| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 91.0% | 100.0% |
| Cumulative Return | 2.38% | 6.21% |
| CAGR﹪ | 2.94% | 7.71% |
| Sharpe | 0.26 | 41.69 |
| Prob. Sharpe Ratio | 59.36% | - |
| Smart Sharpe | 0.21 | 32.99 |
| Sortino | 0.36 | - |
| Smart Sortino | 0.29 | - |
| Sortino/√2 | 0.26 | - |
| Smart Sortino/√2 | 0.2 | - |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -11.82% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 15.29% | 0.17% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.25 | - |
| Skew | -0.26 | -0.05 |
| Kurtosis | 27.05 | -0.18 |
| Expected Daily | 0.01% | 0.03% |
| Expected Monthly | 0.21% | 0.55% |
| Expected Yearly | 2.38% | 6.21% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.57% | -0.01% |
| Expected Shortfall (cVaR) | -1.57% | -0.01% |
| Max Consecutive Wins | 5 | 208 |
| Max Consecutive Losses | 4 | 0 |
| Gain/Pain Ratio | 0.06 | - |
| Gain/Pain (1M) | 0.28 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.06 | - |
| Common Sense Ratio | 1.0 | - |
| CPC Index | - | - |
| Tail Ratio | 0.94 | 5.43 |
| Outlier Win Ratio | 1.8 | 32.44 |
| Outlier Loss Ratio | 1.54 | - |
| MTD | 2.68% | 0.52% |
| 3M | 2.58% | 1.83% |
| 6M | -5.66% | 4.08% |
| YTD | 2.38% | 6.21% |
| 1Y | 2.38% | 6.21% |
| 3Y (ann.) | 2.94% | 7.71% |
| 5Y (ann.) | 2.94% | 7.71% |
| 10Y (ann.) | 2.94% | 7.71% |
| All-time (ann.) | 2.94% | 7.71% |
| Best Day | 7.02% | 0.05% |
| Worst Day | -7.18% | 0.0% |
| Best Month | 5.62% | 1.14% |
| Worst Month | -4.28% | 0.0% |
| Best Year | 2.38% | 6.21% |
| Worst Year | 2.38% | 6.21% |
| Avg. Drawdown | -1.39% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.2 | - |
| Ulcer Index | 0.05 | 0.0 |
| Serenity Index | 0.05 | - |
| Avg. Up Month | 3.0% | 0.51% |
| Avg. Down Month | - | - |
| Win Days | 51.58% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 25.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -3.47 | - |
| Alpha | 0.29 | - |
| Correlation | -3.95% | - |
| Treynor Ratio | -0.68% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 6.21 | 2.38 | 0.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-20 | 2024-11-22 | -11.82 | 186 |
| 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 |
| 2024-05-16 | 2024-05-17 | -0.55 | 1 |
| 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 |