| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 65.97% | 19.58% |
| CAGR﹪ | 33.68% | 10.79% |
| Sharpe | 1.63 | 40.57 |
| Prob. Sharpe Ratio | 97.96% | - |
| Smart Sharpe | 1.56 | 38.83 |
| Sortino | 2.29 | - |
| Smart Sortino | 2.19 | - |
| Sortino/√2 | 1.62 | - |
| Smart Sortino/√2 | 1.55 | - |
| Omega | 1.35 | 1.35 |
| Max Drawdown | -22.86% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 18.63% | 0.25% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 1.47 | - |
| Skew | -1.05 | 1.27 |
| Kurtosis | 7.27 | 1.24 |
| Expected Daily | 0.11% | 0.04% |
| Expected Monthly | 2.33% | 0.82% |
| Expected Yearly | 18.4% | 6.14% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.81% | -0.01% |
| Expected Shortfall (cVaR) | -1.81% | -0.01% |
| Max Consecutive Wins | 10 | 444 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.35 | - |
| Gain/Pain (1M) | 2.26 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.35 | - |
| Common Sense Ratio | 1.52 | - |
| CPC Index | - | - |
| Tail Ratio | 1.13 | 2.49 |
| Outlier Win Ratio | 2.01 | 39.69 |
| Outlier Loss Ratio | 2.2 | - |
| MTD | 4.38% | 1.24% |
| 3M | 9.37% | 4.3% |
| 6M | 9.24% | 7.97% |
| YTD | 13.61% | 5.04% |
| 1Y | 32.16% | 12.88% |
| 3Y (ann.) | 33.68% | 10.79% |
| 5Y (ann.) | 33.68% | 10.79% |
| 10Y (ann.) | 33.68% | 10.79% |
| All-time (ann.) | 33.68% | 10.79% |
| Best Day | 4.19% | 0.1% |
| Worst Day | -7.64% | 0.0% |
| Best Month | 13.41% | 1.24% |
| Worst Month | -16.36% | 0.48% |
| Best Year | 37.09% | 10.0% |
| Worst Year | 6.56% | 3.5% |
| Avg. Drawdown | -2.51% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.89 | - |
| Ulcer Index | 0.06 | 0.0 |
| Serenity Index | 1.15 | - |
| Avg. Up Month | 4.35% | 0.79% |
| Avg. Down Month | - | - |
| Win Days | 58.45% | 100.0% |
| Win Month | 81.82% | 100.0% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 2.15 | - |
| Alpha | 0.09 | - |
| Correlation | 2.89% | - |
| Treynor Ratio | 30.62% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 3.50 | 6.56 | 1.87 | + |
| 2023 | 10.00 | 37.09 | 3.71 | + |
| 2024 | 5.04 | 13.61 | 2.70 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-09-06 | 2023-03-20 | -22.86 | 195 |
| 2023-09-06 | 2024-03-13 | -11.69 | 189 |
| 2022-08-01 | 2022-08-23 | -5.91 | 22 |
| 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 |