| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 91.0% | 100.0% |
| Cumulative Return | 38.68% | 10.7% |
| CAGR﹪ | 26.48% | 7.58% |
| Sharpe | 0.72 | 27.48 |
| Prob. Sharpe Ratio | 80.4% | 100.0% |
| Smart Sharpe | 0.48 | 18.12 |
| Sortino | 1.35 | - |
| Smart Sortino | 0.89 | - |
| Sortino/√2 | 0.95 | - |
| Smart Sortino/√2 | 0.63 | - |
| Omega | 1.25 | 1.25 |
| Max Drawdown | -52.3% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 94.72% | 0.32% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.51 | - |
| Skew | 4.56 | 1.87 |
| Kurtosis | 59.99 | 4.62 |
| Expected Daily | 0.11% | 0.03% |
| Expected Monthly | 1.94% | 0.6% |
| Expected Yearly | 11.52% | 3.45% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -9.54% | -0.0% |
| Expected Shortfall (cVaR) | -9.54% | -0.0% |
| Max Consecutive Wins | 10 | 292 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.25 | - |
| Gain/Pain (1M) | 2.71 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.25 | - |
| Common Sense Ratio | 1.03 | - |
| CPC Index | - | - |
| Tail Ratio | 0.83 | 4.83 |
| Outlier Win Ratio | 2.75 | 185.49 |
| Outlier Loss Ratio | 2.12 | - |
| MTD | 4.01% | 0.37% |
| 3M | 18.57% | 1.61% |
| 6M | 7.51% | 4.35% |
| YTD | 23.15% | 2.32% |
| 1Y | 8.07% | 7.71% |
| 3Y (ann.) | 26.48% | 7.58% |
| 5Y (ann.) | 26.48% | 7.58% |
| 10Y (ann.) | 26.48% | 7.58% |
| All-time (ann.) | 26.48% | 7.58% |
| Best Day | 65.24% | 0.11% |
| Worst Day | -37.87% | 0.0% |
| Best Month | 44.02% | 1.11% |
| Worst Month | -40.91% | 0.28% |
| Best Year | 23.15% | 7.42% |
| Worst Year | 4.14% | 0.72% |
| Avg. Drawdown | -6.88% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.74 | - |
| Ulcer Index | 0.17 | 0.0 |
| Serenity Index | 0.42 | - |
| Avg. Up Month | 8.31% | 0.55% |
| Avg. Down Month | - | - |
| Win Days | 53.38% | 100.0% |
| Win Month | 76.47% | 100.0% |
| Win Quarter | 71.43% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -9.3 | - |
| Alpha | 1.5 | - |
| Correlation | -3.13% | - |
| Treynor Ratio | -4.16% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 0.72 | 8.14 | 11.24 | + |
| 2023 | 7.42 | 4.14 | 0.56 | - |
| 2024 | 2.32 | 23.15 | 9.98 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-07 | 2024-04-26 | -52.30 | 263 |
| 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 |