| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 16.06% | 25.17% |
| CAGR﹪ | 6.57% | 10.06% |
| Sharpe | 0.55 | 44.19 |
| Prob. Sharpe Ratio | 83.09% | - |
| Smart Sharpe | 0.54 | 42.97 |
| Sortino | 1.04 | - |
| Smart Sortino | 1.02 | - |
| Sortino/√2 | 0.74 | - |
| Smart Sortino/√2 | 0.72 | - |
| Omega | 1.26 | 1.26 |
| Max Drawdown | -11.03% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 13.72% | 0.23% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.6 | - |
| Skew | 9.77 | 0.94 |
| Kurtosis | 259.66 | -0.3 |
| Expected Daily | 0.03% | 0.04% |
| Expected Monthly | 0.53% | 0.81% |
| Expected Yearly | 3.79% | 5.77% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.39% | -0.02% |
| Expected Shortfall (cVaR) | -1.39% | -0.02% |
| Max Consecutive Wins | 7 | 562 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.26 | - |
| Gain/Pain (1M) | 0.91 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.26 | - |
| Common Sense Ratio | 1.38 | - |
| CPC Index | - | - |
| Tail Ratio | 1.09 | 2.91 |
| Outlier Win Ratio | 1.67 | 10.97 |
| Outlier Loss Ratio | 1.64 | - |
| MTD | -1.16% | 1.24% |
| 3M | -2.53% | 4.18% |
| 6M | -3.51% | 7.88% |
| YTD | -2.67% | 5.04% |
| 1Y | -4.02% | 12.78% |
| 3Y (ann.) | 6.57% | 10.06% |
| 5Y (ann.) | 6.57% | 10.06% |
| 10Y (ann.) | 6.57% | 10.06% |
| All-time (ann.) | 6.57% | 10.06% |
| Best Day | 16.44% | 0.07% |
| Worst Day | -9.67% | 0.0% |
| Best Month | 19.35% | 1.24% |
| Worst Month | -7.89% | 0.55% |
| Best Year | 17.01% | 10.0% |
| Worst Year | -2.67% | 0.57% |
| Avg. Drawdown | -0.65% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.46 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.85 | - |
| Avg. Up Month | 1.99% | 0.73% |
| Avg. Down Month | - | - |
| Win Days | 53.32% | 100.0% |
| Win Month | 64.29% | 100.0% |
| Win Quarter | 54.55% | 100.0% |
| Win Year | 75.0% | 100.0% |
| Beta | 3.99 | - |
| Alpha | -0.33 | - |
| Correlation | 6.62% | - |
| Treynor Ratio | 4.02% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.57 | 0.39 | 0.68 | - |
| 2022 | 7.72 | 17.01 | 2.20 | + |
| 2023 | 10.00 | 1.51 | 0.15 | - |
| 2024 | 5.04 | -2.67 | -0.53 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-04-11 | -11.03 | 96 |
| 2023-08-15 | 2024-04-23 | -8.13 | 252 |
| 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 |