| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 89.0% |
| Cumulative Return | 98.79% |
| CAGR﹪ | 17.37% |
| Sharpe | 1.21 |
| Prob. Sharpe Ratio | 99.29% |
| Smart Sharpe | 1.18 |
| Sortino | 1.75 |
| Smart Sortino | 1.72 |
| Sortino/√2 | 1.24 |
| Smart Sortino/√2 | 1.22 |
| Omega | 1.26 |
| Max Drawdown | -20.8% |
| Max DD Date | 2020-03-16 |
| Max DD Period Start | 2019-07-15 |
| Max DD Period End | 2020-05-26 |
| Longest DD Days | 317 |
| Volatility (ann.) | 14.12% |
| Calmar | 0.84 |
| Skew | -0.41 |
| Kurtosis | 4.99 |
| Expected Daily | 0.06% |
| Expected Monthly | 1.3% |
| Expected Yearly | 14.73% |
| Kelly Criterion | 11.08% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.4% |
| Expected Shortfall (cVaR) | -2.22% |
| Max Consecutive Wins | 9 |
| Max Consecutive Losses | 7 |
| Gain/Pain Ratio | 0.26 |
| Gain/Pain (1M) | 1.7 |
| Payoff Ratio | 1.05 |
| Profit Factor | 1.26 |
| Common Sense Ratio | 1.32 |
| CPC Index | 0.72 |
| Tail Ratio | 1.05 |
| Outlier Win Ratio | 4.37 |
| Outlier Loss Ratio | 3.83 |
| MTD | 0.03% |
| 3M | 9.43% |
| 6M | 6.99% |
| YTD | 28.61% |
| 1Y | 34.08% |
| 3Y (ann.) | 14.94% |
| 5Y (ann.) | 17.37% |
| 10Y (ann.) | 17.37% |
| All-time (ann.) | 17.37% |
| Best Day | 4.11% |
| Worst Day | -5.64% |
| Best Month | 10.57% |
| Worst Month | -7.68% |
| Best Year | 28.61% |
| Worst Year | 4.49% |
| Avg. Drawdown | -2.2% |
| Avg. Drawdown Days | 22 |
| Recovery Factor | 3.51 |
| Ulcer Index | 0.05 |
| Serenity Index | 1.01 |
| Avg. Up Month | 3.23% |
| Avg. Down Month | -2.73% |
| Win Days | 54.46% |
| Win Month | 69.23% |
| Win Quarter | 72.22% |
| Win Year | 100.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2017 | 10.07% | 10.39% |
| 2018 | 16.0% | 16.15% |
| 2019 | 4.89% | 4.49% |
| 2020 | 15.93% | 15.37% |
| 2021 | 26.11% | 28.61% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-07-15 | 2020-05-26 | -20.80 | 317 |
| 2020-08-27 | 2021-02-16 | -12.34 | 174 |
| 2018-01-22 | 2018-05-18 | -12.34 | 117 |
| 2018-11-12 | 2019-04-15 | -9.92 | 155 |
| 2021-05-11 | 2021-08-13 | -7.27 | 95 |
| 2021-02-19 | 2021-03-18 | -6.45 | 28 |
| 2021-09-23 | 2021-10-28 | -5.39 | 36 |
| 2017-10-02 | 2017-12-19 | -4.76 | 79 |
| 2018-09-27 | 2018-10-26 | -3.95 | 30 |
| 2019-04-17 | 2019-06-05 | -2.85 | 50 |