| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 17.64% | 23.06% |
| CAGR﹪ | 6.26% | 8.07% |
| Sharpe | 0.38 | 12.01 |
| Prob. Sharpe Ratio | 72.84% | 99.97% |
| Smart Sharpe | 0.37 | 11.42 |
| Sortino | 0.49 | - |
| Smart Sortino | 0.47 | - |
| Sortino/√2 | 0.35 | - |
| Smart Sortino/√2 | 0.33 | - |
| Omega | 1.07 | 1.07 |
| Max Drawdown | -48.48% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 23.48% | 0.66% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.13 | - |
| Skew | -1.67 | 17.04 |
| Kurtosis | 10.67 | 301.14 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.49% | 0.63% |
| Expected Yearly | 5.56% | 7.16% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.4% | -0.04% |
| Expected Shortfall (cVaR) | -2.4% | -0.04% |
| Max Consecutive Wins | 8 | 657 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.07 | - |
| Gain/Pain (1M) | 0.28 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.07 | - |
| Common Sense Ratio | 0.98 | - |
| CPC Index | - | - |
| Tail Ratio | 0.91 | 2.82 |
| Outlier Win Ratio | 2.0 | 57.97 |
| Outlier Loss Ratio | 2.08 | - |
| MTD | -3.42% | 0.81% |
| 3M | 10.75% | 2.52% |
| 6M | 39.32% | 4.53% |
| YTD | 52.93% | 6.34% |
| 1Y | 62.84% | 8.51% |
| 3Y (ann.) | 6.26% | 8.07% |
| 5Y (ann.) | 6.26% | 8.07% |
| 10Y (ann.) | 6.26% | 8.07% |
| All-time (ann.) | 6.26% | 8.07% |
| Best Day | 5.61% | 0.77% |
| Worst Day | -10.29% | 0.0% |
| Best Month | 15.57% | 1.55% |
| Worst Month | -24.16% | 0.33% |
| Best Year | 52.93% | 9.41% |
| Worst Year | -32.19% | 5.77% |
| Avg. Drawdown | -3.51% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.36 | - |
| Ulcer Index | 0.24 | 0.0 |
| Serenity Index | 0.02 | - |
| Avg. Up Month | 5.14% | 0.61% |
| Avg. Down Month | - | - |
| Win Days | 55.74% | 100.0% |
| Win Month | 63.64% | 100.0% |
| Win Quarter | 63.64% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | 6.26 | - |
| Alpha | -0.41 | - |
| Correlation | 17.64% | - |
| Treynor Ratio | 2.82% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 5.77 | 13.43 | 2.33 | + |
| 2022 | 9.41 | -32.19 | -3.42 | - |
| 2023 | 6.34 | 52.93 | 8.35 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2023-09-01 | -48.48 | 681 |
| 2023-09-07 | 2023-09-22 | -7.57 | 15 |
| 2021-01-21 | 2021-03-11 | -5.27 | 49 |
| 2021-06-15 | 2021-08-05 | -4.77 | 51 |
| 2021-04-27 | 2021-05-07 | -3.47 | 10 |
| 2021-09-14 | 2021-10-05 | -3.38 | 21 |
| 2021-03-16 | 2021-03-31 | -2.60 | 15 |
| 2021-08-18 | 2021-08-30 | -1.71 | 12 |
| 2021-09-09 | 2021-09-13 | -1.55 | 4 |
| 2021-04-05 | 2021-04-12 | -1.38 | 7 |