |
| 6M | 13.2% | -2.91% |
| YTD | -18.15% | -13.75% |
| 1Y | 23.36% | -8.4% |
| 3Y (ann.) | 23.43% | -8.42% |
| 5Y (ann.) | 23.43% | -8.42% |
| 10Y (ann.) | 23.43% | -8.42% |
| All-time (ann.) | 23.43% | -8.42% |
| Best Day | 13.53% | 3.18% |
| Worst Day | -12.18% | -4.03% |
| Best Month | 43.65% | 8.89% |
| Worst Month | -19.19% | -8.25% |
| Best Year | 50.72% | 6.2% |
| Worst Year | -18.15% | -13.75% |
| Avg. Drawdown | -7.01% | -3.45% |
| Avg. Drawdown Days | 36 | 30 |
| Recovery Factor | 0.48 | -0.37 |
| Ulcer Index | 0.26 | 0.1 |
| Serenity Index | 0.08 | -0.06 |
| Avg. Up Month | 26.19% | 5.03% |
| Avg. Down Month | -10.79% | -4.35% |
| Win Days % | 55.16% | 49.6% |
| Win Month % | 46.15% | 38.46% |
| Win Quarter % | 80.0% | 40.0% |
| Win Year % | 50.0% | 50.0% |
| Beta | 1.92 | - |
| Alpha | 0.53 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 6.20 | 50.72 | 8.18 | + |
| 2022 | -13.75 | -18.15 | 1.32 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-05 | 2022-08-26 | -48.93 | 294 |
| 2021-09-20 | 2021-09-24 | -3.86 | 4 |
| 2021-11-02 | 2021-11-03 | -3.03 | 1 |
| 2021-09-10 | 2021-09-15 | -2.46 | 5 |
| 2021-09-28 | 2021-10-07 | -2.04 | 9 |
| 2021-10-08 | 2021-10-12 | -1.02 | 4 |
| 2021-10-19 | 2021-10-21 | -0.67 | 2 |
| 2021-10-26 | 2021-10-27 | -0.63 | 1 |
| 2021-09-01 | 2021-09-07 | -0.45 | 6 |