ETH-5min-vs-30m-.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 | 17.0% |
| Cumulative Return | 12,283.43% |
| CAGR﹪ | 189782.48% |
| Sharpe | 1.19 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.18 |
| Sortino | 2.08 |
| Smart Sortino | 2.07 |
| Sortino/√2 | 1.47 |
| Smart Sortino/√2 | 1.47 |
| Omega | 1.63 |
| Max Drawdown | -4.33% |
| Longest DD Days | 3 |
| Volatility (ann.) | 2.23% |
| Calmar | 43806.82 |
| Skew | 2.85 |
| Kurtosis | 91.77 |
| Expected Daily | 0.01% |
| Expected Monthly | 82.64% |
| Expected Yearly | 12283.43% |
| Kelly Criterion | 19.95% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.18% |
| Expected Shortfall (cVaR) | -0.18% |
| Max Consecutive Wins | 15 |
| Max Consecutive Losses | 7 |
| Gain/Pain Ratio | 236.91 |
| Gain/Pain (1M) | - |
| Payoff Ratio | 1.53 |
| Profit Factor | 1.63 |
| Common Sense Ratio | 4.13 |
| CPC Index | 1.29 |
| Tail Ratio | 2.53 |
| Outlier Win Ratio | 22.44 |
| Outlier Loss Ratio | 1.98 |
| MTD | 33.64% |
| 3M | 616.39% |
| 6M | 3530.68% |
| YTD | 12283.43% |
| 1Y | 12283.43% |
| 3Y (ann.) | 189782.48% |
| 5Y (ann.) | 189782.48% |
| 10Y (ann.) | 189782.48% |
| All-time (ann.) | 189782.48% |
| Best Day | 3.92% |
| Worst Day | -2.85% |
| Best Month | 190.93% |
| Worst Month | 33.64% |
| Best Year | 12283.43% |
| Worst Year | 12283.43% |
| Avg. Drawdown | -0.46% |
| Avg. Drawdown Days | 0 |
| Recovery Factor | 2835.34 |
| Ulcer Index | 0.01 |
| Serenity Index | 1715.67 |
| Avg. Up Month | 88.69% |
| Avg. Down Month | - |
| Win Days | 51.55% |
| Win Month | 100.0% |
| Win Quarter | 100.0% |
| Win Year | 100.0% |
EOY Returns
| Year | Return | Cumulative |
|---|---|---|
| 2022 | 486.48% | 12283.43% |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-05-12 | 2022-05-12 | -4.33 | 0 |
| 2022-06-15 | 2022-06-16 | -3.68 | 0 |
| 2022-05-09 | 2022-05-10 | -3.33 | 0 |
| 2022-05-12 | 2022-05-12 | -3.19 | 0 |
| 2022-06-13 | 2022-06-13 | -3.08 | 0 |
| 2022-02-24 | 2022-02-25 | -2.99 | 1 |
| 2022-05-12 | 2022-05-13 | -2.82 | 0 |
| 2022-01-22 | 2022-01-23 | -2.59 | 0 |
| 2022-01-26 | 2022-01-26 | -2.39 | 0 |
| 2022-06-07 | 2022-06-08 | -2.37 | 0 |
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