| Metric | Strategy |
|---|---|
| Cumulative Return | 2,637.07% |
| CAGR﹪ | 113.26% |
| Sharpe | 3.04 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 2.99 |
| Sortino | 8.28 |
| Smart Sortino | 8.13 |
| Sortino/√2 | 5.85 |
| Smart Sortino/√2 | 5.75 |
| Omega | 2.18 |
| Max Drawdown | -19.81% |
| Longest DD Days | 126 |
| Volatility (ann.) | 90.6% |
| Calmar | 5.72 |
| Skew | 2.13 |
| Kurtosis | 6.56 |
| Expected Daily | 0.94% |
| Expected Monthly | 6.32% |
| Expected Yearly | 93.85% |
| Kelly Criterion | 20.79% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -8.29% |
| Expected Shortfall (cVaR) | -8.29% |
| Max Consecutive Wins | 5 |
| Max Consecutive Losses | 7 |
| Gain/Pain Ratio | 1.19 |
| Gain/Pain (1M) | 3.06 |
| Payoff Ratio | 3.5 |
| Profit Factor | 2.18 |
| Common Sense Ratio | 8.02 |
| CPC Index | 2.93 |
| Tail Ratio | 3.68 |
| Outlier Win Ratio | 7.5 |
| Outlier Loss Ratio | 2.57 |
| MTD | 15.79% |
| 3M | 8.74% |
| 6M | 28.44% |
| YTD | 46.54% |
| 1Y | 97.73% |
| 3Y (ann.) | 100.11% |
| 5Y (ann.) | 113.26% |
| 10Y (ann.) | 113.26% |
| All-time (ann.) | 113.26% |
| Best Day | 35.52% |
| Worst Day | -12.55% |
| Best Month | 47.27% |
| Worst Month | -16.01% |
| Best Year | 158.13% |
| Worst Year | 46.54% |
| Avg. Drawdown | -9.66% |
| Avg. Drawdown Days | 42 |
| Recovery Factor | 133.09 |
| Ulcer Index | 0.09 |
| Serenity Index | 110.76 |
| Avg. Up Month | 16.64% |
| Avg. Down Month | -6.57% |
| Win Days | 38.41% |
| Win Month | 62.0% |
| Win Quarter | 89.47% |
| Win Year | 100.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2018 | 54.08% | 62.19% |
| 2019 | 105.7% | 158.13% |
| 2020 | 70.17% | 78.12% |
| 2021 | 108.55% | 150.47% |
| 2022 | 46.73% | 46.54% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-07 | 2022-10-12 | -19.81 | 126 |
| 2020-10-06 | 2021-02-02 | -17.52 | 119 |
| 2021-09-08 | 2021-11-25 | -16.01 | 77 |
| 2018-09-11 | 2018-12-11 | -15.67 | 91 |
| 2019-01-17 | 2019-03-22 | -15.61 | 63 |
| 2020-03-13 | 2020-06-17 | -15.56 | 96 |
| 2021-04-19 | 2021-05-18 | -14.71 | 28 |
| 2022-02-21 | 2022-04-30 | -14.20 | 67 |
| 2019-10-09 | 2019-12-27 | -13.98 | 79 |
| 2019-05-28 | 2019-07-16 | -13.83 | 48 |