| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 9.15% | 10.06% |
| CAGR﹪ | 7.77% | 8.54% |
| Sharpe | 18.33 | 50.34 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 16.58 | 45.54 |
| Sortino | 141.31 | - |
| Smart Sortino | 127.83 | - |
| Sortino/√2 | 99.92 | - |
| Smart Sortino/√2 | 90.39 | - |
| Omega | 55.54 | 55.54 |
| Max Drawdown | -0.03% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 0.4% | 0.16% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 238.36 | - |
| Skew | 1.21 | 4.4 |
| Kurtosis | 2.6 | 25.19 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.59% | 0.64% |
| Expected Yearly | 4.47% | 4.91% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.01% | -0.02% |
| Expected Shortfall (cVaR) | -0.01% | -0.02% |
| Max Consecutive Wins | 40 | 298 |
| Max Consecutive Losses | 1 | 0 |
| Gain/Pain Ratio | 54.54 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 55.54 | - |
| Common Sense Ratio | - | - |
| CPC Index | - | - |
| Tail Ratio | - | 2.04 |
| Outlier Win Ratio | 3.23 | 3.1 |
| Outlier Loss Ratio | -0.24 | - |
| MTD | 0.88% | 0.81% |
| 3M | 2.47% | 2.52% |
| 6M | 4.23% | 4.53% |
| YTD | 5.73% | 6.34% |
| 1Y | 7.86% | 8.51% |
| 3Y (ann.) | 7.77% | 8.54% |
| 5Y (ann.) | 7.77% | 8.54% |
| 10Y (ann.) | 7.77% | 8.54% |
| All-time (ann.) | 7.77% | 8.54% |
| Best Day | 0.16% | 0.1% |
| Worst Day | -0.03% | 0.0% |
| Best Month | 0.88% | 0.81% |
| Worst Month | 0.16% | 0.48% |
| Best Year | 5.73% | 6.34% |
| Worst Year | 3.23% | 3.5% |
| Avg. Drawdown | -0.02% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 280.65 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 7538.45 | - |
| Avg. Up Month | 0.59% | 0.64% |
| Avg. Down Month | - | - |
| Win Days | 96.81% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.34 | - |
| Alpha | 0.05 | - |
| Correlation | 13.47% | - |
| Treynor Ratio | 27.08% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 3.50 | 3.23 | 0.92 | - |
| 2023 | 6.34 | 5.73 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-04-04 | 2023-04-10 | -0.03 | 6 |
| 2023-07-28 | 2023-08-01 | -0.02 | 4 |
| 2023-05-16 | 2023-05-17 | -0.02 | 1 |
| 2023-06-23 | 2023-06-26 | -0.02 | 3 |
| 2023-07-10 | 2023-07-11 | -0.02 | 1 |
| 2023-08-07 | 2023-08-08 | -0.02 | 1 |
| 2023-08-10 | 2023-08-11 | -0.02 | 1 |
| 2023-08-31 | 2023-09-01 | -0.02 | 1 |
| 2023-07-17 | 2023-07-18 | -0.01 | 1 |