| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 92.0% | 100.0% |
| Cumulative Return | 15.7% | 18.26% |
| CAGR﹪ | 6.92% | 7.99% |
| Sharpe | 0.46 | 45.82 |
| Prob. Sharpe Ratio | 74.46% | 100.0% |
| Smart Sharpe | 0.31 | 30.84 |
| Sortino | 0.66 | - |
| Smart Sortino | 0.44 | - |
| Sortino/√2 | 0.47 | - |
| Smart Sortino/√2 | 0.31 | - |
| Omega | 1.15 | 1.15 |
| Max Drawdown | -20.51% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 19.22% | 0.18% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.34 | - |
| Skew | -0.13 | 6.07 |
| Kurtosis | 90.59 | 57.18 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.54% | 0.62% |
| Expected Yearly | 4.98% | 5.75% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.96% | -0.01% |
| Expected Shortfall (cVaR) | -1.96% | -0.01% |
| Max Consecutive Wins | 13 | 523 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.15 | - |
| Gain/Pain (1M) | 1.63 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.15 | - |
| Common Sense Ratio | 1.33 | - |
| CPC Index | - | - |
| Tail Ratio | 1.16 | 1.9 |
| Outlier Win Ratio | 3.6 | 50.55 |
| Outlier Loss Ratio | 2.74 | - |
| MTD | -0.17% | 0.04% |
| 3M | -0.17% | 2.34% |
| 6M | 2.46% | 4.34% |
| YTD | 4.91% | 6.39% |
| 1Y | 11.75% | 8.37% |
| 3Y (ann.) | 6.92% | 7.99% |
| 5Y (ann.) | 6.92% | 7.99% |
| 10Y (ann.) | 6.92% | 7.99% |
| All-time (ann.) | 6.92% | 7.99% |
| Best Day | 14.94% | 0.15% |
| Worst Day | -15.05% | 0.0% |
| Best Month | 5.32% | 1.08% |
| Worst Month | -6.34% | 0.04% |
| Best Year | 9.3% | 7.72% |
| Worst Year | 0.9% | 3.19% |
| Avg. Drawdown | -1.04% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.77 | - |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 1.91 | - |
| Avg. Up Month | 1.53% | 0.65% |
| Avg. Down Month | - | - |
| Win Days | 54.68% | 100.0% |
| Win Month | 70.37% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 1.62 | - |
| Alpha | -0.04 | - |
| Correlation | 1.49% | - |
| Treynor Ratio | 9.68% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.19 | 0.90 | 0.28 | - |
| 2022 | 7.72 | 9.30 | 1.20 | + |
| 2023 | 6.39 | 4.91 | 0.77 | - |
| 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 |
| 2023-08-14 | 2023-10-02 | -2.37 | 49 |
| 2022-06-16 | 2022-06-20 | -2.21 | 4 |
| 2022-06-09 | 2022-06-15 | -2.14 | 6 |
| 2021-08-19 | 2021-08-20 | -1.33 | 1 |
| 2021-08-24 | 2021-08-31 | -1.24 | 7 |
| 2022-11-07 | 2022-11-09 | -1.18 | 2 |