| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 83.31% | 10.06% |
| CAGR﹪ | 67.87% | 8.54% |
| Sharpe | 2.87 | 50.34 |
| Prob. Sharpe Ratio | 99.91% | 100.0% |
| Smart Sharpe | 2.73 | 47.95 |
| Sortino | 4.71 | - |
| Smart Sortino | 4.49 | - |
| Sortino/√2 | 3.33 | - |
| Smart Sortino/√2 | 3.17 | - |
| Omega | 1.62 | 1.62 |
| Max Drawdown | -12.72% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 18.43% | 0.16% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | 0.15 | 0.15 |
| Calmar | 5.34 | - |
| Skew | 0.08 | 4.4 |
| Kurtosis | 1.62 | 25.19 |
| Expected Daily | 0.2% | 0.03% |
| Expected Monthly | 4.12% | 0.64% |
| Expected Yearly | 35.39% | 4.91% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.7% | -0.02% |
| Expected Shortfall (cVaR) | -1.7% | -0.02% |
| Max Consecutive Wins | 8 | 298 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.62 | - |
| Gain/Pain (1M) | 4.51 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.62 | - |
| Common Sense Ratio | 2.17 | - |
| CPC Index | - | - |
| Tail Ratio | 1.34 | 2.04 |
| Outlier Win Ratio | 1.75 | 51.67 |
| Outlier Loss Ratio | 1.72 | - |
| MTD | -1.39% | 0.81% |
| 3M | 13.16% | 2.52% |
| 6M | 22.64% | 4.53% |
| YTD | 45.79% | 6.34% |
| 1Y | 79.21% | 8.51% |
| 3Y (ann.) | 67.87% | 8.54% |
| 5Y (ann.) | 67.87% | 8.54% |
| 10Y (ann.) | 67.87% | 8.54% |
| All-time (ann.) | 67.87% | 8.54% |
| Best Day | 4.96% | 0.1% |
| Worst Day | -3.98% | 0.0% |
| Best Month | 17.35% | 0.81% |
| Worst Month | -7.38% | 0.48% |
| Best Year | 45.79% | 6.34% |
| Worst Year | 25.73% | 3.5% |
| Avg. Drawdown | -2.27% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 6.55 | - |
| Ulcer Index | 0.04 | 0.0 |
| Serenity Index | 3.76 | - |
| Avg. Up Month | 7.14% | 0.64% |
| Avg. Down Month | - | - |
| Win Days | 57.58% | 100.0% |
| Win Month | 73.33% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 19.34 | - |
| Alpha | -1.03 | - |
| Correlation | 16.85% | - |
| Treynor Ratio | 4.31% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 3.50 | 25.73 | 7.35 | + |
| 2023 | 6.34 | 45.79 | 7.22 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-08-01 | 2022-12-01 | -12.72 | 122 |
| 2023-08-14 | 2023-09-22 | -6.94 | 39 |
| 2023-04-14 | 2023-06-30 | -6.03 | 77 |
| 2022-12-22 | 2022-12-28 | -3.98 | 6 |
| 2023-01-09 | 2023-01-25 | -3.45 | 16 |
| 2023-02-02 | 2023-02-10 | -2.64 | 8 |
| 2023-03-21 | 2023-03-31 | -2.51 | 10 |
| 2023-07-20 | 2023-08-02 | -2.37 | 13 |
| 2023-04-07 | 2023-04-12 | -2.03 | 5 |
| 2022-12-15 | 2022-12-19 | -2.02 | 4 |