| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 51.0% | 100.0% |
| Cumulative Return | 138.89% | 252.49% |
| CAGR﹪ | 24.01% | 36.53% |
| Sharpe | 1.11 | 1.25 |
| Prob. Sharpe Ratio | 83.5% | 82.49% |
| Smart Sharpe | 1.04 | 1.18 |
| Sortino | 1.7 | 1.84 |
| Smart Sortino | 1.59 | 1.73 |
| Sortino/√2 | 1.2 | 1.3 |
| Smart Sortino/√2 | 1.13 | 1.22 |
| Omega | 1.29 | 1.29 |
| Max Drawdown | -12.41% | -29.75% |
| Longest DD Days | 727 | 279 |
| Volatility (ann.) | 13.99% | 20.94% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 1.94 | 1.23 |
| Skew | 0.09 | -0.14 |
| Kurtosis | 5.49 | 2.8 |
| Expected Daily | 0.08% | 0.12% |
| Expected Monthly | 1.79% | 2.6% |
| Expected Yearly | 19.02% | 28.66% |
| Kelly Criterion | 16.32% | 13.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.36% | -2.04% |
| Expected Shortfall (cVaR) | -1.36% | -2.04% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.45 | 0.31 |
| Gain/Pain (1M) | 10.19 | 2.42 |
| Payoff Ratio | 0.97 | 1.05 |
| Profit Factor | 1.45 | 1.31 |
| Common Sense Ratio | 1.86 | 1.4 |
| CPC Index | 0.83 | 0.77 |
| Tail Ratio | 1.28 | 1.06 |
| Outlier Win Ratio | 8.93 | 3.24 |
| Outlier Loss Ratio | 3.16 | 3.18 |
| MTD | 0.0% | -3.06% |
| 3M | 0.0% | 20.36% |
| 6M | 0.0% | -4.48% |
| YTD | 0.0% | 6.24% |
| 1Y | 0.0% | 20.43% |
| 3Y (ann.) | 10.36% | 26.12% |
| 5Y (ann.) | 24.01% | 36.53% |
| 10Y (ann.) | 24.01% | 36.53% |
| All-time (ann.) | 24.01% | 36.53% |
| Best Day | 5.06% | 7.05% |
| Worst Day | -5.0% | -6.28% |
| Best Month | 17.22% | 18.04% |
| Worst Month | -2.65% | -8.46% |
| Best Year | 44.49% | 46.25% |
| Worst Year | 0.0% | 6.24% |
| Avg. Drawdown | -2.52% | -2.46% |
| Avg. Drawdown Days | 36 | 20 |
| Recovery Factor | 11.19 | 8.49 |
| Ulcer Index | 0.03 | 0.08 |
| Serenity Index | 6.25 | 2.74 |
| Avg. Up Month | 5.52% | 6.26% |
| Avg. Down Month | -1.37% | -1.55% |
| Win Days | 58.77% | 55.45% |
| Win Month | 73.08% | 65.31% |
| Win Quarter | 90.0% | 70.59% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.28 | - |
| Alpha | 0.13 | - |
| Correlation | 42.16% | - |
| Treynor Ratio | 468.32% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 21.81 | 23.63 | 1.08 | + |
| 2023 | 46.25 | 44.49 | 0.96 | - |
| 2024 | 44.60 | 33.73 | 0.76 | - |
| 2025 | 28.79 | 0.00 | 0.00 | - |
| 2026 | 6.24 | 0.00 | 0.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-18 | 2024-08-29 | -12.41 | 133 |
| 2023-08-14 | 2024-03-05 | -10.09 | 204 |
| 2022-10-13 | 2022-12-01 | -10.04 | 49 |
| 2022-09-13 | 2022-10-04 | -8.68 | 21 |
| 2023-04-12 | 2023-06-29 | -5.97 | 78 |
| 2023-01-09 | 2023-01-24 | -4.18 | 15 |
| 2024-08-30 | 2024-09-12 | -4.05 | 13 |
| 2023-03-21 | 2023-03-31 | -3.65 | 10 |
| 2022-12-22 | 2022-12-28 | -3.63 | 6 |
| 2023-02-03 | 2023-02-10 | -3.09 | 7 |