| Metric | Strategy |
|---|---|
| Cumulative Return | 156.32% |
| CAGR﹪ | 24.04% |
| Sharpe | 3.06 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 3.0 |
| Sortino | 8.36 |
| Smart Sortino | 8.19 |
| Sortino/√2 | 5.91 |
| Smart Sortino/√2 | 5.79 |
| Omega | 2.19 |
| Max Drawdown | -5.23% |
| Longest DD Days | 126 |
| Volatility (ann.) | 22.87% |
| Calmar | 4.59 |
| Skew | 2.12 |
| Kurtosis | 6.43 |
| Expected Daily | 0.27% |
| Expected Monthly | 1.76% |
| Expected Yearly | 20.71% |
| Kelly Criterion | 20.89% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.09% |
| Expected Shortfall (cVaR) | -2.09% |
| Max Consecutive Wins | 5 |
| Max Consecutive Losses | 7 |
| Gain/Pain Ratio | 1.2 |
| Gain/Pain (1M) | 3.1 |
| Payoff Ratio | 3.51 |
| Profit Factor | 2.19 |
| Common Sense Ratio | 8.13 |
| CPC Index | 2.96 |
| Tail Ratio | 3.71 |
| Outlier Win Ratio | 7.42 |
| Outlier Loss Ratio | 2.56 |
| MTD | 3.95% |
| 3M | 2.43% |
| 6M | 7.58% |
| YTD | 11.79% |
| 1Y | 22.16% |
| 3Y (ann.) | 22.18% |
| 5Y (ann.) | 24.04% |
| 10Y (ann.) | 24.04% |
| All-time (ann.) | 24.04% |
| Best Day | 8.88% |
| Worst Day | -3.14% |
| Best Month | 11.68% |
| Worst Month | -4.11% |
| Best Year | 30.47% |
| Worst Year | 11.79% |
| Avg. Drawdown | -2.55% |
| Avg. Drawdown Days | 39 |
| Recovery Factor | 29.87 |
| Ulcer Index | 0.02 |
| Serenity Index | 25.46 |
| Avg. Up Month | 4.19% |
| Avg. Down Month | -1.66% |
| Win Days | 38.41% |
| Win Month | 62.0% |
| Win Quarter | 89.47% |
| Win Year | 100.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2018 | 13.55% | 14.08% |
| 2019 | 27.23% | 30.32% |
| 2020 | 17.54% | 18.2% |
| 2021 | 27.77% | 30.47% |
| 2022 | 11.72% | 11.79% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-07 | 2022-10-12 | -5.23 | 126 |
| 2020-10-06 | 2021-02-02 | -4.66 | 119 |
| 2021-09-08 | 2021-11-25 | -4.11 | 77 |
| 2018-09-11 | 2018-12-11 | -4.10 | 91 |
| 2020-03-13 | 2020-04-28 | -4.05 | 45 |
| 2019-01-17 | 2019-03-22 | -4.00 | 63 |
| 2021-04-19 | 2021-05-18 | -3.81 | 28 |
| 2022-02-21 | 2022-04-30 | -3.69 | 67 |
| 2019-10-09 | 2019-12-27 | -3.67 | 79 |
| 2020-05-11 | 2020-05-30 | -3.64 | 19 |