| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 41.19% | 7.01% |
| CAGR﹪ | 54.13% | 8.87% |
| Sharpe | 1.48 | 75.61 |
| Prob. Sharpe Ratio | 88.67% | 100.0% |
| Smart Sharpe | 1.06 | 54.09 |
| Sortino | 2.29 | - |
| Smart Sortino | 1.64 | - |
| Sortino/√2 | 1.62 | - |
| Smart Sortino/√2 | 1.16 | - |
| Omega | 1.29 | 1.29 |
| Max Drawdown | -17.6% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 41.38% | 0.14% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 3.07 | - |
| Skew | 0.33 | 0.46 |
| Kurtosis | 2.84 | 3.41 |
| Expected Daily | 0.21% | 0.04% |
| Expected Monthly | 3.51% | 0.68% |
| Expected Yearly | 18.82% | 3.45% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.05% | -0.03% |
| Expected Shortfall (cVaR) | -4.05% | -0.03% |
| Max Consecutive Wins | 10 | 164 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.29 | - |
| Gain/Pain (1M) | 12.69 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.29 | - |
| Common Sense Ratio | 1.44 | - |
| CPC Index | - | - |
| Tail Ratio | 1.11 | 1.93 |
| Outlier Win Ratio | 1.92 | 87.73 |
| Outlier Loss Ratio | 1.68 | - |
| MTD | -1.74% | 0.81% |
| 3M | 4.06% | 2.46% |
| 6M | 19.18% | 4.47% |
| YTD | 30.56% | 6.34% |
| 1Y | 41.19% | 7.01% |
| 3Y (ann.) | 54.13% | 8.87% |
| 5Y (ann.) | 54.13% | 8.87% |
| 10Y (ann.) | 54.13% | 8.87% |
| All-time (ann.) | 54.13% | 8.87% |
| Best Day | 12.16% | 0.06% |
| Worst Day | -7.03% | 0.0% |
| Best Month | 14.88% | 0.81% |
| Worst Month | -4.34% | 0.63% |
| Best Year | 30.56% | 6.34% |
| Worst Year | 8.14% | 0.63% |
| Avg. Drawdown | -4.57% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.34 | - |
| Ulcer Index | 0.05 | 0.0 |
| Serenity Index | 2.59 | - |
| Avg. Up Month | 5.31% | 0.65% |
| Avg. Down Month | - | - |
| Win Days | 54.19% | 100.0% |
| Win Month | 80.0% | 100.0% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 5.4 | - |
| Alpha | 0.05 | - |
| Correlation | 1.79% | - |
| Treynor Ratio | 7.63% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 0.63 | 8.14 | 12.86 | + |
| 2023 | 6.34 | 30.56 | 4.82 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-07 | 2023-09-22 | -17.60 | 46 |
| 2023-04-14 | 2023-06-13 | -8.86 | 60 |
| 2023-02-15 | 2023-04-06 | -7.13 | 50 |
| 2022-12-06 | 2022-12-19 | -4.31 | 13 |
| 2023-07-17 | 2023-07-28 | -3.83 | 11 |
| 2022-12-22 | 2023-01-04 | -3.74 | 13 |
| 2023-01-11 | 2023-01-18 | -3.38 | 7 |
| 2023-01-19 | 2023-01-30 | -3.31 | 11 |
| 2023-07-11 | 2023-07-12 | -3.14 | 1 |
| 2023-02-06 | 2023-02-13 | -3.06 | 7 |