| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 89.0% | 99.0% |
| Cumulative Return | 7.62% | 4.09% |
| CAGR﹪ | 30.76% | 15.77% |
| Sharpe | 3.48 | 115.06 |
| Prob. Sharpe Ratio | 95.52% | 99.45% |
| Smart Sharpe | 3.24 | 107.03 |
| Sortino | 5.61 | - |
| Smart Sortino | 5.22 | - |
| Sortino/√2 | 3.97 | - |
| Smart Sortino/√2 | 3.69 | - |
| Omega | 1.81 | 1.81 |
| Max Drawdown | -3.0% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 7.69% | 0.13% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.1 | 0.1 |
| Calmar | 10.24 | - |
| Skew | -0.57 | -5.64 |
| Kurtosis | 3.02 | 40.57 |
| Expected Daily | 0.11% | 0.06% |
| Expected Monthly | 1.48% | 0.81% |
| Expected Yearly | 7.62% | 4.09% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.69% | -0.04% |
| Expected Shortfall (cVaR) | -0.69% | -0.04% |
| Max Consecutive Wins | 4 | 69 |
| Max Consecutive Losses | 4 | 0 |
| Gain/Pain Ratio | 0.81 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.81 | - |
| Common Sense Ratio | 2.88 | - |
| CPC Index | - | - |
| Tail Ratio | 1.59 | 1.14 |
| Outlier Win Ratio | 1.74 | 11.22 |
| Outlier Loss Ratio | 1.35 | - |
| MTD | 0.74% | 0.32% |
| 3M | 7.2% | 3.65% |
| 6M | 7.62% | 4.09% |
| YTD | 7.62% | 4.09% |
| 1Y | 7.62% | 4.09% |
| 3Y (ann.) | 30.76% | 15.77% |
| 5Y (ann.) | 30.76% | 15.77% |
| 10Y (ann.) | 30.76% | 15.77% |
| All-time (ann.) | 30.76% | 15.77% |
| Best Day | 1.28% | 0.06% |
| Worst Day | -1.86% | 0.0% |
| Best Month | 2.72% | 1.24% |
| Worst Month | 0.0% | 0.0% |
| Best Year | 7.62% | 4.09% |
| Worst Year | 7.62% | 4.09% |
| Avg. Drawdown | -0.69% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.54 | - |
| Ulcer Index | 0.01 | 0.0 |
| Serenity Index | 5.73 | - |
| Avg. Up Month | 1.86% | 1.01% |
| Avg. Down Month | - | - |
| Win Days | 59.68% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 2.15 | - |
| Alpha | -0.04 | - |
| Correlation | 3.51% | - |
| Treynor Ratio | 3.55% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 4.09 | 7.62 | 1.86 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-02-16 | 2024-03-01 | -3.00 | 14 |
| 2024-03-13 | 2024-03-26 | -0.96 | 13 |
| 2024-04-08 | 2024-04-10 | -0.85 | 2 |
| 2024-04-23 | 2024-04-27 | -0.74 | 4 |
| 2024-05-02 | 2024-05-06 | -0.56 | 4 |
| 2024-02-02 | 2024-02-07 | -0.49 | 5 |
| 2024-04-02 | 2024-04-05 | -0.47 | 3 |
| 2024-03-05 | 2024-03-07 | -0.38 | 2 |
| 2024-02-09 | 2024-02-12 | -0.29 | 3 |
| 2024-04-16 | 2024-04-18 | -0.28 | 2 |