| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 27.74% | 28.78% |
| CAGR﹪ | 11.57% | 11.98% |
| Sharpe | 18.6 | 44.64 |
| Prob. Sharpe Ratio | - | - |
| Smart Sharpe | 18.38 | 44.11 |
| Sortino | 171.38 | - |
| Smart Sortino | 169.34 | - |
| Sortino/√2 | 121.18 | - |
| Smart Sortino/√2 | 119.74 | - |
| Omega | 67.01 | 67.01 |
| Max Drawdown | -0.05% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 0.58% | 0.25% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 219.43 | - |
| Skew | 1.39 | 0.31 |
| Kurtosis | 2.72 | -1.32 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.88% | 0.91% |
| Expected Yearly | 8.5% | 8.8% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.02% | -0.02% |
| Expected Shortfall (cVaR) | -0.02% | -0.02% |
| Max Consecutive Wins | 190 | 569 |
| Max Consecutive Losses | 1 | 0 |
| Gain/Pain Ratio | 66.01 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 67.01 | - |
| Common Sense Ratio | - | - |
| CPC Index | - | - |
| Tail Ratio | - | 2.84 |
| Outlier Win Ratio | 2.49 | 2.54 |
| Outlier Loss Ratio | -0.19 | - |
| MTD | 0.34% | 0.37% |
| 3M | 4.33% | 4.57% |
| 6M | 8.36% | 8.68% |
| YTD | 12.69% | 13.06% |
| 1Y | 16.51% | 16.65% |
| 3Y (ann.) | 11.57% | 11.98% |
| 5Y (ann.) | 11.57% | 11.98% |
| 10Y (ann.) | 11.57% | 11.98% |
| All-time (ann.) | 11.57% | 11.98% |
| Best Day | 0.23% | 0.07% |
| Worst Day | -0.05% | 0.0% |
| Best Month | 1.52% | 1.56% |
| Worst Month | 0.3% | 0.37% |
| Best Year | 12.69% | 13.06% |
| Worst Year | 3.29% | 3.55% |
| Avg. Drawdown | -0.02% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 525.95 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 35887.28 | - |
| Avg. Up Month | 0.88% | 0.91% |
| Avg. Down Month | - | - |
| Win Days | 95.77% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.99 | - |
| Alpha | -0.0 | - |
| Correlation | 42.63% | - |
| Treynor Ratio | 28.01% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 3.55 | 3.29 | 0.93 | - |
| 2023 | 10.00 | 9.74 | 0.97 | - |
| 2024 | 13.06 | 12.69 | 0.97 | - |
| 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 |