| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | 15.17% | 28.43% |
| CAGR﹪ | 5.31% | 9.6% |
| Sharpe | 0.58 | 38.55 |
| Prob. Sharpe Ratio | 80.39% | 100.0% |
| Smart Sharpe | 0.43 | 28.58 |
| Sortino | 0.76 | - |
| Smart Sortino | 0.56 | - |
| Sortino/√2 | 0.54 | - |
| Smart Sortino/√2 | 0.4 | - |
| Omega | 1.2 | 1.2 |
| Max Drawdown | -13.61% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 10.15% | 0.25% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.39 | - |
| Skew | -4.57 | 2.23 |
| Kurtosis | 130.96 | 9.29 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.43% | 0.76% |
| Expected Yearly | 3.59% | 6.46% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.03% | -0.01% |
| Expected Shortfall (cVaR) | -1.03% | -0.01% |
| Max Consecutive Wins | 14 | 662 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.2 | - |
| Gain/Pain (1M) | 1.13 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.2 | - |
| Common Sense Ratio | 1.21 | - |
| CPC Index | - | - |
| Tail Ratio | 1.01 | 2.57 |
| Outlier Win Ratio | 3.42 | 21.98 |
| Outlier Loss Ratio | 2.34 | - |
| MTD | 0.21% | 1.24% |
| 3M | 1.73% | 4.3% |
| 6M | 3.79% | 7.97% |
| YTD | 1.55% | 5.04% |
| 1Y | 3.25% | 12.88% |
| 3Y (ann.) | 5.31% | 9.6% |
| 5Y (ann.) | 5.31% | 9.6% |
| 10Y (ann.) | 5.31% | 9.6% |
| All-time (ann.) | 5.31% | 9.6% |
| Best Day | 7.09% | 0.15% |
| Worst Day | -10.42% | 0.0% |
| Best Month | 4.96% | 1.24% |
| Worst Month | -5.9% | 0.31% |
| Best Year | 9.9% | 10.0% |
| Worst Year | -0.64% | 3.19% |
| Avg. Drawdown | -0.76% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.12 | - |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 2.14 | - |
| Avg. Up Month | 1.33% | 0.79% |
| Avg. Down Month | - | - |
| Win Days | 55.77% | 100.0% |
| Win Month | 66.67% | 100.0% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 75.0% | 100.0% |
| Beta | -0.22 | - |
| Alpha | 0.08 | - |
| Correlation | -0.53% | - |
| Treynor Ratio | -69.99% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.19 | -0.64 | -0.20 | - |
| 2022 | 7.72 | 9.90 | 1.28 | + |
| 2023 | 10.00 | 3.85 | 0.39 | - |
| 2024 | 5.04 | 1.55 | 0.31 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-07-29 | 2022-05-26 | -13.61 | 301 |
| 2022-09-19 | 2022-10-19 | -4.13 | 30 |
| 2023-07-13 | 2024-01-03 | -3.19 | 174 |
| 2023-01-09 | 2023-03-31 | -2.07 | 81 |
| 2022-06-09 | 2022-06-10 | -1.71 | 1 |
| 2022-05-27 | 2022-06-02 | -1.45 | 6 |
| 2022-07-14 | 2022-07-15 | -1.28 | 1 |
| 2022-07-05 | 2022-07-08 | -1.12 | 3 |
| 2022-06-14 | 2022-06-29 | -1.06 | 15 |
| 2022-06-06 | 2022-06-08 | -1.05 | 2 |