| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 28.53% | 40.39% |
| CAGR﹪ | 6.35% | 8.68% |
| Sharpe | 0.4 | 32.84 |
| Prob. Sharpe Ratio | 77.27% | 100.0% |
| Smart Sharpe | 0.39 | 32.08 |
| Sortino | 0.49 | - |
| Smart Sortino | 0.48 | - |
| Sortino/√2 | 0.35 | - |
| Smart Sortino/√2 | 0.34 | - |
| Omega | 1.09 | 1.09 |
| Max Drawdown | -49.72% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 22.59% | 0.26% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.13 | - |
| Skew | -4.49 | 1.81 |
| Kurtosis | 69.68 | 9.96 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.51% | 0.69% |
| Expected Yearly | 5.15% | 7.02% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.3% | -0.01% |
| Expected Shortfall (cVaR) | -2.3% | -0.01% |
| Max Consecutive Wins | 11 | 1006 |
| Max Consecutive Losses | 12 | 0 |
| Gain/Pain Ratio | 0.09 | - |
| Gain/Pain (1M) | 0.4 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.09 | - |
| Common Sense Ratio | 1.0 | - |
| CPC Index | - | - |
| Tail Ratio | 0.92 | 3.81 |
| Outlier Win Ratio | 1.71 | 39.99 |
| Outlier Loss Ratio | 1.92 | - |
| MTD | -3.54% | 1.38% |
| 3M | -11.53% | 4.26% |
| 6M | -4.85% | 8.2% |
| YTD | -0.92% | 9.29% |
| 1Y | -1.07% | 15.02% |
| 3Y (ann.) | -3.54% | 10.17% |
| 5Y (ann.) | 6.35% | 8.68% |
| 10Y (ann.) | 6.35% | 8.68% |
| All-time (ann.) | 6.35% | 8.68% |
| Best Day | 8.74% | 0.2% |
| Worst Day | -22.7% | 0.0% |
| Best Month | 17.92% | 1.38% |
| Worst Month | -23.84% | 0.2% |
| Best Year | 36.13% | 10.0% |
| Worst Year | -31.18% | 2.45% |
| Avg. Drawdown | -3.19% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.57 | - |
| Ulcer Index | 0.22 | 0.0 |
| Serenity Index | 0.05 | - |
| Avg. Up Month | 3.71% | 0.64% |
| Avg. Down Month | - | - |
| Win Days | 56.02% | 100.0% |
| Win Month | 69.39% | 100.0% |
| Win Quarter | 55.56% | 100.0% |
| Win Year | 60.0% | 100.0% |
| Beta | -3.36 | - |
| Alpha | 0.38 | - |
| Correlation | -3.85% | - |
| Treynor Ratio | -8.48% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 2.45 | 27.65 | 11.27 | + |
| 2021 | 5.82 | 8.47 | 1.46 | + |
| 2022 | 7.72 | -31.18 | -4.04 | - |
| 2023 | 10.00 | 36.13 | 3.61 | + |
| 2024 | 9.29 | -0.92 | -0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2024-07-26 | -49.72 | 1009 |
| 2020-08-14 | 2020-11-09 | -6.79 | 87 |
| 2021-06-15 | 2021-09-06 | -6.01 | 83 |
| 2021-01-15 | 2021-03-12 | -4.70 | 56 |
| 2021-04-27 | 2021-06-02 | -3.59 | 36 |
| 2021-09-07 | 2021-10-07 | -3.46 | 30 |
| 2021-03-16 | 2021-04-08 | -3.05 | 23 |
| 2020-12-18 | 2020-12-23 | -2.20 | 5 |
| 2020-07-08 | 2020-07-20 | -2.09 | 12 |
| 2020-11-30 | 2020-12-02 | -1.55 | 2 |