| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 27.12% | 50.22% |
| CAGR﹪ | 5.65% | 9.77% |
| Sharpe | 0.35 | 8.63 |
| Prob. Sharpe Ratio | 76.56% | 99.98% |
| Smart Sharpe | 0.34 | 8.26 |
| Sortino | 0.47 | - |
| Smart Sortino | 0.45 | - |
| Sortino/√2 | 0.33 | - |
| Smart Sortino/√2 | 0.32 | - |
| Omega | 1.07 | 1.07 |
| Max Drawdown | -52.41% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 23.85% | 1.1% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.11 | - |
| Skew | -1.33 | 21.36 |
| Kurtosis | 17.15 | 482.41 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.45% | 0.76% |
| Expected Yearly | 4.92% | 8.48% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.44% | -0.08% |
| Expected Shortfall (cVaR) | -2.44% | -0.08% |
| Max Consecutive Wins | 11 | 1083 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | 0.07 | - |
| Gain/Pain (1M) | 0.29 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.07 | - |
| Common Sense Ratio | 0.98 | - |
| CPC Index | - | - |
| Tail Ratio | 0.92 | 3.88 |
| Outlier Win Ratio | 1.97 | 49.52 |
| Outlier Loss Ratio | 2.06 | - |
| MTD | -0.95% | 1.65% |
| 3M | -9.61% | 6.22% |
| 6M | -13.72% | 10.36% |
| YTD | -4.14% | 14.5% |
| 1Y | -2.42% | 18.4% |
| 3Y (ann.) | -6.87% | 12.09% |
| 5Y (ann.) | 5.65% | 9.77% |
| 10Y (ann.) | 5.65% | 9.77% |
| All-time (ann.) | 5.65% | 9.77% |
| Best Day | 11.38% | 1.65% |
| Worst Day | -15.34% | 0.0% |
| Best Month | 15.01% | 1.65% |
| Worst Month | -29.84% | 0.35% |
| Best Year | 47.81% | 14.5% |
| Worst Year | -38.05% | 3.02% |
| Avg. Drawdown | -3.25% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.52 | - |
| Ulcer Index | 0.25 | 0.0 |
| Serenity Index | 0.04 | - |
| Avg. Up Month | 4.84% | 0.71% |
| Avg. Down Month | - | - |
| Win Days | 53.87% | 100.0% |
| Win Month | 62.96% | 100.0% |
| Win Quarter | 63.16% | 100.0% |
| Win Year | 60.0% | 100.0% |
| Beta | 2.78 | - |
| Alpha | -0.18 | - |
| Correlation | 12.79% | - |
| Treynor Ratio | 9.75% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 3.02 | 26.46 | 8.76 | + |
| 2021 | 5.82 | 14.51 | 2.49 | + |
| 2022 | 9.41 | -38.05 | -4.05 | - |
| 2023 | 10.00 | 47.81 | 4.78 | + |
| 2024 | 14.50 | -4.14 | -0.29 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2024-10-01 | -52.41 | 1076 |
| 2020-08-14 | 2020-11-16 | -11.45 | 94 |
| 2021-01-15 | 2021-03-15 | -7.04 | 59 |
| 2021-03-16 | 2021-05-07 | -4.55 | 52 |
| 2021-07-08 | 2021-08-17 | -3.97 | 40 |
| 2020-06-08 | 2020-07-06 | -3.65 | 28 |
| 2020-07-07 | 2020-07-17 | -2.80 | 10 |
| 2020-12-18 | 2020-12-29 | -2.50 | 11 |
| 2021-08-18 | 2021-09-01 | -2.33 | 14 |
| 2020-06-04 | 2020-06-05 | -2.13 | 1 |