| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 95.0% | 98.0% |
| Cumulative Return | 18.5% | 18.54% |
| CAGR﹪ | 10.17% | 10.19% |
| Sharpe | -367.99 | -348.72 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -357.0 | -338.3 |
| Sortino | -15.86 | -15.86 |
| Smart Sortino | -15.39 | -15.38 |
| Sortino/√2 | -11.21 | -11.21 |
| Smart Sortino/√2 | -10.88 | -10.88 |
| Omega | 0.0 | 0.0 |
| Max Drawdown | -0.05% | -0.02% |
| Longest DD Days | 3 | 1 |
| Volatility (ann.) | 0.54% | 0.57% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 192.8 | 530.02 |
| Skew | 1.51 | 5.02 |
| Kurtosis | 4.19 | 47.78 |
| Expected Daily | 0.04% | 0.04% |
| Expected Monthly | 0.77% | 0.78% |
| Expected Yearly | 5.82% | 5.83% |
| Kelly Criterion | 91.25% | 99.66% |
| 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 | 76 | 94 |
| Max Consecutive Losses | 1 | 1 |
| Gain/Pain Ratio | 47.05 | 885.33 |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | 1.46 | 2.01 |
| Profit Factor | 48.05 | 886.33 |
| Common Sense Ratio | - | 6149.97 |
| CPC Index | 66.71 | 1776.16 |
| Tail Ratio | - | 6.94 |
| Outlier Win Ratio | 3.52 | 3.76 |
| Outlier Loss Ratio | 0.72 | 0.62 |
| MTD | 1.05% | 1.12% |
| 3M | 3.87% | 3.87% |
| 6M | 7.71% | 7.74% |
| YTD | 4.77% | 5.01% |
| 1Y | 12.6% | 12.63% |
| 3Y (ann.) | 10.17% | 10.19% |
| 5Y (ann.) | 10.17% | 10.19% |
| 10Y (ann.) | 10.17% | 10.19% |
| All-time (ann.) | 10.17% | 10.19% |
| Best Day | 0.23% | 0.47% |
| Worst Day | -0.05% | -0.02% |
| Best Month | 1.37% | 1.38% |
| Worst Month | 0.09% | 0.08% |
| Best Year | 9.74% | 9.58% |
| Worst Year | 3.07% | 3.02% |
| Avg. Drawdown | -0.02% | -0.02% |
| Avg. Drawdown Days | 2 | 1 |
| Recovery Factor | 350.91 | 964.73 |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | -647315.76 | -17562449.82 |
| Avg. Up Month | 0.78% | 0.78% |
| Avg. Down Month | - | - |
| Win Days | 94.8% | 99.77% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.01 | - |
| Alpha | 0.09 | - |
| Correlation | 0.7% | - |
| Treynor Ratio | -103147.5% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 3.02 | 3.07 | 1.02 | + |
| 2023 | 9.58 | 9.74 | 1.02 | + |
| 2024 | 5.01 | 4.77 | 0.95 | - |
| 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 |
| 2022-08-01 | 2022-08-02 | -0.01 | 1 |
| 2022-08-15 | 2022-08-16 | -0.01 | 1 |
| 2022-09-26 | 2022-09-27 | -0.01 | 1 |