| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 130.2% | 135.08% |
| CAGR﹪ | 50.46% | 52.01% |
| Sharpe | 1.83 | 2.29 |
| Prob. Sharpe Ratio | 93.39% | 98.88% |
| Smart Sharpe | 1.75 | 2.19 |
| Sortino | 2.77 | 3.57 |
| Smart Sortino | 2.65 | 3.41 |
| Sortino/√2 | 1.96 | 2.53 |
| Smart Sortino/√2 | 1.87 | 2.41 |
| Omega | 1.36 | 1.36 |
| Max Drawdown | -12.41% | -11.9% |
| Longest DD Days | 204 | 180 |
| Volatility (ann.) | 19.56% | 15.77% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 4.07 | 4.37 |
| Skew | -0.14 | -0.08 |
| Kurtosis | 1.43 | 1.09 |
| Expected Daily | 0.16% | 0.17% |
| Expected Monthly | 3.39% | 3.48% |
| Expected Yearly | 32.04% | 32.96% |
| Kelly Criterion | 14.74% | 19.26% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.86% | -1.46% |
| Expected Shortfall (cVaR) | -1.86% | -1.46% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.44 | 0.57 |
| Gain/Pain (1M) | 8.13 | 6.91 |
| Payoff Ratio | 0.94 | 1.04 |
| Profit Factor | 1.44 | 1.57 |
| Common Sense Ratio | 1.66 | 1.84 |
| CPC Index | 0.79 | 0.96 |
| Tail Ratio | 1.16 | 1.17 |
| Outlier Win Ratio | 3.16 | 3.76 |
| Outlier Loss Ratio | 2.79 | 3.67 |
| MTD | 10.0% | 10.47% |
| 3M | 21.58% | 22.46% |
| 6M | 20.78% | 22.69% |
| YTD | 33.67% | 35.41% |
| 1Y | 34.97% | 36.25% |
| 3Y (ann.) | 50.46% | 52.01% |
| 5Y (ann.) | 50.46% | 52.01% |
| 10Y (ann.) | 50.46% | 52.01% |
| All-time (ann.) | 50.46% | 52.01% |
| Best Day | 5.06% | 3.54% |
| Worst Day | -5.0% | -3.74% |
| Best Month | 17.22% | 17.43% |
| Worst Month | -2.65% | -3.2% |
| Best Year | 44.49% | 43.61% |
| Worst Year | 19.19% | 20.88% |
| Avg. Drawdown | -2.57% | -1.79% |
| Avg. Drawdown Days | 17 | 14 |
| Recovery Factor | 10.49 | 11.35 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 4.41 | 4.01 |
| Avg. Up Month | 5.85% | 6.08% |
| Avg. Down Month | -1.46% | -1.66% |
| Win Days | 58.71% | 58.91% |
| Win Month | 68.0% | 68.0% |
| Win Quarter | 77.78% | 77.78% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.97 | - |
| Alpha | 0.01 | - |
| Correlation | 78.38% | - |
| Treynor Ratio | 126.79% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 20.88 | 19.19 | 0.92 | - |
| 2023 | 43.61 | 44.49 | 1.02 | + |
| 2024 | 35.41 | 33.67 | 0.95 | - |
| 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 | 2023-06-30 | -5.97 | 79 |
| 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 |