| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 22.92% | 17.87% |
| CAGR﹪ | 8.03% | 6.35% |
| Sharpe | 0.79 | 47.83 |
| Prob. Sharpe Ratio | 86.7% | - |
| Smart Sharpe | 0.65 | 39.68 |
| Sortino | 1.0 | - |
| Smart Sortino | 0.83 | - |
| Sortino/√2 | 0.71 | - |
| Smart Sortino/√2 | 0.59 | - |
| Omega | 1.26 | 1.26 |
| Max Drawdown | -16.61% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 10.85% | 0.13% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.48 | - |
| Skew | -4.8 | 1.41 |
| Kurtosis | 104.47 | 2.43 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.65% | 0.52% |
| Expected Yearly | 5.29% | 4.2% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.09% | -0.01% |
| Expected Shortfall (cVaR) | -1.09% | -0.01% |
| Max Consecutive Wins | 8 | 653 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.26 | - |
| Gain/Pain (1M) | 1.41 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.26 | - |
| Common Sense Ratio | 1.85 | - |
| CPC Index | - | - |
| Tail Ratio | 1.46 | 2.72 |
| Outlier Win Ratio | 2.66 | 28.62 |
| Outlier Loss Ratio | 2.93 | - |
| MTD | 0.11% | 0.06% |
| 3M | 2.97% | 2.0% |
| 6M | 4.97% | 3.74% |
| YTD | 0.59% | 0.73% |
| 1Y | 10.22% | 7.79% |
| 3Y (ann.) | 8.03% | 6.35% |
| 5Y (ann.) | 8.03% | 6.35% |
| 10Y (ann.) | 8.03% | 6.35% |
| All-time (ann.) | 8.03% | 6.35% |
| Best Day | 6.66% | 0.07% |
| Worst Day | -10.58% | 0.0% |
| Best Month | 7.66% | 1.1% |
| Worst Month | -9.27% | 0.06% |
| Best Year | 8.1% | 7.74% |
| Worst Year | 0.59% | 0.73% |
| Avg. Drawdown | -0.59% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.38 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.9 | - |
| Avg. Up Month | 1.46% | 0.5% |
| Avg. Down Month | - | - |
| Win Days | 59.03% | 100.0% |
| Win Month | 81.25% | 100.0% |
| Win Quarter | 83.33% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -0.55 | - |
| Alpha | 0.12 | - |
| Correlation | -0.68% | - |
| Treynor Ratio | -41.47% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 2.64 | 6.55 | 2.48 | + |
| 2021 | 5.82 | 6.09 | 1.05 | + |
| 2022 | 7.74 | 8.10 | 1.05 | + |
| 2023 | 0.73 | 0.59 | 0.80 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2022-06-09 | -16.61 | 154 |
| 2022-09-19 | 2022-11-24 | -7.19 | 66 |
| 2023-01-05 | 2023-02-02 | -3.44 | 28 |
| 2021-09-30 | 2021-12-27 | -3.04 | 88 |
| 2022-12-07 | 2022-12-30 | -1.69 | 23 |
| 2022-06-21 | 2022-06-30 | -1.42 | 9 |
| 2022-07-19 | 2022-07-25 | -1.03 | 6 |
| 2022-08-10 | 2022-08-15 | -0.96 | 5 |
| 2022-08-16 | 2022-08-24 | -0.88 | 8 |
| 2022-06-14 | 2022-06-15 | -0.82 | 1 |