| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 6.38% | 10.06% |
| CAGR﹪ | 5.43% | 8.54% |
| Sharpe | 1.32 | 50.34 |
| Prob. Sharpe Ratio | 89.3% | 100.0% |
| Smart Sharpe | 1.2 | 45.64 |
| Sortino | 1.66 | - |
| Smart Sortino | 1.51 | - |
| Sortino/√2 | 1.17 | - |
| Smart Sortino/√2 | 1.06 | - |
| Omega | 1.35 | 1.35 |
| Max Drawdown | -4.56% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 4.01% | 0.16% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.19 | - |
| Skew | -3.34 | 4.4 |
| Kurtosis | 34.18 | 25.19 |
| Expected Daily | 0.02% | 0.03% |
| Expected Monthly | 0.41% | 0.64% |
| Expected Yearly | 3.14% | 4.91% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.39% | -0.02% |
| Expected Shortfall (cVaR) | -0.39% | -0.02% |
| Max Consecutive Wins | 5 | 298 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.35 | - |
| Gain/Pain (1M) | 1.36 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.35 | - |
| Common Sense Ratio | 1.32 | - |
| CPC Index | - | - |
| Tail Ratio | 0.98 | 2.04 |
| Outlier Win Ratio | 2.11 | 8.41 |
| Outlier Loss Ratio | 1.62 | - |
| MTD | -1.27% | 0.81% |
| 3M | -2.38% | 2.52% |
| 6M | 0.72% | 4.53% |
| YTD | 1.99% | 6.34% |
| 1Y | 6.08% | 8.51% |
| 3Y (ann.) | 5.43% | 8.54% |
| 5Y (ann.) | 5.43% | 8.54% |
| 10Y (ann.) | 5.43% | 8.54% |
| All-time (ann.) | 5.43% | 8.54% |
| Best Day | 1.43% | 0.1% |
| Worst Day | -2.21% | 0.0% |
| Best Month | 3.13% | 0.81% |
| Worst Month | -2.04% | 0.48% |
| Best Year | 4.31% | 6.34% |
| Worst Year | 1.99% | 3.5% |
| Avg. Drawdown | -0.34% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.4 | - |
| Ulcer Index | 0.01 | 0.0 |
| Serenity Index | 1.17 | - |
| Avg. Up Month | 1.0% | 0.62% |
| Avg. Down Month | - | - |
| Win Days | 60.64% | 100.0% |
| Win Month | 73.33% | 100.0% |
| Win Quarter | 60.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.03 | - |
| Alpha | 0.05 | - |
| Correlation | 0.14% | - |
| Treynor Ratio | 188.87% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 3.50 | 4.31 | 1.23 | + |
| 2023 | 6.34 | 1.99 | 0.31 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-09-19 | 2022-11-15 | -4.56 | 57 |
| 2023-08-09 | 2023-09-22 | -2.82 | 44 |
| 2023-02-06 | 2023-03-10 | -0.87 | 32 |
| 2023-06-28 | 2023-07-26 | -0.46 | 28 |
| 2023-01-09 | 2023-01-19 | -0.40 | 10 |
| 2022-12-07 | 2022-12-12 | -0.36 | 5 |
| 2022-09-06 | 2022-09-09 | -0.32 | 3 |
| 2023-05-10 | 2023-05-11 | -0.29 | 1 |
| 2022-08-18 | 2022-08-29 | -0.26 | 11 |
| 2023-06-14 | 2023-06-22 | -0.23 | 8 |