| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 22.06% | 40.01% |
| CAGR﹪ | 6.47% | 11.16% |
| Sharpe | 0.48 | 11.46 |
| Prob. Sharpe Ratio | 79.6% | 99.21% |
| Smart Sharpe | 0.32 | 7.75 |
| Sortino | 0.68 | - |
| Smart Sortino | 0.46 | - |
| Sortino/√2 | 0.48 | - |
| Smart Sortino/√2 | 0.33 | - |
| Omega | 1.15 | 1.15 |
| Max Drawdown | -20.51% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 16.27% | 0.95% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.32 | - |
| Skew | -0.12 | 24.82 |
| Kurtosis | 119.03 | 665.16 |
| Expected Daily | 0.03% | 0.04% |
| Expected Monthly | 0.51% | 0.87% |
| Expected Yearly | 5.11% | 8.78% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.66% | -0.06% |
| Expected Shortfall (cVaR) | -1.66% | -0.06% |
| Max Consecutive Wins | 13 | 778 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.15 | - |
| Gain/Pain (1M) | 1.67 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.15 | - |
| Common Sense Ratio | 1.2 | - |
| CPC Index | - | - |
| Tail Ratio | 1.04 | 2.93 |
| Outlier Win Ratio | 2.4 | 22.47 |
| Outlier Loss Ratio | 2.03 | - |
| MTD | -0.77% | 1.65% |
| 3M | -0.49% | 6.22% |
| 6M | -0.12% | 10.36% |
| YTD | 3.02% | 14.5% |
| 1Y | 5.31% | 18.4% |
| 3Y (ann.) | 7.06% | 11.5% |
| 5Y (ann.) | 6.47% | 11.16% |
| 10Y (ann.) | 6.47% | 11.16% |
| All-time (ann.) | 6.47% | 11.16% |
| Best Day | 14.94% | 1.65% |
| Worst Day | -15.05% | 0.0% |
| Best Month | 5.32% | 1.65% |
| Worst Month | -6.34% | 0.31% |
| Best Year | 9.3% | 14.5% |
| Worst Year | 0.9% | 3.19% |
| Avg. Drawdown | -1.02% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 1.08 | - |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 3.11 | - |
| Avg. Up Month | 1.34% | 0.85% |
| Avg. Down Month | - | - |
| Win Days | 54.21% | 100.0% |
| Win Month | 71.79% | 100.0% |
| Win Quarter | 85.71% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -0.45 | - |
| Alpha | 0.13 | - |
| Correlation | -2.62% | - |
| Treynor Ratio | -49.2% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.19 | 0.90 | 0.28 | - |
| 2022 | 7.72 | 9.30 | 1.20 | + |
| 2023 | 10.00 | 7.43 | 0.74 | - |
| 2024 | 14.50 | 3.02 | 0.21 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-10 | 2022-06-08 | -20.51 | 149 |
| 2022-09-19 | 2022-10-18 | -6.58 | 29 |
| 2022-06-21 | 2022-08-08 | -4.44 | 48 |
| 2021-09-15 | 2022-01-03 | -3.02 | 110 |
| 2024-08-26 | 2024-10-01 | -2.78 | 36 |
| 2024-05-10 | 2024-07-02 | -2.40 | 53 |
| 2023-08-14 | 2023-11-21 | -2.37 | 99 |
| 2022-06-16 | 2022-06-20 | -2.21 | 4 |
| 2022-06-09 | 2022-06-15 | -2.14 | 6 |
| 2024-07-09 | 2024-08-09 | -1.67 | 31 |