| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 22.12% | 12.13% |
| CAGR﹪ | 14.58% | 8.11% |
| Sharpe | 0.94 | 46.55 |
| Prob. Sharpe Ratio | 90.95% | 100.0% |
| Smart Sharpe | 0.91 | 44.89 |
| Sortino | 1.84 | - |
| Smart Sortino | 1.78 | - |
| Sortino/√2 | 1.3 | - |
| Smart Sortino/√2 | 1.26 | - |
| Omega | 1.57 | 1.57 |
| Max Drawdown | -11.03% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 17.18% | 0.18% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 1.32 | - |
| Skew | 8.16 | 2.41 |
| Kurtosis | 173.74 | 5.79 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.12% | 0.64% |
| Expected Yearly | 6.89% | 3.89% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.72% | -0.01% |
| Expected Shortfall (cVaR) | -1.72% | -0.01% |
| Max Consecutive Wins | 7 | 340 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.57 | - |
| Gain/Pain (1M) | 2.4 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.57 | - |
| Common Sense Ratio | 1.82 | - |
| CPC Index | - | - |
| Tail Ratio | 1.15 | 2.89 |
| Outlier Win Ratio | 1.49 | 13.16 |
| Outlier Loss Ratio | 1.26 | - |
| MTD | 0.33% | 0.21% |
| 3M | 1.82% | 2.0% |
| 6M | 4.88% | 4.01% |
| YTD | 3.97% | 3.5% |
| 1Y | 7.74% | 7.72% |
| 3Y (ann.) | 14.58% | 8.11% |
| 5Y (ann.) | 14.58% | 8.11% |
| 10Y (ann.) | 14.58% | 8.11% |
| All-time (ann.) | 14.58% | 8.11% |
| Best Day | 16.44% | 0.07% |
| Worst Day | -9.67% | 0.0% |
| Best Month | 19.35% | 1.08% |
| Worst Month | -7.89% | 0.21% |
| Best Year | 17.01% | 7.72% |
| Worst Year | 0.39% | 0.57% |
| Avg. Drawdown | -0.64% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.0 | - |
| Ulcer Index | 0.01 | 0.0 |
| Serenity Index | 13.64 | - |
| Avg. Up Month | 2.09% | 0.64% |
| Avg. Down Month | - | - |
| Win Days | 57.75% | 100.0% |
| Win Month | 83.33% | 100.0% |
| Win Quarter | 85.71% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 15.15 | - |
| Alpha | -1.12 | - |
| Correlation | 16.03% | - |
| Treynor Ratio | 1.46% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.57 | 0.39 | 0.68 | - |
| 2022 | 7.72 | 17.01 | 2.20 | + |
| 2023 | 3.50 | 3.97 | 1.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-04-11 | -11.03 | 96 |
| 2022-06-16 | 2022-07-08 | -1.94 | 22 |
| 2022-07-13 | 2022-10-05 | -1.77 | 84 |
| 2022-05-20 | 2022-06-06 | -1.63 | 17 |
| 2023-01-12 | 2023-02-08 | -0.98 | 27 |
| 2022-10-18 | 2022-12-08 | -0.85 | 51 |
| 2022-10-06 | 2022-10-10 | -0.63 | 4 |
| 2022-05-12 | 2022-05-13 | -0.52 | 1 |
| 2022-04-25 | 2022-04-26 | -0.48 | 1 |
| 2022-04-27 | 2022-04-28 | -0.48 | 1 |