| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 59.0% | 100.0% |
| Cumulative Return | 138.89% | 298.57% |
| CAGR﹪ | 28.14% | 48.24% |
| Sharpe | 1.26 | 1.76 |
| Prob. Sharpe Ratio | 87.05% | 96.77% |
| Smart Sharpe | 1.18 | 1.65 |
| Sortino | 1.93 | 2.65 |
| Smart Sortino | 1.81 | 2.49 |
| Sortino/√2 | 1.36 | 1.88 |
| Smart Sortino/√2 | 1.28 | 1.76 |
| Omega | 1.31 | 1.31 |
| Max Drawdown | -12.41% | -12.46% |
| Longest DD Days | 532 | 279 |
| Volatility (ann.) | 15.01% | 19.43% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 2.27 | 3.87 |
| Skew | 0.04 | -0.14 |
| Kurtosis | 4.38 | 3.04 |
| Expected Daily | 0.1% | 0.15% |
| Expected Monthly | 2.05% | 3.27% |
| Expected Yearly | 19.02% | 31.86% |
| Kelly Criterion | 16.32% | 15.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.45% | -1.85% |
| Expected Shortfall (cVaR) | -1.45% | -1.85% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.45 | 0.44 |
| Gain/Pain (1M) | 10.19 | 4.9 |
| Payoff Ratio | 0.97 | 1.05 |
| Profit Factor | 1.45 | 1.44 |
| Common Sense Ratio | 1.97 | 1.63 |
| CPC Index | 0.83 | 0.86 |
| Tail Ratio | 1.36 | 1.13 |
| Outlier Win Ratio | 7.14 | 3.3 |
| Outlier Loss Ratio | 3.03 | 3.35 |
| MTD | 0.0% | 1.77% |
| 3M | 0.0% | 26.18% |
| 6M | 0.0% | 35.81% |
| YTD | 0.0% | 20.13% |
| 1Y | 0.0% | 58.43% |
| 3Y (ann.) | 15.13% | 38.13% |
| 5Y (ann.) | 28.14% | 48.24% |
| 10Y (ann.) | 28.14% | 48.24% |
| All-time (ann.) | 28.14% | 48.24% |
| Best Day | 5.06% | 7.05% |
| Worst Day | -5.0% | -6.28% |
| Best Month | 17.22% | 18.04% |
| Worst Month | -2.65% | -7.6% |
| Best Year | 44.49% | 46.25% |
| Worst Year | 0.0% | 20.13% |
| Avg. Drawdown | -2.52% | -2.07% |
| Avg. Drawdown Days | 31 | 17 |
| Recovery Factor | 11.19 | 23.97 |
| Ulcer Index | 0.03 | 0.05 |
| Serenity Index | 5.88 | 9.11 |
| Avg. Up Month | 5.52% | 6.26% |
| Avg. Down Month | -1.37% | -1.55% |
| Win Days | 58.77% | 56.79% |
| Win Month | 73.08% | 72.09% |
| Win Quarter | 90.0% | 73.33% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.38 | - |
| Alpha | 0.1 | - |
| Correlation | 48.56% | - |
| Treynor Ratio | 351.51% | - |
| 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 | 20.13 | 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 |