| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 90.0% |
| Cumulative Return | 104.76% |
| CAGR﹪ | 18.18% |
| Sharpe | 1.22 |
| Prob. Sharpe Ratio | 99.36% |
| Smart Sharpe | 1.17 |
| Sortino | 1.79 |
| Smart Sortino | 1.71 |
| Sortino/√2 | 1.27 |
| Smart Sortino/√2 | 1.21 |
| Omega | 1.26 |
| Max Drawdown | -17.43% |
| Max DD Date | 2020-03-16 |
| Max DD Period Start | 2019-07-15 |
| Max DD Period End | 2020-04-23 |
| Longest DD Days | 284 |
| Volatility (ann.) | 14.56% |
| Calmar | 1.04 |
| Skew | -0.3 |
| Kurtosis | 4.88 |
| Expected Daily | 0.07% |
| Expected Monthly | 1.36% |
| Expected Yearly | 15.41% |
| Kelly Criterion | 10.99% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.44% |
| Expected Shortfall (cVaR) | -2.26% |
| Max Consecutive Wins | 9 |
| Max Consecutive Losses | 7 |
| Gain/Pain Ratio | 0.26 |
| Gain/Pain (1M) | 1.79 |
| Payoff Ratio | 1.08 |
| Profit Factor | 1.26 |
| Common Sense Ratio | 1.41 |
| CPC Index | 0.73 |
| Tail Ratio | 1.12 |
| Outlier Win Ratio | 4.1 |
| Outlier Loss Ratio | 3.88 |
| MTD | 0.03% |
| 3M | 9.35% |
| 6M | 6.93% |
| YTD | 28.29% |
| 1Y | 35.76% |
| 3Y (ann.) | 19.62% |
| 5Y (ann.) | 18.18% |
| 10Y (ann.) | 18.18% |
| All-time (ann.) | 18.18% |
| Best Day | 4.8% |
| Worst Day | -5.65% |
| Best Month | 10.74% |
| Worst Month | -7.68% |
| Best Year | 28.29% |
| Worst Year | 3.39% |
| Avg. Drawdown | -2.27% |
| Avg. Drawdown Days | 24 |
| Recovery Factor | 4.37 |
| Ulcer Index | 0.05 |
| Serenity Index | 1.08 |
| Avg. Up Month | 3.22% |
| Avg. Down Month | -2.9% |
| Win Days | 53.84% |
| Win Month | 71.15% |
| Win Quarter | 72.22% |
| Win Year | 100.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2017 | 12.6% | 13.21% |
| 2018 | 4.45% | 3.39% |
| 2019 | 11.04% | 11.09% |
| 2020 | 22.3% | 22.74% |
| 2021 | 25.85% | 28.29% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-07-15 | 2020-04-23 | -17.43 | 284 |
| 2018-01-22 | 2018-08-22 | -15.88 | 213 |
| 2020-08-27 | 2021-02-12 | -12.41 | 170 |
| 2018-11-12 | 2019-04-03 | -11.12 | 143 |
| 2021-05-11 | 2021-08-13 | -7.20 | 95 |
| 2021-02-19 | 2021-03-18 | -6.38 | 28 |
| 2021-09-23 | 2021-10-28 | -5.34 | 36 |
| 2017-10-02 | 2017-12-19 | -4.79 | 79 |
| 2018-09-27 | 2018-10-26 | -4.45 | 30 |
| 2019-04-17 | 2019-06-05 | -2.82 | 50 |