| Metric | Strategy |
|---|---|
| Cumulative Return | 536.68% |
| CAGR﹪ | 52.75% |
| Sharpe | 2.87 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 2.74 |
| Sortino | 8.36 |
| Smart Sortino | 7.98 |
| Sortino/√2 | 5.91 |
| Smart Sortino/√2 | 5.64 |
| Omega | 1.92 |
| Max Drawdown | -12.84% |
| Longest DD Days | 126 |
| Volatility (ann.) | 50.48% |
| Calmar | 4.11 |
| Skew | 2.13 |
| Kurtosis | 5.45 |
| Expected Daily | 0.53% |
| Expected Monthly | 3.49% |
| Expected Yearly | 44.81% |
| Kelly Criterion | 15.33% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -4.66% |
| Expected Shortfall (cVaR) | -4.66% |
| Max Consecutive Wins | 5 |
| Max Consecutive Losses | 7 |
| Gain/Pain Ratio | 0.93 |
| Gain/Pain (1M) | 3.01 |
| Payoff Ratio | 4.08 |
| Profit Factor | 1.92 |
| Common Sense Ratio | 7.19 |
| CPC Index | 2.5 |
| Tail Ratio | 3.75 |
| Outlier Win Ratio | 5.6 |
| Outlier Loss Ratio | 2.55 |
| MTD | 14.59% |
| 3M | 13.45% |
| 6M | 21.86% |
| YTD | 31.15% |
| 1Y | 58.44% |
| 3Y (ann.) | 49.27% |
| 5Y (ann.) | 52.75% |
| 10Y (ann.) | 52.75% |
| All-time (ann.) | 52.75% |
| Best Day | 16.21% |
| Worst Day | -6.23% |
| Best Month | 28.99% |
| Worst Month | -10.02% |
| Best Year | 68.09% |
| Worst Year | 28.88% |
| Avg. Drawdown | -4.91% |
| Avg. Drawdown Days | 37 |
| Recovery Factor | 41.81 |
| Ulcer Index | 0.05 |
| Serenity Index | 39.2 |
| Avg. Up Month | 7.95% |
| Avg. Down Month | -3.52% |
| Win Days | 32.0% |
| Win Month | 64.15% |
| Win Quarter | 89.47% |
| Win Year | 100.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2018 | 27.09% | 28.88% |
| 2019 | 53.87% | 65.92% |
| 2020 | 34.39% | 35.06% |
| 2021 | 56.84% | 68.09% |
| 2022 | 30.32% | 31.15% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-08 | 2021-11-25 | -12.84 | 77 |
| 2022-06-07 | 2022-10-12 | -10.33 | 126 |
| 2020-10-06 | 2021-02-02 | -10.32 | 119 |
| 2020-03-13 | 2020-05-30 | -10.17 | 77 |
| 2021-03-15 | 2021-05-18 | -9.99 | 63 |
| 2018-09-11 | 2018-12-11 | -9.07 | 91 |
| 2019-05-28 | 2019-07-16 | -8.07 | 48 |
| 2019-01-17 | 2019-03-22 | -7.88 | 63 |
| 2022-02-02 | 2022-04-26 | -7.25 | 83 |
| 2019-10-09 | 2019-12-27 | -7.22 | 79 |