ETH-2min-vs-10m-.2022 1 Jan, 2022 - 22 Aug, 2022
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围观实盘： FMZ ， 币coin
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以下是详细performance report，按月份统计的收益在倒数第二个图表（2022年至今每月正收益）， 最大回测统计在页面的右下角的“Worst 10 Drawdowns”。
Key Performance Metrics
| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 19.0% |
| Cumulative Return | 42,844.54% |
| CAGR﹪ | 1331925.15% |
| Sharpe | 1.0 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 0.93 |
| Sortino | 1.73 |
| Smart Sortino | 1.61 |
| Sortino/√2 | 1.22 |
| Smart Sortino/√2 | 1.14 |
| Omega | 1.48 |
| Max Drawdown | -5.92% |
| Longest DD Days | 3 |
| Volatility (ann.) | 1.33% |
| Calmar | 224932.49 |
| Skew | 2.53 |
| Kurtosis | 113.84 |
| Expected Daily | 0.0% |
| Expected Monthly | 113.36% |
| Expected Yearly | 42844.54% |
| Kelly Criterion | 15.88% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.11% |
| Expected Shortfall (cVaR) | -0.11% |
| Max Consecutive Wins | 13 |
| Max Consecutive Losses | 11 |
| Gain/Pain Ratio | 138.79 |
| Gain/Pain (1M) | - |
| Payoff Ratio | 1.53 |
| Profit Factor | 1.48 |
| Common Sense Ratio | 2.58 |
| CPC Index | 1.11 |
| Tail Ratio | 1.75 |
| Outlier Win Ratio | 21.85 |
| Outlier Loss Ratio | 2.12 |
| MTD | 47.65% |
| 3M | 1615.07% |
| 6M | 10394.31% |
| YTD | 42844.54% |
| 1Y | 42844.54% |
| 3Y (ann.) | 1331925.15% |
| 5Y (ann.) | 1331925.15% |
| 10Y (ann.) | 1331925.15% |
| All-time (ann.) | 1331925.15% |
| Best Day | 2.17% |
| Worst Day | -2.66% |
| Best Month | 330.18% |
| Worst Month | 42.8% |
| Best Year | 42844.54% |
| Worst Year | 42844.54% |
| Avg. Drawdown | -0.31% |
| Avg. Drawdown Days | 0 |
| Recovery Factor | 7235.49 |
| Ulcer Index | 0.01 |
| Serenity Index | 4291.19 |
| Avg. Up Month | 126.82% |
| Avg. Down Month | - |
| Win Days | 49.1% |
| Win Month | 100.0% |
| Win Quarter | 100.0% |
| Win Year | 100.0% |
EOY Returns
| Year | Return | Cumulative |
|---|---|---|
| 2022 | 610.34% | 42844.54% |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-05-12 | 2022-05-12 | -5.92 | 0 |
| 2022-05-11 | 2022-05-11 | -4.49 | 0 |
| 2022-06-15 | 2022-06-16 | -3.28 | 0 |
| 2022-07-06 | 2022-07-08 | -2.77 | 2 |
| 2022-02-21 | 2022-02-23 | -2.58 | 1 |
| 2022-01-10 | 2022-01-13 | -2.55 | 2 |
| 2022-08-10 | 2022-08-11 | -2.42 | 1 |
| 2022-05-12 | 2022-05-13 | -2.20 | 0 |
| 2022-01-27 | 2022-01-27 | -2.19 | 0 |
| 2022-05-12 | 2022-05-12 | -2.13 | 0 |
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