| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 68.15% | 69.03% |
| CAGR﹪ | 35.33% | 35.74% |
| Sharpe | -9.53 | -10.25 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -9.21 | -9.9 |
| Sortino | -8.71 | -9.07 |
| Smart Sortino | -8.42 | -8.76 |
| Sortino/√2 | -6.16 | -6.41 |
| Smart Sortino/√2 | -5.95 | -6.2 |
| Omega | 0.17 | 0.17 |
| Max Drawdown | -22.86% | -22.86% |
| Longest DD Days | 195 | 203 |
| Volatility (ann.) | 18.58% | 17.28% |
| R^2 | 0.77 | 0.77 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 1.55 | 1.56 |
| Skew | -1.08 | -1.49 |
| Kurtosis | 7.54 | 10.43 |
| Expected Daily | 0.12% | 0.12% |
| Expected Monthly | 2.51% | 2.53% |
| Expected Yearly | 18.91% | 19.12% |
| Kelly Criterion | 15.03% | 14.42% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.8% | -1.66% |
| Expected Shortfall (cVaR) | -1.8% | -1.66% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.37 | 0.42 |
| Gain/Pain (1M) | 2.31 | 1.99 |
| Payoff Ratio | 0.94 | 1.0 |
| Profit Factor | 1.37 | 1.42 |
| Common Sense Ratio | 1.56 | 1.71 |
| CPC Index | 0.76 | 0.81 |
| Tail Ratio | 1.14 | 1.2 |
| Outlier Win Ratio | 3.68 | 3.87 |
| Outlier Loss Ratio | 4.28 | 5.11 |
| MTD | 3.87% | 3.64% |
| 3M | 8.5% | 8.22% |
| 6M | 7.51% | 7.5% |
| YTD | 13.05% | 13.07% |
| 1Y | 31.04% | 31.31% |
| 3Y (ann.) | 35.33% | 35.74% |
| 5Y (ann.) | 35.33% | 35.74% |
| 10Y (ann.) | 35.33% | 35.74% |
| All-time (ann.) | 35.33% | 35.74% |
| Best Day | 4.19% | 4.45% |
| Worst Day | -7.64% | -7.33% |
| Best Month | 13.41% | 17.01% |
| Worst Month | -16.36% | -19.59% |
| Best Year | 37.09% | 36.84% |
| Worst Year | 8.49% | 9.25% |
| Avg. Drawdown | -2.26% | -2.25% |
| Avg. Drawdown Days | 20 | 20 |
| Recovery Factor | 2.98 | 3.02 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | -10.9 | -9.4 |
| Avg. Up Month | 4.96% | 5.31% |
| Avg. Down Month | -5.84% | -6.6% |
| Win Days | 58.84% | 57.11% |
| Win Month | 80.95% | 76.19% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.94 | - |
| Alpha | 0.02 | - |
| Correlation | 87.81% | - |
| Treynor Ratio | -669.2% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 9.25 | 8.49 | 0.92 | - |
| 2023 | 36.84 | 37.09 | 1.01 | + |
| 2024 | 13.07 | 13.05 | 1.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-09-06 | 2023-03-20 | -22.86 | 195 |
| 2023-09-06 | 2024-03-13 | -11.69 | 189 |
| 2023-04-25 | 2023-05-29 | -5.21 | 34 |
| 2023-08-04 | 2023-08-31 | -4.16 | 27 |
| 2023-06-22 | 2023-07-10 | -3.25 | 18 |
| 2024-03-14 | 2024-03-28 | -1.96 | 14 |
| 2023-07-19 | 2023-07-25 | -1.84 | 6 |
| 2023-04-19 | 2023-04-20 | -1.26 | 1 |
| 2023-06-05 | 2023-06-13 | -1.24 | 8 |
| 2024-04-23 | 2024-04-23 | -1.06 | 0 |