| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 73.93% | 9.22% |
| CAGR﹪ | 68.32% | 8.65% |
| Sharpe | 2.48 | 31.94 |
| Prob. Sharpe Ratio | 99.38% | 99.21% |
| Smart Sharpe | 2.3 | 29.67 |
| Sortino | 3.83 | - |
| Smart Sortino | 3.56 | - |
| Sortino/√2 | 2.71 | - |
| Smart Sortino/√2 | 2.52 | - |
| Omega | 1.51 | 1.51 |
| Max Drawdown | -10.04% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 22.0% | 0.26% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.13 | 0.13 |
| Calmar | 6.81 | - |
| Skew | -0.24 | 13.72 |
| Kurtosis | 1.34 | 210.65 |
| Expected Daily | 0.21% | 0.03% |
| Expected Monthly | 4.03% | 0.63% |
| Expected Yearly | 31.88% | 4.51% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.06% | -0.01% |
| Expected Shortfall (cVaR) | -2.06% | -0.01% |
| Max Consecutive Wins | 9 | 267 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.51 | - |
| Gain/Pain (1M) | 26.69 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.51 | - |
| Common Sense Ratio | 1.77 | - |
| CPC Index | - | - |
| Tail Ratio | 1.17 | 1.94 |
| Outlier Win Ratio | 1.55 | 48.91 |
| Outlier Loss Ratio | 1.7 | - |
| MTD | -2.13% | 0.81% |
| 3M | 10.84% | 2.52% |
| 6M | 18.51% | 4.53% |
| YTD | 42.69% | 6.34% |
| 1Y | 73.04% | 8.49% |
| 3Y (ann.) | 68.32% | 8.65% |
| 5Y (ann.) | 68.32% | 8.65% |
| 10Y (ann.) | 68.32% | 8.65% |
| All-time (ann.) | 68.32% | 8.65% |
| Best Day | 5.06% | 0.28% |
| Worst Day | -5.0% | 0.0% |
| Best Month | 17.22% | 0.81% |
| Worst Month | -2.13% | 0.28% |
| Best Year | 42.69% | 6.34% |
| Worst Year | 21.89% | 2.71% |
| Avg. Drawdown | -2.39% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 7.36 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 6.87 | - |
| Avg. Up Month | 5.5% | 0.65% |
| Avg. Down Month | - | - |
| Win Days | 60.15% | 100.0% |
| Win Month | 84.62% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -2.14 | - |
| Alpha | 0.72 | - |
| Correlation | -2.53% | - |
| Treynor Ratio | -34.54% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 2.71 | 21.89 | 8.07 | + |
| 2023 | 6.34 | 42.69 | 6.74 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-13 | 2022-12-01 | -10.04 | 49 |
| 2022-09-13 | 2022-10-04 | -8.68 | 21 |
| 2023-08-14 | 2023-09-22 | -7.35 | 39 |
| 2023-04-12 | 2023-06-29 | -5.97 | 78 |
| 2023-01-09 | 2023-01-24 | -4.18 | 15 |
| 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 |
| 2023-07-20 | 2023-07-31 | -2.05 | 11 |
| 2022-12-29 | 2023-01-03 | -1.84 | 5 |