| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 75.0% |
| Cumulative Return | 83.51% |
| CAGR﹪ | 15.2% |
| Sharpe | 1.12 |
| Prob. Sharpe Ratio | 98.92% |
| Smart Sharpe | 1.06 |
| Sortino | 1.67 |
| Smart Sortino | 1.59 |
| Sortino/√2 | 1.18 |
| Smart Sortino/√2 | 1.12 |
| Omega | 1.26 |
| Max Drawdown | -18.62% |
| Max DD Date | 2020-03-16 |
| Max DD Period Start | 2019-07-02 |
| Max DD Period End | 2020-05-04 |
| Longest DD Days | 308 |
| Volatility (ann.) | 13.44% |
| Calmar | 0.82 |
| Skew | -0.15 |
| Kurtosis | 7.14 |
| Expected Daily | 0.06% |
| Expected Monthly | 1.15% |
| Expected Yearly | 12.91% |
| Kelly Criterion | 10.99% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.33% |
| Expected Shortfall (cVaR) | -2.11% |
| Max Consecutive Wins | 9 |
| Max Consecutive Losses | 7 |
| Gain/Pain Ratio | 0.26 |
| Gain/Pain (1M) | 1.6 |
| Payoff Ratio | 1.12 |
| Profit Factor | 1.26 |
| Common Sense Ratio | 1.47 |
| CPC Index | 0.75 |
| Tail Ratio | 1.17 |
| Outlier Win Ratio | 5.36 |
| Outlier Loss Ratio | 3.55 |
| MTD | -1.7% |
| 3M | 5.16% |
| 6M | 4.94% |
| YTD | 25.49% |
| 1Y | 30.28% |
| 3Y (ann.) | 17.52% |
| 5Y (ann.) | 15.2% |
| 10Y (ann.) | 15.2% |
| All-time (ann.) | 15.2% |
| Best Day | 4.94% |
| Worst Day | -5.81% |
| Best Month | 10.86% |
| Worst Month | -7.08% |
| Best Year | 29.96% |
| Worst Year | -1.55% |
| Avg. Drawdown | -2.41% |
| Avg. Drawdown Days | 31 |
| Recovery Factor | 3.47 |
| Ulcer Index | 0.05 |
| Serenity Index | 0.94 |
| Avg. Up Month | 3.19% |
| Avg. Down Month | -2.57% |
| Win Days | 53.04% |
| Win Month | 67.35% |
| Win Quarter | 77.78% |
| Win Year | 80.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2017 | 12.23% | 12.8% |
| 2018 | -0.76% | -1.55% |
| 2019 | 1.74% | 1.32% |
| 2020 | 27.95% | 29.96% |
| 2021 | 23.44% | 25.49% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-07-02 | 2020-05-04 | -18.62 | 308 |
| 2018-01-22 | 2018-10-26 | -14.69 | 278 |
| 2018-12-04 | 2019-06-28 | -9.05 | 207 |
| 2020-08-27 | 2021-01-11 | -7.27 | 138 |
| 2021-05-11 | 2021-08-09 | -7.14 | 91 |
| 2021-02-19 | 2021-03-18 | -6.32 | 28 |
| 2021-01-19 | 2021-02-08 | -5.97 | 21 |
| 2017-10-02 | 2017-12-14 | -4.76 | 74 |
| 2021-09-13 | 2021-10-28 | -4.50 | 46 |
| 2018-10-30 | 2018-11-27 | -2.75 | 29 |