| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 30.63% | 32.74% |
| CAGR﹪ | 12.01% | 12.77% |
| Sharpe | 18.81 | 37.48 |
| Prob. Sharpe Ratio | - | 100.0% |
| Smart Sharpe | 18.73 | 37.33 |
| Sortino | 182.04 | - |
| Smart Sortino | 181.3 | - |
| Sortino/√2 | 128.72 | - |
| Smart Sortino/√2 | 128.2 | - |
| Omega | 73.06 | 73.06 |
| Max Drawdown | -0.05% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 0.59% | 0.32% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 227.74 | - |
| Skew | 1.37 | 1.28 |
| Kurtosis | 2.55 | 2.76 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.93% | 0.98% |
| Expected Yearly | 9.32% | 9.9% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.02% | -0.01% |
| Expected Shortfall (cVaR) | -0.02% | -0.01% |
| Max Consecutive Wins | 222 | 601 |
| Max Consecutive Losses | 1 | 0 |
| Gain/Pain Ratio | 72.06 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 73.06 | - |
| Common Sense Ratio | - | - |
| CPC Index | - | - |
| Tail Ratio | - | 2.98 |
| Outlier Win Ratio | 3.0 | 2.99 |
| Outlier Loss Ratio | -0.19 | - |
| MTD | 1.06% | 1.74% |
| 3M | 4.71% | 5.68% |
| 6M | 8.88% | 10.21% |
| YTD | 15.25% | 16.53% |
| 1Y | 17.33% | 18.51% |
| 3Y (ann.) | 12.01% | 12.77% |
| 5Y (ann.) | 12.01% | 12.77% |
| 10Y (ann.) | 12.01% | 12.77% |
| All-time (ann.) | 12.01% | 12.77% |
| Best Day | 0.23% | 0.12% |
| Worst Day | -0.05% | 0.0% |
| Best Month | 1.54% | 1.74% |
| Worst Month | 0.3% | 0.53% |
| Best Year | 15.25% | 16.53% |
| Worst Year | 3.29% | 3.55% |
| Avg. Drawdown | -0.02% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 580.89 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 42867.53 | - |
| Avg. Up Month | 0.93% | 0.98% |
| Avg. Down Month | - | - |
| Win Days | 96.01% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.78 | - |
| Alpha | 0.02 | - |
| Correlation | 41.31% | - |
| Treynor Ratio | 39.44% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 3.55 | 3.29 | 0.93 | - |
| 2023 | 10.00 | 9.74 | 0.97 | - |
| 2024 | 16.53 | 15.25 | 0.92 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-01-09 | 2024-01-10 | -0.05 | 1 |
| 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 |