| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 21.39% | 18.53% |
| CAGR﹪ | 23.83% | 20.62% |
| Sharpe | 1.3 | 44.81 |
| Prob. Sharpe Ratio | 90.2% | 100.0% |
| Smart Sharpe | 1.21 | 41.75 |
| Sortino | 2.1 | - |
| Smart Sortino | 1.95 | - |
| Sortino/√2 | 1.48 | - |
| Smart Sortino/√2 | 1.38 | - |
| Omega | 1.3 | 1.3 |
| Max Drawdown | -13.42% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 17.13% | 0.41% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 1.78 | - |
| Skew | 0.98 | 3.26 |
| Kurtosis | 13.15 | 13.79 |
| Expected Daily | 0.08% | 0.07% |
| Expected Monthly | 1.63% | 1.43% |
| Expected Yearly | 21.39% | 18.53% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.69% | -0.03% |
| Expected Shortfall (cVaR) | -1.69% | -0.03% |
| Max Consecutive Wins | 7 | 233 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.3 | - |
| Gain/Pain (1M) | 1.99 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.3 | - |
| Common Sense Ratio | 1.57 | - |
| CPC Index | - | - |
| Tail Ratio | 1.21 | 2.26 |
| Outlier Win Ratio | 2.19 | 21.36 |
| Outlier Loss Ratio | 1.47 | - |
| MTD | -4.24% | 1.84% |
| 3M | 9.29% | 5.98% |
| 6M | 32.08% | 10.73% |
| YTD | 21.39% | 18.53% |
| 1Y | 21.39% | 18.53% |
| 3Y (ann.) | 23.83% | 20.62% |
| 5Y (ann.) | 23.83% | 20.62% |
| 10Y (ann.) | 23.83% | 20.62% |
| All-time (ann.) | 23.83% | 20.62% |
| Best Day | 7.29% | 0.21% |
| Worst Day | -4.96% | 0.0% |
| Best Month | 13.51% | 1.84% |
| Worst Month | -4.55% | 1.03% |
| Best Year | 21.39% | 18.53% |
| Worst Year | 21.39% | 18.53% |
| Avg. Drawdown | -1.96% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.59 | - |
| Ulcer Index | 0.04 | 0.0 |
| Serenity Index | 0.77 | - |
| Avg. Up Month | 3.53% | 1.41% |
| Avg. Down Month | - | - |
| Win Days | 53.88% | 100.0% |
| Win Month | 75.0% | 100.0% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.33 | - |
| Alpha | 0.16 | - |
| Correlation | 0.78% | - |
| Treynor Ratio | 65.54% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 18.53 | 21.39 | 1.15 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-18 | 2024-09-04 | -13.42 | 139 |
| 2024-11-27 | 2024-12-20 | -8.96 | 23 |
| 2024-02-26 | 2024-04-10 | -2.46 | 44 |
| 2024-11-06 | 2024-11-18 | -2.39 | 12 |
| 2024-10-10 | 2024-10-28 | -1.96 | 18 |
| 2024-02-08 | 2024-02-15 | -1.09 | 7 |
| 2024-09-05 | 2024-09-06 | -1.04 | 1 |
| 2024-01-29 | 2024-01-31 | -1.04 | 2 |
| 2024-10-29 | 2024-11-01 | -0.72 | 3 |
| 2024-02-05 | 2024-02-06 | -0.41 | 1 |