| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 13.41% | 18.68% |
| CAGR﹪ | 6.39% | 8.79% |
| Sharpe | 3.43 | 14.47 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 2.81 | 11.85 |
| Sortino | 5.84 | - |
| Smart Sortino | 4.78 | - |
| Sortino/√2 | 4.13 | - |
| Smart Sortino/√2 | 3.38 | - |
| Omega | 4.99 | 4.99 |
| Max Drawdown | -1.47% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 1.88% | 0.61% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 4.34 | - |
| Skew | 3.73 | 12.12 |
| Kurtosis | 98.84 | 150.48 |
| Expected Daily | 0.03% | 0.03% |
| Expected Monthly | 0.5% | 0.69% |
| Expected Yearly | 4.28% | 5.87% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.17% | -0.03% |
| Expected Shortfall (cVaR) | -0.17% | -0.03% |
| Max Consecutive Wins | 328 | 492 |
| Max Consecutive Losses | 16 | 0 |
| Gain/Pain Ratio | 3.99 | - |
| Gain/Pain (1M) | 11.53 | - |
| Payoff Ratio | - | - |
| Profit Factor | 4.99 | - |
| Common Sense Ratio | 223.49 | - |
| CPC Index | - | - |
| Tail Ratio | 44.82 | 1.84 |
| Outlier Win Ratio | 3.58 | 3.74 |
| Outlier Loss Ratio | 0.17 | - |
| MTD | -0.86% | 0.8% |
| 3M | -0.92% | 2.33% |
| 6M | -0.51% | 4.22% |
| YTD | 0.5% | 5.48% |
| 1Y | 2.93% | 8.2% |
| 3Y (ann.) | 6.39% | 8.79% |
| 5Y (ann.) | 6.39% | 8.79% |
| 10Y (ann.) | 6.39% | 8.79% |
| All-time (ann.) | 6.39% | 8.79% |
| Best Day | 1.6% | 0.51% |
| Worst Day | -1.07% | 0.0% |
| Best Month | 1.75% | 1.55% |
| Worst Month | -0.86% | 0.48% |
| Best Year | 10.09% | 9.41% |
| Worst Year | 0.5% | 2.83% |
| Avg. Drawdown | -0.23% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 9.11 | - |
| Ulcer Index | 0.0 | 0.0 |
| Serenity Index | 26.14 | - |
| Avg. Up Month | 0.69% | 0.69% |
| Avg. Down Month | - | - |
| Win Days | 87.53% | 100.0% |
| Win Month | 80.0% | 100.0% |
| Win Quarter | 77.78% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 1.14 | - |
| Alpha | -0.04 | - |
| Correlation | 36.64% | - |
| Treynor Ratio | 11.76% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.83 | 2.50 | 0.88 | - |
| 2022 | 9.41 | 10.09 | 1.07 | + |
| 2023 | 5.48 | 0.50 | 0.09 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-04-26 | 2023-08-24 | -1.47 | 120 |
| 2023-01-06 | 2023-01-11 | -0.14 | 5 |
| 2023-03-17 | 2023-03-20 | -0.01 | 3 |
| 2023-01-03 | 2023-01-04 | -0.00 | 1 |
| 2023-03-21 | 2023-03-22 | -0.00 | 1 |
| 2023-04-17 | 2023-04-19 | -0.00 | 2 |
| 2023-04-21 | 2023-04-25 | -0.00 | 4 |