| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 85.0% | 98.0% |
| Cumulative Return | 3.25% | 5.14% |
| CAGR﹪ | 13.53% | 22.0% |
| Sharpe | 3.93 | 89.59 |
| Prob. Sharpe Ratio | 92.88% | 99.48% |
| Smart Sharpe | 3.66 | 83.61 |
| Sortino | 6.09 | - |
| Smart Sortino | 5.69 | - |
| Sortino/√2 | 4.31 | - |
| Smart Sortino/√2 | 4.02 | - |
| Omega | 2.03 | 2.03 |
| Max Drawdown | -1.38% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 4.7% | 0.32% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.14 | -0.14 |
| Calmar | 9.81 | - |
| Skew | -0.78 | -4.33 |
| Kurtosis | 3.01 | 24.0 |
| Expected Daily | 0.07% | 0.11% |
| Expected Monthly | 0.8% | 1.26% |
| Expected Yearly | 3.25% | 5.14% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.41% | -0.08% |
| Expected Shortfall (cVaR) | -0.41% | -0.08% |
| Max Consecutive Wins | 5 | 43 |
| Max Consecutive Losses | 2 | 0 |
| Gain/Pain Ratio | 1.03 | - |
| Gain/Pain (1M) | 11.18 | - |
| Payoff Ratio | - | - |
| Profit Factor | 2.03 | - |
| Common Sense Ratio | 3.11 | - |
| CPC Index | - | - |
| Tail Ratio | 1.54 | 1.23 |
| Outlier Win Ratio | 2.06 | 3.38 |
| Outlier Loss Ratio | 1.1 | - |
| MTD | 0.28% | 0.13% |
| 3M | 3.25% | 5.14% |
| 6M | 3.25% | 5.14% |
| YTD | 3.25% | 5.14% |
| 1Y | 3.25% | 5.14% |
| 3Y (ann.) | 13.53% | 22.0% |
| 5Y (ann.) | 13.53% | 22.0% |
| 10Y (ann.) | 13.53% | 22.0% |
| All-time (ann.) | 13.53% | 22.0% |
| Best Day | 0.68% | 0.13% |
| Worst Day | -0.99% | 0.0% |
| Best Month | 2.08% | 1.79% |
| Worst Month | -0.3% | 0.13% |
| Best Year | 3.25% | 5.14% |
| Worst Year | 3.25% | 5.14% |
| Avg. Drawdown | -0.42% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.36 | - |
| Ulcer Index | 0.01 | 0.0 |
| Serenity Index | 1.98 | - |
| Avg. Up Month | 1.17% | 1.2% |
| Avg. Down Month | - | - |
| Win Days | 72.97% | 100.0% |
| Win Month | 75.0% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 1.84 | - |
| Alpha | -0.34 | - |
| Correlation | 12.58% | - |
| Treynor Ratio | 1.76% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 5.14 | 3.25 | 0.63 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-09-03 | 2024-10-02 | -1.38 | 29 |
| 2024-11-01 | 2024-11-08 | -0.54 | 7 |
| 2024-10-07 | 2024-10-17 | -0.39 | 10 |
| 2024-10-28 | 2024-10-31 | -0.31 | 3 |
| 2024-11-18 | 2024-11-19 | -0.12 | 1 |
| 2024-10-21 | 2024-10-24 | -0.10 | 3 |
| 2024-11-13 | 2024-11-14 | -0.10 | 1 |