| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 15.17% | 11.12% |
| CAGR﹪ | 13.3% | 9.77% |
| Sharpe | 0.77 | 37.62 |
| Prob. Sharpe Ratio | 75.21% | - |
| Smart Sharpe | 0.51 | 25.13 |
| Sortino | 1.24 | - |
| Smart Sortino | 0.83 | - |
| Sortino/√2 | 0.87 | - |
| Smart Sortino/√2 | 0.58 | - |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -11.82% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 30.35% | 0.37% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 1.13 | - |
| Skew | 1.07 | -0.14 |
| Kurtosis | 10.39 | -0.72 |
| Expected Daily | 0.07% | 0.06% |
| Expected Monthly | 1.01% | 0.76% |
| Expected Yearly | 7.32% | 5.42% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.05% | -0.02% |
| Expected Shortfall (cVaR) | -3.05% | -0.02% |
| Max Consecutive Wins | 7 | 188 |
| Max Consecutive Losses | 4 | 0 |
| Gain/Pain Ratio | 0.18 | - |
| Gain/Pain (1M) | 2.01 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.18 | - |
| Common Sense Ratio | 1.46 | - |
| CPC Index | - | - |
| Tail Ratio | 1.24 | 5.95 |
| Outlier Win Ratio | 2.79 | 56.15 |
| Outlier Loss Ratio | 1.96 | - |
| MTD | -3.02% | 1.03% |
| 3M | 13.95% | 3.59% |
| 6M | 13.28% | 5.47% |
| YTD | 15.49% | 9.2% |
| 1Y | 16.24% | 9.54% |
| 3Y (ann.) | 13.3% | 9.77% |
| 5Y (ann.) | 13.3% | 9.77% |
| 10Y (ann.) | 13.3% | 9.77% |
| All-time (ann.) | 13.3% | 9.77% |
| Best Day | 11.31% | 0.1% |
| Worst Day | -8.12% | 0.0% |
| Best Month | 11.56% | 1.43% |
| Worst Month | -5.04% | 0.2% |
| Best Year | 15.49% | 9.2% |
| Worst Year | -0.27% | 1.76% |
| Avg. Drawdown | -4.11% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.28 | - |
| Ulcer Index | 0.04 | 0.0 |
| Serenity Index | 1.16 | - |
| Avg. Up Month | 3.26% | 0.64% |
| Avg. Down Month | - | - |
| Win Days | 51.96% | 100.0% |
| Win Month | 57.14% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.83 | - |
| Alpha | 0.35 | - |
| Correlation | -1.02% | - |
| Treynor Ratio | -18.27% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 1.76 | -0.27 | -0.16 | - |
| 2024 | 9.20 | 15.49 | 1.68 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-11-03 | 2023-12-06 | -11.82 | 33 |
| 2024-11-29 | 2024-12-19 | -10.99 | 20 |
| 2024-04-18 | 2024-10-10 | -9.84 | 175 |
| 2024-01-09 | 2024-02-19 | -4.09 | 41 |
| 2024-10-16 | 2024-11-15 | -3.80 | 30 |
| 2023-12-07 | 2024-01-04 | -2.56 | 28 |
| 2024-02-20 | 2024-03-18 | -2.11 | 27 |
| 2024-10-14 | 2024-10-15 | -1.77 | 1 |
| 2024-03-22 | 2024-03-28 | -0.94 | 6 |
| 2024-03-29 | 2024-04-08 | -0.94 | 10 |