| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 46.3% | 4.45% |
| CAGR﹪ | 38.44% | 3.79% |
| Sharpe | 1.61 | 12.71 |
| Prob. Sharpe Ratio | 95.12% | 100.0% |
| Smart Sharpe | 1.52 | 12.0 |
| Sortino | 2.24 | 22.01 |
| Smart Sortino | 2.11 | 20.77 |
| Sortino/√2 | 1.58 | 15.56 |
| Smart Sortino/√2 | 1.5 | 14.68 |
| Omega | 1.34 | 1.34 |
| Max Drawdown | -22.86% | -0.84% |
| Longest DD Days | 195 | 140 |
| Volatility (ann.) | 21.33% | 0.29% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.09 | 0.09 |
| Calmar | 1.68 | 4.5 |
| Skew | -1.05 | -1.76 |
| Kurtosis | 5.85 | 5.11 |
| Expected Daily | 0.13% | 0.01% |
| Expected Monthly | 2.57% | 0.29% |
| Expected Yearly | 20.95% | 2.2% |
| Kelly Criterion | 22.48% | 77.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.07% | -0.02% |
| Expected Shortfall (cVaR) | -2.07% | -0.02% |
| Max Consecutive Wins | 8 | 270 |
| Max Consecutive Losses | 5 | 28 |
| Gain/Pain Ratio | 0.34 | 5.14 |
| Gain/Pain (1M) | 1.86 | 5.14 |
| Payoff Ratio | 1.17 | 0.73 |
| Profit Factor | 1.34 | 6.14 |
| Common Sense Ratio | 1.44 | 10.8 |
| CPC Index | 0.91 | 4.08 |
| Tail Ratio | 1.08 | 1.76 |
| Outlier Win Ratio | 2.08 | 98.65 |
| Outlier Loss Ratio | 2.11 | 68.91 |
| MTD | -4.94% | 0.19% |
| 3M | 7.33% | 1.23% |
| 6M | 27.96% | 2.32% |
| YTD | 37.29% | 3.9% |
| 1Y | 48.9% | 5.3% |
| 3Y (ann.) | 38.44% | 3.79% |
| 5Y (ann.) | 38.44% | 3.79% |
| 10Y (ann.) | 38.44% | 3.79% |
| All-time (ann.) | 38.44% | 3.79% |
| Best Day | 4.19% | 0.04% |
| Worst Day | -7.64% | -0.07% |
| Best Month | 13.41% | 0.84% |
| Worst Month | -16.36% | -0.52% |
| Best Year | 37.29% | 3.9% |
| Worst Year | 6.56% | 0.53% |
| Avg. Drawdown | -2.96% | -0.84% |
| Avg. Drawdown Days | 18 | 140 |
| Recovery Factor | 2.03 | 5.28 |
| Ulcer Index | 0.06 | 0.0 |
| Serenity Index | 0.78 | 0.33 |
| Avg. Up Month | 4.94% | 0.45% |
| Avg. Down Month | - | - |
| Win Days | 58.22% | 90.6% |
| Win Month | 86.67% | 86.67% |
| Win Quarter | 80.0% | 80.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -0.06 | - |
| Alpha | 0.35 | - |
| Correlation | -0.08% | - |
| Treynor Ratio | -791.12% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 0.53 | 6.56 | 12.37 | + |
| 2023 | 3.90 | 37.29 | 9.56 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-09-06 | 2023-03-20 | -22.86 | 195 |
| 2023-09-06 | 2023-09-22 | -8.60 | 16 |
| 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 |
| 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 |
| 2023-03-31 | 2023-04-03 | -0.95 | 3 |