| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 90.0% | 100.0% |
| Cumulative Return | 12.15% | 19.16% |
| CAGR﹪ | 5.98% | 9.28% |
| Sharpe | 0.63 | 48.81 |
| Prob. Sharpe Ratio | 80.74% | - |
| Smart Sharpe | 0.5 | 38.92 |
| Sortino | 0.93 | - |
| Smart Sortino | 0.74 | - |
| Sortino/√2 | 0.66 | - |
| Smart Sortino/√2 | 0.52 | - |
| Omega | 1.15 | 1.15 |
| Max Drawdown | -8.14% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 10.46% | 0.19% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.73 | - |
| Skew | 0.13 | 1.51 |
| Kurtosis | 9.68 | 2.48 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.5% | 0.77% |
| Expected Yearly | 3.9% | 6.02% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.06% | -0.02% |
| Expected Shortfall (cVaR) | -1.06% | -0.02% |
| Max Consecutive Wins | 7 | 476 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.15 | - |
| Gain/Pain (1M) | 1.07 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.15 | - |
| Common Sense Ratio | 1.19 | - |
| CPC Index | - | - |
| Tail Ratio | 1.04 | 2.36 |
| Outlier Win Ratio | 3.61 | 35.21 |
| Outlier Loss Ratio | 2.44 | - |
| MTD | -1.23% | 1.24% |
| 3M | 0.09% | 3.93% |
| 6M | -1.14% | 6.62% |
| YTD | -1.23% | 1.24% |
| 1Y | 1.26% | 10.83% |
| 3Y (ann.) | 5.98% | 9.28% |
| 5Y (ann.) | 5.98% | 9.28% |
| 10Y (ann.) | 5.98% | 9.28% |
| All-time (ann.) | 5.98% | 9.28% |
| Best Day | 3.63% | 0.08% |
| Worst Day | -3.56% | 0.0% |
| Best Month | 5.61% | 1.24% |
| Worst Month | -3.98% | 0.55% |
| Best Year | 11.25% | 10.0% |
| Worst Year | -1.23% | 1.24% |
| Avg. Drawdown | -1.33% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.49 | - |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.42 | - |
| Avg. Up Month | 1.58% | 0.75% |
| Avg. Down Month | - | - |
| Win Days | 51.76% | 100.0% |
| Win Month | 65.22% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -0.7 | - |
| Alpha | 0.13 | - |
| Correlation | -1.27% | - |
| Treynor Ratio | -17.32% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 7.00 | 11.25 | 1.61 | + |
| 2023 | 10.00 | 2.06 | 0.21 | - |
| 2024 | 1.24 | -1.23 | -0.99 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-10 | 2022-05-24 | -8.14 | 103 |
| 2022-08-09 | 2022-12-28 | -6.28 | 141 |
| 2022-06-17 | 2022-07-08 | -4.09 | 21 |
| 2022-05-25 | 2022-05-27 | -3.56 | 2 |
| 2022-06-14 | 2022-06-16 | -2.89 | 2 |
| 2023-06-29 | 2024-01-15 | -2.79 | 200 |
| 2024-01-16 | 2024-01-24 | -2.00 | 8 |
| 2022-06-03 | 2022-06-07 | -1.74 | 4 |
| 2022-05-30 | 2022-05-31 | -0.99 | 1 |
| 2023-01-05 | 2023-03-16 | -0.98 | 70 |