| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 7.68% | 10.66% |
| CAGR﹪ | 16.39% | 23.08% |
| Sharpe | 17.63 | 35.52 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 12.81 | 25.81 |
| Sortino | 84.83 | - |
| Smart Sortino | 61.64 | - |
| Sortino/√2 | 59.99 | - |
| Smart Sortino/√2 | 43.59 | - |
| Omega | 26.04 | 26.04 |
| Max Drawdown | -0.07% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 0.83% | 0.56% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.33 | -0.33 |
| Calmar | 235.94 | - |
| Skew | 0.56 | 3.69 |
| Kurtosis | 0.55 | 15.84 |
| Expected Daily | 0.06% | 0.08% |
| Expected Monthly | 1.06% | 1.46% |
| Expected Yearly | 7.68% | 10.66% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.03% | -0.02% |
| Expected Shortfall (cVaR) | -0.03% | -0.02% |
| Max Consecutive Wins | 48 | 127 |
| Max Consecutive Losses | 1 | 0 |
| Gain/Pain Ratio | 25.04 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 26.04 | - |
| Common Sense Ratio | 629.25 | - |
| CPC Index | - | - |
| Tail Ratio | 24.16 | 1.87 |
| Outlier Win Ratio | 3.36 | 2.7 |
| Outlier Loss Ratio | -0.04 | - |
| MTD | 1.07% | 1.74% |
| 3M | 4.6% | 5.61% |
| 6M | 7.68% | 10.66% |
| YTD | 7.68% | 10.66% |
| 1Y | 7.68% | 10.66% |
| 3Y (ann.) | 16.39% | 23.08% |
| 5Y (ann.) | 16.39% | 23.08% |
| 10Y (ann.) | 16.39% | 23.08% |
| All-time (ann.) | 16.39% | 23.08% |
| Best Day | 0.22% | 0.25% |
| Worst Day | -0.07% | 0.0% |
| Best Month | 1.46% | 1.74% |
| Worst Month | 0.1% | 1.01% |
| Best Year | 7.68% | 10.66% |
| Worst Year | 7.68% | 10.66% |
| Avg. Drawdown | -0.04% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 110.59 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 1846.03 | - |
| Avg. Up Month | 1.06% | 1.46% |
| Avg. Down Month | - | - |
| Win Days | 94.17% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -0.06 | - |
| Alpha | 0.16 | - |
| Correlation | -3.78% | - |
| Treynor Ratio | -138.07% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 10.66 | 7.68 | 0.72 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-06-20 | 2024-06-21 | -0.07 | 1 |
| 2024-07-29 | 2024-07-30 | -0.06 | 1 |
| 2024-06-04 | 2024-06-05 | -0.05 | 1 |
| 2024-07-09 | 2024-07-11 | -0.05 | 2 |
| 2024-08-13 | 2024-08-14 | -0.03 | 1 |
| 2024-08-19 | 2024-08-20 | -0.03 | 1 |
| 2024-07-03 | 2024-07-04 | -0.01 | 1 |