| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 80.0% | 100.0% |
| Cumulative Return | 19.64% | 45.75% |
| CAGR﹪ | 3.7% | 7.94% |
| Sharpe | 0.53 | 15.75 |
| Prob. Sharpe Ratio | 79.53% | 100.0% |
| Smart Sharpe | 0.4 | 11.88 |
| Sortino | 0.74 | - |
| Smart Sortino | 0.56 | - |
| Sortino/√2 | 0.52 | - |
| Smart Sortino/√2 | 0.39 | - |
| Omega | 1.14 | 1.14 |
| Max Drawdown | -16.05% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 15.59% | 0.94% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.23 | - |
| Skew | -1.34 | 2.87 |
| Kurtosis | 28.79 | 10.77 |
| Expected Daily | 0.03% | 0.06% |
| Expected Monthly | 0.3% | 0.64% |
| Expected Yearly | 3.03% | 6.48% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.58% | -0.04% |
| Expected Shortfall (cVaR) | -1.58% | -0.04% |
| Max Consecutive Wins | 8 | 640 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.14 | - |
| Gain/Pain (1M) | 0.65 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.14 | - |
| Common Sense Ratio | 1.33 | - |
| CPC Index | - | - |
| Tail Ratio | 1.16 | 9.06 |
| Outlier Win Ratio | 3.97 | 27.48 |
| Outlier Loss Ratio | 2.47 | - |
| MTD | -1.63% | 1.34% |
| 3M | -4.29% | 4.41% |
| 6M | -2.43% | 8.36% |
| YTD | -2.58% | 7.8% |
| 1Y | -5.34% | 14.18% |
| 3Y (ann.) | 1.37% | 9.88% |
| 5Y (ann.) | 3.72% | 7.98% |
| 10Y (ann.) | 3.7% | 7.94% |
| All-time (ann.) | 3.7% | 7.94% |
| Best Day | 6.29% | 0.44% |
| Worst Day | -10.58% | 0.0% |
| Best Month | 5.59% | 1.34% |
| Worst Month | -7.06% | 0.0% |
| Best Year | 9.58% | 10.02% |
| Worst Year | -2.58% | 2.69% |
| Avg. Drawdown | -1.77% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.22 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.86 | - |
| Avg. Up Month | 1.49% | 0.62% |
| Avg. Down Month | - | - |
| Win Days | 54.71% | 100.0% |
| Win Month | 61.4% | 100.0% |
| Win Quarter | 60.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.1 | - |
| Alpha | 0.1 | - |
| Correlation | -0.62% | - |
| Treynor Ratio | -191.61% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 2.69 | 6.65 | 2.47 | + |
| 2020 | 4.97 | 9.58 | 1.93 | + |
| 2021 | 5.82 | -2.12 | -0.36 | - |
| 2022 | 7.74 | 8.59 | 1.11 | + |
| 2023 | 10.02 | -1.12 | -0.11 | - |
| 2024 | 7.80 | -2.58 | -0.33 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-01-14 | 2022-06-27 | -16.05 | 529 |
| 2023-06-22 | 2024-06-26 | -7.72 | 370 |
| 2020-02-18 | 2020-04-29 | -5.48 | 71 |
| 2022-06-29 | 2022-12-13 | -4.95 | 167 |
| 2020-08-13 | 2020-09-08 | -4.35 | 26 |
| 2023-01-24 | 2023-04-17 | -3.02 | 83 |
| 2022-12-14 | 2022-12-19 | -2.24 | 5 |
| 2020-10-12 | 2020-12-15 | -1.79 | 64 |
| 2023-01-04 | 2023-01-13 | -1.76 | 9 |
| 2023-04-18 | 2023-05-03 | -1.74 | 15 |