| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | 9.12% | 10.11% |
| CAGR﹪ | 7.6% | 8.42% |
| Sharpe | 17.59 | 77.33 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 13.77 | 60.54 |
| Sortino | 100.43 | - |
| Smart Sortino | 78.61 | - |
| Sortino/√2 | 71.02 | - |
| Smart Sortino/√2 | 55.59 | - |
| Omega | 28.44 | 28.44 |
| Max Drawdown | -0.04% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 0.41% | 0.1% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 192.61 | - |
| Skew | 0.58 | 1.28 |
| Kurtosis | 0.55 | 4.29 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.58% | 0.64% |
| Expected Yearly | 4.46% | 4.94% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.01% | -0.02% |
| Expected Shortfall (cVaR) | -0.01% | -0.02% |
| Max Consecutive Wins | 23 | 304 |
| Max Consecutive Losses | 1 | 0 |
| Gain/Pain Ratio | 27.44 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 28.44 | - |
| Common Sense Ratio | 224.71 | - |
| CPC Index | - | - |
| Tail Ratio | 7.9 | 2.02 |
| Outlier Win Ratio | 2.37 | 2.4 |
| Outlier Loss Ratio | 0.11 | - |
| MTD | 0.75% | 0.81% |
| 3M | 2.37% | 2.52% |
| 6M | 4.12% | 4.53% |
| YTD | 5.65% | 6.34% |
| 1Y | 7.7% | 8.51% |
| 3Y (ann.) | 7.6% | 8.42% |
| 5Y (ann.) | 7.6% | 8.42% |
| 10Y (ann.) | 7.6% | 8.42% |
| All-time (ann.) | 7.6% | 8.42% |
| Best Day | 0.12% | 0.05% |
| Worst Day | -0.04% | 0.0% |
| Best Month | 0.84% | 0.81% |
| Worst Month | 0.3% | 0.53% |
| Best Year | 5.65% | 6.34% |
| Worst Year | 3.29% | 3.55% |
| Avg. Drawdown | -0.01% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 231.19 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 6267.02 | - |
| Avg. Up Month | 0.58% | 0.64% |
| Avg. Down Month | - | - |
| Win Days | 92.11% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.58 | - |
| Alpha | 0.03 | - |
| Correlation | 14.59% | - |
| Treynor Ratio | 15.69% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 3.55 | 3.29 | 0.93 | - |
| 2023 | 6.34 | 5.65 | 0.89 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-09-19 | 2022-09-20 | -0.04 | 1 |
| 2022-10-25 | 2022-10-26 | -0.03 | 1 |
| 2023-02-24 | 2023-02-27 | -0.03 | 3 |
| 2023-05-08 | 2023-05-10 | -0.03 | 2 |
| 2023-07-31 | 2023-08-01 | -0.02 | 1 |
| 2023-08-08 | 2023-08-09 | -0.02 | 1 |
| 2022-07-22 | 2022-07-25 | -0.01 | 3 |
| 2022-08-01 | 2022-08-02 | -0.01 | 1 |
| 2022-08-15 | 2022-08-16 | -0.01 | 1 |
| 2022-09-26 | 2022-09-27 | -0.01 | 1 |