| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 60.0% | 69.0% |
| Cumulative Return | 118.67% | 27.69% |
| CAGR﹪ | 112.02% | 26.47% |
| Sharpe | 1.1 | 1.56 |
| Smart Sharpe | 1.05 | 1.48 |
| Sortino | 1.81 | 2.31 |
| Smart Sortino | 1.73 | 2.2 |
| Sortino/√2 | 1.28 | 1.63 |
| Smart Sortino/√2 | 1.22 | 1.55 |
| Omega | 1.3 | 1.3 |
| Max Drawdown | -39.64% | -5.11% |
| Longest DD Days | 130 | 47 |
| Volatility (ann.) | 66.24% | 10.75% |
| R^2 | 0.0 | 0.0 |
| Calmar | 2.83 | 5.17 |
| Skew | 1.19 | -0.29 |
| Kurtosis | 8.68 | 2.29 |
| Expected Daily % | 0.21% | 0.06% |
| Expected Monthly % | 6.2% | 1.9% |
| Expected Yearly % | 47.88% | 13.0% |
| Kelly Criterion | 10.96% | 19.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.57% | -1.05% |
| Expected Shortfall (cVaR) | -6.57% | -1.05% |
| Gain/Pain Ratio | 0.3 | 0.37 |
| Gain/Pain (1M) | 2.44 | 3.26 |
| Payoff Ratio | 1.04 | 1.11 |
| Profit Factor | 1.3 | 1.37 |
| Common Sense Ratio | 1.44 | 1.56 |
| CPC Index | 0.74 | 0.87 |
| Tail Ratio | 1.11 | 1.14 |
| Outlier Win Ratio | 4.59 | 22.85 |
| Outlier Loss Ratio | 1.71 | 10.11 |
| MTD | 0.0% | -2.16% |
| 3M | -5.56% | 4.59% |
| 6M | 47.99% | 8.46% |
| YTD | 0.0% | -2.16% |
| 1Y | 73.96% | 25.34% |
| 3Y (ann.) | 112.02% | 26.47% |
| 5Y (ann.) | 112.02% | 26.47% |
| 10Y (ann.) | 112.02% | 26.47% |
| All-time (ann.) | 112.02% | 26.47% |
| Best Day | 27.16% | 2.42% |
| Worst Day | -16.48% | -2.44% |
| Best Month | 50.5% | 7.2% |
| Worst Month | -20.66% | -4.66% |
| Best Year | 118.67% | 30.51% |
| Worst Year | 0.0% | -2.16% |
| Avg. Drawdown | -13.02% | -1.33% |
| Avg. Drawdown Days | 25 | 7 |
| Recovery Factor | 2.99 | 5.41 |
| Ulcer Index | 0.19 | 0.01 |
| Serenity Index | 0.81 | 4.42 |
| Avg. Up Month | 30.99% | 3.6% |
| Avg. Down Month | -8.38% | -2.82% |
| Win Days % | 54.67% | 57.47% |
| Win Month % | 50.0% | 76.92% |
| Win Quarter % | 75.0% | 80.0% |
| Win Year % | 100.0% | 50.0% |
| Beta | 0.35 | - |
| Alpha | 0.67 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 30.51 | 118.67 | 3.89 | + |
| 2022 | -2.16 | 0.00 | -0.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-04-15 | 2021-08-23 | -39.64 | 130 |
| 2021-01-09 | 2021-02-08 | -26.97 | 30 |
| 2021-09-07 | 2021-10-12 | -26.25 | 35 |
| 2021-02-22 | 2021-03-13 | -22.65 | 19 |
| 2021-11-11 | 2022-01-16 | -17.52 | 66 |
| 2021-03-15 | 2021-04-12 | -15.24 | 28 |
| 2021-10-22 | 2021-11-09 | -9.79 | 18 |
| 2021-01-04 | 2021-01-06 | -7.08 | 2 |
| 2021-08-24 | 2021-09-02 | -6.22 | 9 |
| 2021-10-13 | 2021-10-14 | -3.51 | 1 |