| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 62.1% | 49.09% |
| CAGR﹪ | 12.98% | 10.62% |
| Sharpe | 0.63 | 17.22 |
| Prob. Sharpe Ratio | 88.15% | 100.0% |
| Smart Sharpe | 0.63 | 16.99 |
| Sortino | 0.82 | - |
| Smart Sortino | 0.81 | - |
| Sortino/√2 | 0.58 | - |
| Smart Sortino/√2 | 0.57 | - |
| Omega | 1.13 | 1.13 |
| Max Drawdown | -51.24% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 24.37% | 0.59% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.25 | - |
| Skew | -2.69 | 15.19 |
| Kurtosis | 31.04 | 293.43 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 0.99% | 0.82% |
| Expected Yearly | 10.14% | 8.32% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.46% | -0.02% |
| Expected Shortfall (cVaR) | -2.46% | -0.02% |
| Max Consecutive Wins | 11 | 982 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.13 | - |
| Gain/Pain (1M) | 0.56 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.13 | - |
| Common Sense Ratio | 1.12 | - |
| CPC Index | - | - |
| Tail Ratio | 0.99 | 3.87 |
| Outlier Win Ratio | 1.88 | 43.51 |
| Outlier Loss Ratio | 1.84 | - |
| MTD | 0.9% | 0.08% |
| 3M | 1.0% | 5.2% |
| 6M | -13.7% | 9.7% |
| YTD | 2.52% | 16.69% |
| 1Y | 5.88% | 18.06% |
| 3Y (ann.) | 7.08% | 12.35% |
| 5Y (ann.) | 12.98% | 10.62% |
| 10Y (ann.) | 12.98% | 10.62% |
| All-time (ann.) | 12.98% | 10.62% |
| Best Day | 7.68% | 0.77% |
| Worst Day | -19.31% | 0.0% |
| Best Month | 19.14% | 1.79% |
| Worst Month | -27.94% | 0.08% |
| Best Year | 77.81% | 16.69% |
| Worst Year | -33.04% | 0.33% |
| Avg. Drawdown | -2.87% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.21 | - |
| Ulcer Index | 0.22 | 0.0 |
| Serenity Index | 0.11 | - |
| Avg. Up Month | 5.01% | 0.79% |
| Avg. Down Month | - | - |
| Win Days | 56.26% | 100.0% |
| Win Month | 69.39% | 100.0% |
| Win Quarter | 64.71% | 100.0% |
| Win Year | 80.0% | 100.0% |
| Beta | 6.39 | - |
| Alpha | -0.5 | - |
| Correlation | 15.59% | - |
| Treynor Ratio | 9.72% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 0.33 | 1.83 | 5.52 | + |
| 2021 | 5.82 | 30.41 | 5.23 | + |
| 2022 | 9.41 | -33.04 | -3.51 | - |
| 2023 | 10.00 | 77.81 | 7.78 | + |
| 2024 | 16.69 | 2.52 | 0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-12 | 2023-08-21 | -51.24 | 678 |
| 2024-05-20 | 2024-12-02 | -22.88 | 196 |
| 2023-11-23 | 2024-01-03 | -8.41 | 41 |
| 2021-01-15 | 2021-03-09 | -7.61 | 53 |
| 2023-09-06 | 2023-10-09 | -5.87 | 33 |
| 2024-02-16 | 2024-03-01 | -4.36 | 14 |
| 2021-07-08 | 2021-08-11 | -4.19 | 34 |
| 2021-03-16 | 2021-04-14 | -3.46 | 29 |
| 2021-04-27 | 2021-05-06 | -2.73 | 9 |
| 2023-10-26 | 2023-11-07 | -2.54 | 12 |