| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 49.61% | 12.65% |
| CAGR﹪ | 34.03% | 9.04% |
| Sharpe | 1.31 | 23.54 |
| Prob. Sharpe Ratio | 93.28% | 100.0% |
| Smart Sharpe | 1.3 | 23.46 |
| Sortino | 1.87 | - |
| Smart Sortino | 1.86 | - |
| Sortino/√2 | 1.32 | - |
| Smart Sortino/√2 | 1.32 | - |
| Omega | 1.29 | 1.29 |
| Max Drawdown | -27.6% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 25.04% | 0.37% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 1.23 | - |
| Skew | -0.1 | 7.46 |
| Kurtosis | 16.96 | 65.58 |
| Expected Daily | 0.12% | 0.03% |
| Expected Monthly | 2.26% | 0.66% |
| Expected Yearly | 22.31% | 6.13% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.46% | -0.0% |
| Expected Shortfall (cVaR) | -2.46% | -0.0% |
| Max Consecutive Wins | 8 | 342 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.29 | - |
| Gain/Pain (1M) | 1.55 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.29 | - |
| Common Sense Ratio | 1.42 | - |
| CPC Index | - | - |
| Tail Ratio | 1.09 | 1.63 |
| Outlier Win Ratio | 1.8 | 51.11 |
| Outlier Loss Ratio | 2.33 | - |
| MTD | 2.38% | 1.0% |
| 3M | 13.08% | 3.16% |
| 6M | 31.58% | 5.17% |
| YTD | 54.57% | 7.44% |
| 1Y | 98.03% | 9.27% |
| 3Y (ann.) | 34.03% | 9.04% |
| 5Y (ann.) | 34.03% | 9.04% |
| 10Y (ann.) | 34.03% | 9.04% |
| All-time (ann.) | 34.03% | 9.04% |
| Best Day | 12.32% | 0.27% |
| Worst Day | -9.58% | 0.0% |
| Best Month | 14.68% | 1.0% |
| Worst Month | -17.51% | 0.55% |
| Best Year | 54.57% | 7.44% |
| Worst Year | -3.21% | 4.85% |
| Avg. Drawdown | -2.83% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.8 | - |
| Ulcer Index | 0.07 | 0.0 |
| Serenity Index | 0.81 | - |
| Avg. Up Month | 5.25% | 0.67% |
| Avg. Down Month | - | - |
| Win Days | 56.89% | 100.0% |
| Win Month | 77.78% | 100.0% |
| Win Quarter | 71.43% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -3.53 | - |
| Alpha | 0.64 | - |
| Correlation | -5.25% | - |
| Treynor Ratio | -14.04% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 4.85 | -3.21 | -0.66 | - |
| 2023 | 7.44 | 54.57 | 7.33 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-09-06 | 2023-03-20 | -27.60 | 195 |
| 2022-05-30 | 2022-08-31 | -14.23 | 93 |
| 2023-09-06 | 2023-10-11 | -7.98 | 35 |
| 2023-04-24 | 2023-05-11 | -4.28 | 17 |
| 2023-08-14 | 2023-08-22 | -3.90 | 8 |
| 2023-08-04 | 2023-08-10 | -2.17 | 6 |
| 2023-06-23 | 2023-07-06 | -1.98 | 13 |
| 2023-07-20 | 2023-07-25 | -1.66 | 5 |
| 2023-08-23 | 2023-08-28 | -1.61 | 5 |
| 2023-06-05 | 2023-06-08 | -1.27 | 3 |