| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 100.0% |
| Cumulative Return | 10.47% | 32.85% |
| CAGR﹪ | 4.3% | 12.75% |
| Sharpe | 1.17 | 40.99 |
| Prob. Sharpe Ratio | 95.08% | - |
| Smart Sharpe | 1.09 | 38.19 |
| Sortino | 1.56 | - |
| Smart Sortino | 1.46 | - |
| Sortino/√2 | 1.11 | - |
| Smart Sortino/√2 | 1.03 | - |
| Omega | 1.25 | 1.25 |
| Max Drawdown | -4.56% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 3.61% | 0.29% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 0.94 | - |
| Skew | -2.19 | 0.44 |
| Kurtosis | 25.39 | -0.92 |
| Expected Daily | 0.02% | 0.05% |
| Expected Monthly | 0.33% | 0.95% |
| Expected Yearly | 3.37% | 9.93% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.36% | -0.02% |
| Expected Shortfall (cVaR) | -0.36% | -0.02% |
| Max Consecutive Wins | 7 | 603 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.25 | - |
| Gain/Pain (1M) | 1.17 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.25 | - |
| Common Sense Ratio | 1.36 | - |
| CPC Index | - | - |
| Tail Ratio | 1.09 | 2.98 |
| Outlier Win Ratio | 2.0 | 5.92 |
| Outlier Loss Ratio | 1.52 | - |
| MTD | 0.17% | 0.08% |
| 3M | -1.3% | 5.2% |
| 6M | 0.44% | 9.7% |
| YTD | 2.15% | 16.69% |
| 1Y | 3.48% | 18.06% |
| 3Y (ann.) | 4.3% | 12.75% |
| 5Y (ann.) | 4.3% | 12.75% |
| 10Y (ann.) | 4.3% | 12.75% |
| All-time (ann.) | 4.3% | 12.75% |
| Best Day | 1.43% | 0.1% |
| Worst Day | -2.21% | 0.0% |
| Best Month | 3.13% | 1.79% |
| Worst Month | -2.04% | 0.08% |
| Best Year | 4.31% | 16.69% |
| Worst Year | 2.15% | 3.5% |
| Avg. Drawdown | -0.38% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 2.29 | - |
| Ulcer Index | 0.01 | 0.0 |
| Serenity Index | 0.91 | - |
| Avg. Up Month | 0.85% | 0.91% |
| Avg. Down Month | - | - |
| Win Days | 57.54% | 100.0% |
| Win Month | 73.33% | 100.0% |
| Win Quarter | 70.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -0.21 | - |
| Alpha | 0.07 | - |
| Correlation | -1.71% | - |
| Treynor Ratio | -48.9% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 3.50 | 4.31 | 1.23 | + |
| 2023 | 10.00 | 3.68 | 0.37 | - |
| 2024 | 16.69 | 2.15 | 0.13 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-09-19 | 2022-11-15 | -4.56 | 57 |
| 2023-08-09 | 2024-02-09 | -3.85 | 184 |
| 2024-10-09 | 2024-12-02 | -2.19 | 54 |
| 2024-05-13 | 2024-07-24 | -1.67 | 72 |
| 2024-08-15 | 2024-10-08 | -1.11 | 54 |
| 2023-02-06 | 2023-03-10 | -0.87 | 32 |
| 2024-03-13 | 2024-03-29 | -0.64 | 16 |
| 2023-06-28 | 2023-07-26 | -0.46 | 28 |
| 2023-01-09 | 2023-01-19 | -0.37 | 10 |
| 2022-12-07 | 2022-12-12 | -0.36 | 5 |