| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | 6.0% | 8.73% |
| CAGR﹪ | 15.93% | 23.64% |
| Sharpe | 16.86 | 32.64 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 12.1 | 23.42 |
| Sortino | 74.14 | - |
| Smart Sortino | 53.19 | - |
| Sortino/√2 | 52.42 | - |
| Smart Sortino/√2 | 37.61 | - |
| Omega | 20.73 | 20.73 |
| Max Drawdown | -0.07% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 0.84% | 0.62% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.36 | -0.36 |
| Calmar | 229.28 | - |
| Skew | 0.44 | 3.27 |
| Kurtosis | 0.48 | 12.12 |
| Expected Daily | 0.06% | 0.08% |
| Expected Monthly | 0.98% | 1.41% |
| Expected Yearly | 6.0% | 8.73% |
| 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 | 24 | 103 |
| Max Consecutive Losses | 1 | 0 |
| Gain/Pain Ratio | 19.73 | - |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | - | - |
| Profit Factor | 20.73 | - |
| Common Sense Ratio | 114.74 | - |
| CPC Index | - | - |
| Tail Ratio | 5.54 | 1.9 |
| Outlier Win Ratio | 3.34 | 2.62 |
| Outlier Loss Ratio | -0.01 | - |
| MTD | 0.94% | 1.65% |
| 3M | 4.38% | 5.38% |
| 6M | 6.0% | 8.73% |
| YTD | 6.0% | 8.73% |
| 1Y | 6.0% | 8.73% |
| 3Y (ann.) | 15.93% | 23.64% |
| 5Y (ann.) | 15.93% | 23.64% |
| 10Y (ann.) | 15.93% | 23.64% |
| All-time (ann.) | 15.93% | 23.64% |
| Best Day | 0.22% | 0.25% |
| Worst Day | -0.07% | 0.0% |
| Best Month | 1.42% | 1.65% |
| Worst Month | 0.1% | 1.01% |
| Best Year | 6.0% | 8.73% |
| Worst Year | 6.0% | 8.73% |
| Avg. Drawdown | -0.04% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 86.43 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 1176.88 | - |
| Avg. Up Month | 0.98% | 1.41% |
| Avg. Down Month | - | - |
| Win Days | 92.71% | 100.0% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -0.06 | - |
| Alpha | 0.15 | - |
| Correlation | -4.73% | - |
| Treynor Ratio | -94.11% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 8.73 | 6.00 | 0.69 | - |
| 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 |